问题如下:
Which of the following statements about principles of stress test is incorrect?
选项:
A. A bank should not include non-contractual off-balance sheet exposures in its stress tests.
B. A bank should therefore include warehouse and pipeline risk exposures in its regular stress tests.
C. A bank should develop methodologies to measure the effect of reputational risk.
D. Basis risk should be considered with hedging positions.
解释:
A is corrct.
考点:Stress testing
解析:
本题是选出说法不正确的选项。 银行应该在压力测试中包括非合同的表外风险,因为这些业务可能会导致银行声誉受损。A选项说法错误。
银行应将管道和仓库风险相纳入其定期压力测试中,并且应制定方法来衡量声誉风险对其他风险类型的影响。当对冲的头寸出现基差风险的时候,银行也可能遭受损失,所以衡量基差风险也应该在压力测试中考虑。B、C、D说法正确。
压力测试的课件上很多都没有提到,应该从哪里去了解更多?