NO.PZ2019070101000079
问题如下:
Which of the following statements about stress testing is true?
选项:
A.
The stress test complements VaR because it estimates the probability of losses.
B.
The stress test complements VaR because it does not estimate the probability of losses.
C.
The stress test can replace VAR because it does not estimate the probability of losses.
D.
The stress test can replace VAR because it does not estimate the probability of losses.
解释:
B is correct.
考点:Stress testing and VaR
解析:压力测试缺乏VaR分析的核心——对损失的概率估计。但是压力测试通过估计一个或多个风险因素极端变化的损失。
因此压力测试是VaR的补充而非替代。
The stress test complements VaR because it does not estimate the probability of losses.这句话直接来看说的是压力测试是var方法的补充,因为“他不能估计损失的概率”。我觉得这句话说的不太严谨吧?还有C和D是不是完全一样?