题目
Prior to the recent 2007 financial crisis, stress testing was primarily based on which of the following characteristics? Ⅰ.Significant system-wide correlations. Ⅱ.Historical or hypothetical scenarios.
选项
A.I only.
B.II only.
C.Neither I nor II.
D.Both I and II.
答案
B
解析
Recent turmoil revealed numerous weaknesses in banks, stress caking practices, such lack of proper recognition of extreme shocks and presence of significant system-wide correlations (feedback and spillover effects) between different markets, risks, and portfolio positions. Shorter test durations and historical or hypothetical scenario-based testing were key weaknesses in stress testing practices. Actual events showed longer duration of stress conditions and breakdown of historical statistical relationships.最近的动荡暴露了银行的许多弱点，压力固化的做法，如缺乏对极端冲击的正确认识，以及在不同市场、风险和投资组合头寸之间存在显著的系统相关性(反馈和溢出效应)。较短的测试持续时间和基于历史或假想场景的测试是压力测试实践中的关键弱点。实际事件显示了更长的持续时间的压力条件和打破历史统计关系。