题目
About stress testing methodologies, BIS writes, "Stress tests cover a range of methodologies. Complexity can vary, ranging from simple sensitivity tests to complex stress tests, which aim to assess the impact of a severe macroeconomic stress event on measures like earnings and economic capital. Stress tests may be performed at varying degrees of aggregation, from the level of an individual instrument up to the institutional level. Stress tests are performed for different risk types including market, credit, operational and liquidity risk.Notwithstanding this wide range of methodologies, the crisis has highlighted several methodological weaknesses." According to BIS, which were the primary WEAKNESSES of stress testing methodologies during the crisis?
选项
A.Most models relied on historical statistical relationship and insufficiently aggregated risks across the firm, often due to infrastructure limitations
B.Too many scenarios were overly complex such that participants often did not understand the output; and the output was not communicated in an easy-to-understand manner
C.Due to lack of general quantitative aptitude at the executive level, too often the subjective or qualitative judgment of so-called experts was utilized instead of objective data
D.Scenarios tended to emphasize extremely severe market events, sometimes exaggerated beyond all realism, and therefore ironically ignored more plausible but mundane scenarios
答案
A
解析
Most models relied on historical statistical relationship and insufficiently aggregated risks across the firm, often due to infrastructure limitations大多数模型都依赖于历史统计关系，并且由于基础设施的限制，整个公司的风险汇总不足