NO.PZ2019070101000078
问题如下:
A risk manager at an investment firm told his supervisor that he wanted stress tests to be part of the firm's risk-management process. He makes several statements about it. Which statement is true?
选项:
A.
The maximum loss level produced by the stress test is accurate.
B.
The stress test program can replace the VaR measurement.
C.
The ultimate result of the stress tests is changes in portfolio values under adverse market conditions.
D.
One of the advantages of stress testing is that it depends on the selected scenario.
解释:
C is correct.
考点:Stress testing
解析:压力测试是对VaR的补充,而不是替代。压力测试的最终结果是在不利的市场条件下,投资组合价值的变化;然而,这种变化并不精确,因为压力测试依赖于估计和假设的场景。压力测试的批评之一是,测试结果取决于所选择的场景。因此只有C选项表述正确。
压力测试不是最极端的一种情景吗