青同學(xué)
2020-11-17 18:24這些都出自書中的哪？可以具體解釋一下每個選項嗎
所屬：FRM Part I > Valuation and Risk Models 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Cindy助教
2020-11-18 10:46
該回答已被題主采納
同學(xué)你好，Types and approaches: Even if it is difficult to estimate their likelihood, REVERSE stress tests that "break the bank" deserve consideration，說我們在實施壓力測試的時候，應(yīng)該使用反向壓力測試，意思就是根據(jù)結(jié)果，來推測可能出現(xiàn)的原因，這個可以作為壓力測試的一個補充，這是有必要的，A正確
BTypes and approaches: Scenarios should not be too severe, as severity may stretch credibility with shareholders. If the scenario challenges the institution's viability, then it is probably too severe。壓力測試的情景不可以太嚴重，這是錯誤的，壓力測試看的就是在壓力下，可能發(fā)生的損失，情景當然需要嚴重一些了，B錯誤
C，Capital and liquidity: Stress testing for capital/liquidity adequacy should be coordinated with annual planning cycles and should be refreshed in the event of a major strategic decision壓力測試關(guān)于流動性和資本金的結(jié)果應(yīng)該體現(xiàn)在計劃里面，并且當環(huán)境發(fā)生改變的時候，要靈活調(diào)整，與時俱進，這是對的
D，Coverage: Good stress testing coverage includes (i) inclusion of portfolios, exposures, liabilities and business-line activities; (ii) various LEVELS of the organization; (iii) interplay between exposures; and (iv) various time horizons壓力測試要覆蓋不同業(yè)務(wù)條線，敞口，風(fēng)險之間，時間等等，這也是對的
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