C错哪了？

问题如下：

An enterprise risk manager at a large US-based bank is reviewing the bank’s stress testing and scenario analysis approaches to recommend potential improvements. The manager prepares a presentation describing some benefits of stress testing and scenario analysis as well as the regulatory and historical context of these two approaches. Which of the following statements is correct?

选项：

A.Sensitivity testing involves substituting several key variables with alternative variables to explore risk model results under stressful conditions. B.Scenario analysis is used to model the effects that abnormal events and events with no historical data could have on the bank’s performance. C.In the Comprehensive Capital Analysis and Review (CCAR) stress test, banks with assets above USD 50 billion are limited to the use of a single severely adverse scenario developed by supervisors. D.Scenario analysis that included the assessment of the impact of cumulative exposures across multiple business lines were widely used across the banking industry even prior to the 2007-2009 financial crisis.

解释：

Explanation: B is correct. Scenario analysis helps firms model the enterprise impact of abnormal events and events for which there is no historical data.

A is incorrect. Stress testing involves changing one or more key variables to explore risk model results under stressful conditions. Sensitivity testing explores the sensitivity of a risk model to changes in a given variable and does not involve substituting some variables with others.

C is incorrect. The Comprehensive Capital Analysis and Review (CCAR) stress test in the US is conducted at the end of the year for banks with assets above USD 50 billion. The Federal Reserve requires banks to utilize three supervisor-devised macroeconomic scenarios: baseline, adverse and severely adverse. CCAR also obliges banks to generate their own scenarios to complement the supervisory scenarios.

D is incorrect. Bank scenario analysis was not well constructed and did not include the impact of cumulative exposures across multiple business prior to the financial crisis. After the crisis, it became apparent that banks often failed to consider factors such as the cumulative exposures across multiple business lines, how different risks interacted with one another, and how the behavior of market participants might change under stress.

Learning Objective: Explain the role of scenario analysis in the implementation of an ERM program and describe its advantages and disadvantages.

Reference: Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2023, Chapter 8, Enterprise Risk Management and Future Trends [FRM-8].