No.PZ2019070901000098 (选择题)
来源:
The Basel committee tends to utilize overlapping time periods for stress testing, so liquidity horizons are incorporated into the expected shortfall calculations in the internal models-based approach. Which of the following statements is correct?
A
A series of trials are used to scale smaller time periods up to longer time periods.
B
For different liquidity horizons, approriate weights are assigned, besides, the Basel Committee has to decide a correlation factor for it.
C
Over a 250-day window of time, expected shortfall is measured over a base horizon of 20 days.
D
The expected shortfall is based on a waterfall of the liquidity horizon categories and is then scaled to the square root of the difference in the horizon lengths of the nested risk factors.
求翻译、解释题干和答案D。
