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。