讲解

问题如下：

An internal auditor at a national bank is reviewing the assumptions of the scenarios that are used in the bank’s stress tests. The auditor wants to ensure that the different sets of assumptions are plausible and that they exhibit the property of coherence. Which of the following combinations of assumptions used in a stress scenario would provide the auditor the greatest cause for concern about their coherence?

选项：

A.The USD, EUR, and JPY all depreciate at the same time against a basket of world currencies.

B.Correlations between returns of commodities used for industrial production and returns of industrial sector equities increase at the same time.

C.Yields on BBB-rated corporate debt increase as yields on AAA-rated short-term sovereign debt decrease.

D.Monetary authorities respond to higher consumer prices by raising central bank lending rates.

解释：

A is correct. The text specifically mentions the fact that all exchange rates cannot depreciate all at once as an example of coherence. As such, the auditor should be concerned with the assumption that USD, EUR, and JPY all depreciate at the same time, as these are three major world currencies that together are responsible for a large proportion of foreign exchange. B is incorrect. Correlations between different investment assets typically increase in stress situations. The impact on correlation between these two should be even stronger, as the period of stress should reduce the demand for the industrial commodities so they should become more positively correlated with equities (as both drop in price.) C is incorrect. This should not provide a significant source of concern as this is what we would expect from a “flight to safety” phenomenon, in which capital flows from risky assets to a small number of very-low risk assets such as short-term AAA-rated sovereign debt. D is incorrect. This should not provide a significant source of concern as this is exactly what we would expect monetary authorities to do when facing higher consumer prices.