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暖暖 · 2025年05月12日

请解释下为什么不是 压力测试, 从题干哪里可以体现出是 hypothetical scenario

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NO.PZ202304060100003501

问题如下:

The scenario analysis that Hamilton prepares for the committee is most likely a:

选项:

A.

stress test.

B.

historical scenario.

C.

hypothetical scenario.

解释:

A hypothetical scenario analysis allows the risk manager to estimate the likely effect of the scenario on a range of portfolio risk factors. A sovereign ratings downgrade would affect Hiram’s India equity and corporate bond exposures as well as the government bond exposure. In addition, the assumptions used in constructing the scenario analysis can specifically address the effect of a need to sell large position sizes under decreased liquidity conditions resulting from a ratings downgrade. VaR alone does not accurately reflect the risk of large position sizes, which may be difficult to trade.

请解释下为什么不是 压力测试, 从题干哪里可以体现出是 hypothetical scenario

1 个答案

品职助教_七七 · 2025年05月12日

嗨,从没放弃的小努力你好:


压力测试检验的是极端情况,case中没有对于情况的严重性进行强调。

从描述可知,担心的评级下调只是一种可能性,后文的reflects this possibility也说明了这是一种假设的情景。

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