题目
Which of the following statements most likely describes an advantage of using stressed risk metrics?
选项
A.The risk metric will respond to current market conditions.
B.The risk metric will be more realistic.
C.The risk metric will be more conservative.
D.The risk metric will mirror the portfolio returns.
答案
C
解析
A key advantage of using stressed risk metrics is chat they are conservative. In examining capital adequacy for unexpected losses and considering stressed metrics, the amount of capital is likely to be more than sufficient. In other words, a risk metric that is stressed is likely to be more conservative. A more conservative risk metric does not necessarily mean it is more realistic. One of the disadvantages of using stressed inputs is that the risk metric becomes unresponsive to current market conditions and is more dependent on the investments within the portfolio.压力测试是保守的，因为在使用压力测试进行风险评估，用到的数据是偏多的。并且压力测试对于当前的市场条件是不敏感的，而是更依赖与投资组合中的投资。