问题如下：
The Basel committee tends to utilize overlapping time periods for stress testing, so liquidity horizons are incorporated into the expected shortfall calculations in the internal models-based approach. Which of the following statements is correct?
选项：
A.A series of trials are used to scale smaller time periods up to longer time periods.
B.For different liquidity horizons, approriate weights are assigned, besides, the Basel Committee has to decide a correlation factor for it.
C.Over a 250-day window of time, expected shortfall is measured over a base horizon of 10 days.
D.The expected shortfall is based on a waterfall of the liquidity horizon categories and is then scaled to the square root of the difference in the horizon lengths of the nested risk factors.
解释：
D is correct.
考点：在内部模型法中使用liquidity horizons来计算ES
解析：
ES是基于一系列liquidity horizon计算得出的，即
请问B为什么不对？overlap不就是要确定不同风险因子的ES，然后需要根据他们的相关系数求出portfolio的ES吗
