没看明白这题，请老师解释一下这四个选项

问题如下：

A risk consultant is advising a US-based bank on the Dodd-Frank Act stress tests (DFAST), an annual stress test exercise conducted by the US Federal Reserve (the Fed) for mid-size US banks. The consultant points out that the Fed requires the banks to utilize three supervisor-devised macroeconomic scenarios during the DFAST stress test. Which of the following describes the conditions that one of the supervisor-devised scenarios is designed to simulate?

选项：

A.A set of economic variables reflecting the forecast by the Fed’s chief economist B.

Economic conditions that correspond to the average projections from a survey of economic forecasters

C.

The worst market conditions experienced in a 10-day period during the previous year

D.An economic expansion with an associated rapid increase in demand for real estate investments and fixed-income instruments

解释：

Explanation: B is correct. The Federal Reserve generates three supervisor-devised macroeconomic scenarios, which are

1. Baseline: This scenario corresponds to the consensus forecast among major bank economists;
2. Adverse: A moderately declining economy;
3. Severely adverse: A severe, broad global recession/depression and an associated decline in demand for long-term fixed-income investment.

A is incorrect. One of the three scenarios reflects the consensus forecast among major bank economists. But none of the three is designed to mimic the Fed’s specific forecast for the economy.

C is incorrect. This is not a scenario among the three Fed-designed scenarios.

D is incorrect. This is not a scenario among the three Fed-designed scenarios.

Learning Objective: Explain the use of scenario analysis in stress testing programs and capital planning.

Reference: Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2023, Chapter 8, Enterprise Risk Management and Future Trends [FRM-8].