每个季度做一遍还要用full么？

问题如下：

A risk analyst at a major bank is conducting a regulatory stress test, projecting earnings, losses, and capital ratios for each quarter over a 1.5 - year horizon. Which action aligns with best practices for this stress test?

选项：

A.

Apply a full - revaluation approach to model the bank’s complex structured product exposures.

B.

Use minimum required regulatory capital ratios as the initial trigger for potential capital actions.

C.

Assume the bank will divest its highest - risk business lines during the stress test period.

D.

Model the loss given default of the bank’s loan portfolio using a simple - average approach at the overall portfolio level.

解释：

Option A：Using a full - revaluation approach for complex structured products is consistent with best practices, especially for nonlinear positions dependent on multiple risk factors. Thus, this option is correct.

Option B：Minimum regulatory capital ratios should not be the initial trigger; early warning indicators should be based on the firm’s risk profile. So, this option is incorrect.

Option C：Assuming divestment of high - risk business lines during stress is not a conservative or reasonable assumption, as mitigating actions may be limited in stress scenarios. So, this option is incorrect.

Option D：Modeling loss given default with a simple - average approach at the overall portfolio level is a lagging practice. Loans should be segmented by client types or risk factor exposures for accurate calculation. So, this option is incorrect.

选项 A：对复杂结构性产品敞口使用完全重估方法符合最佳实践，特别是对于依赖多个风险因素的非线性头寸。所以该选项正确。

选项 B：最低监管资本比率不应作为初始触发条件；早期预警指标应基于公司的风险状况。所以该选项错误。

选项 C：假设在压力测试期间剥离高风险业务线不是一个保守或合理的假设，因为在压力情景下缓解措施可能有限。所以该选项错误。

选项 D：在整体投资组合层面使用简单平均方法来模拟银行贷款组合的违约损失率是一种落后的做法。为了准确计算，贷款应按客户类型或风险因素敞口进行细分。所以该选项错误。