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。
这道题目问的是对于压力测试理解不正确的一项。C的意思是声誉风险也应该考虑在压力测试之中吗?