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上小学 · 2023年04月05日

请问A 有何错误?谢谢

NO.PZ2019070101000084

问题如下:

Which of the following statements about principles of stress test is incorrect?

选项:

A.

Backward-looking scenarios should be used to to take into account of system wide Interactions and feed back effects.

B.

Bank should consider the results of forward-lookaing stress testing for assessing the adequacy of capital and liquidity

C.

A bank should enhance its stress testing approaches for hghly leveraged counterparties in considering its vulnerability to specific asset categories or market movements and in assessing potential wrong-way risk related to risk mitigating techniques.

D.

The effectiveness of risk mitgation techniques should be systematically challenged.

解释:

A is corrct.

考点:Stress testing

解析:

本题是选出说法不正确的选项。

应该使用forward-looking scenarios 来考虑系统范围内的交互和反馈效应。 A选项说法错误。

考虑前瞻性压力测试的结果,以评估资本和流动性的充分性。B说法正确;银行应加强对高杠杆交易对手的压力测试方法,以考虑其对特定资产类别或市场变动的脆弱性,并评估与风险缓解技术相关的潜在错误风险。 C说法正确。 压力测试应在压力条件下系统地对风险缓解技术(如对冲、净额结算和抵押品的使用)的表现进行评估,D说法正确。

个人看这四个选项都对,也没找到A 为啥不对呢。

1 个答案

pzqa27 · 2023年04月06日

嗨,爱思考的PZer你好:


同学你好,A选项描述的是forward-looking的情景里考虑的内容,所以错啊。

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