NO.PZ201702190100000204
问题如下：
4.The scenario analysis that Hamilton prepares for the committee is a valuable tool to supplement VaR because it:
选项：
A.incorporates historical data to evaluate the risk in the tail of the VaR distribution.
B.enables Hamilton to isolate the risk stemming from a single risk factor—the ratings downgrade.
C.allows the committee to assess the effect of low liquidity in the event of a ratings downgrade.
解释：
C is correct.
A hypothetical scenario analysis allows Hamilton to estimate the direct effect of a ratings downgrade on the portfolio’s government bond holdings and the resulting need to sell a number of the portfolio’s holdings because they no longer meet the ratings guidelines. VaR alone does not accurately reflect the risk of large position sizes, which may be difficult to trade. The hypothetical scenario analysis will also highlight the effect of increased economic turmoil on all of the portfolio’s exposures, not only the government bond exposures.
考点： scenario analysis
解析：A错在 historical data ，情景分析可以衡量尾部风险，但本题没有使用历史数据。
B，意思是情景分析可以把评级下调这一个风险因子独立出来，错，情景分析最大的优点是可以同时考虑多个风险因子的影响，独立出单一风险因子的是sensitivity analysis。
C， scenario analysis相对于VaR的最大优点是考虑了流动性风险，所以C正确
老师好，
我着实看不出这道题情景分析哪里提及liquidity了，我看到的就是评级下调。有时候做题很难分辨它是脱离题干考定义，还是根据题干考。
麻烦老师帮忙讲解下，谢谢
