问题如下：
When measuring the portfolio impact of the stress test suggested by McKee, which of the following is most likely to produce an accurate result?
选项：
A.Marginal VaR
Full revaluation of securities
The use of sensitivity risk measures
解释：
B is correct. McKee suggests running a stress test using a historical scenario specific to emerging markets that includes an extreme change in credit spreads. Stress tests, which apply extreme negative stress to a particular portfolio exposure, are closely related to scenario risk measures. A scenario risk measure estimates the portfolio return that would result from a hypothetical change in markets (hypothetical scenario) or a repeat of a historical event (historical scenario). When the historical simulation fully revalues securities under rate and price changes that occurred during the scenario period, the results should be highly accurate.
A is incorrect because marginal VaR measures the change in portfolio VaR given a very small change in a portfolio position (e.g., change in VaR for a $1 or 1% change in the position). Therefore, marginal VaR would not allow McKee to estimate how much the value of the option-embedded bonds would change under an extreme change in credit spreads.
C is incorrect because sensitivity risk measures use sensitivity exposure measures, such as first-order (delta, duration) and second-order (gamma, convexity) sensitivity, to assess the change in the value of a financial instrument. Although gamma and convexity can be used with delta and duration to estimate the impact of extreme market movements, they are not suited for scenario analysis related to option-embedded bonds.
老师题中有一句话“encompassed an extreme change in credit spreads”，这不是再说只有一个risk factor在改变吗？那为啥不是sensitivity risk measure啊？
