题目
Value at risk (VaR) measures should be supplemented by portfolio stress testing because:
选项
A.VaR does not indicate how large the losses will be beyond the specified confidence level.
B.Stress testing provides a precise maximum loss level.
C.VaR measures are correct only 95% of the time.
D.Stress testing scenarios incorporate reasonably probable events.
答案
A
解析
VaR indicates the potential loss at a given confidence level but doesn't reveal how much can be lost beyond that level. Stress testing provides this information.VaR表示在给定置信水平下的潜在损失，但没有透露超出该水平会损失多少。 压力测试可提供此信息