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- 2011-7-2
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- 2016-4-19
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Which of the following is NOT a disadvantage of using stress testing? Stress testing:
A) reflects the analyst’s intentional and unintentional misspecification of the model.
B) reflects only normal circumstances.
C) fails to include the simultaneous adverse movements of risk factors.
answer is B (easy)... but how about C?
The answer says:
Stress testing is susceptible, however, to the analyst’s intentional and unintentional misspecification of the model, the failure to examine the by-products of major factor movements (how does a change in one factor affect the value of another), and the failure to include the simultaneous adverse movements of risk factors.
I thought stress test is to include the simultaneous adverse movements of multiple risk factors???? |
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发表于 2011-7-11 19:21
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