问题如下：
Which of the following statements should not be included in Abell’s report to management regarding the use of risk measures in capital allocation decisions?
选项：
A.VaR measures capture the increased liquidity risk during stress periods.
B.Stress tests and scenario analysis can be used to evaluate the effect of outlier events on each line of business
C.VaR approaches that can accommodate a non-normal distribution are critical to understand relative risk across lines of business.
解释：
A is correct.
VaR measures do not capture liquidity risk. "If some assets in a portfolio are relatively illiquid, VaR could be understated, even under normal market conditions. Additionally, liquidity squeezes are frequently associated with tail events and major market downturns, thereby exacerbating the risk".
考点：VaR
解析：
A选项：VaR的缺点之一，没有考虑流动性风险，错。
B选项：Stress tests and scenario analysis可以用于异常事件，对。
C选项：非正态分布的VaR方法对理解业务条线的风险很关键，对。在实际中，非正态分布的情况更常见，所以如果VaR的计算中，没有正态分布这一假设，那么这种方法对风险衡量更重要。
虽然A选项这句话本身是对的，但是问题问的是在allocation的方面，和liquidity risk本身的关系是什么？感觉答非所问的
