标题: Question: stress test [打印本页] 作者: transferpricing 时间: 2011-7-11 19:21 标题: Question: stress test
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????作者: PalacioHill 时间: 2011-7-11 19:21
hellscream Wrote:
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> I thought stress test is to include the
> simultaneous adverse movements of multiple risk
> factors????
I agree !作者: NakedPuts2011 时间: 2011-7-11 19:21
yeah, but the question asks NOT a disadvantage (kind of two negatives).作者: bkballa 时间: 2011-7-11 19:21
C) "FAILS" to include the simultaneous adverse movements of risk factors.
3 negatives ?作者: mcmc 时间: 2011-7-11 19:21
AMA Wrote:
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> C) "FAILS" to include the simultaneous adverse
> movements of risk factors.
>
> 3 negatives ?
agree!!! time for a break! let me take a break to order an IPAD2 for myself now for CFA celebration!作者: wake2000 时间: 2011-7-11 19:21
BTON04 Wrote:
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> hellscream
>
> to your original statement "I thought stress test
> is to include the simultaneous adverse movements
> of multiple risk factors????", I believe this
> implies the fact that stress test fail to
> recognize correlations that exists between the
> factors that are being "stressed". So even
> though stress test may be run with multiple
> factors, the specifications are generally of the
> nature +10/-10% moves in interest rates, +10/-10%
> moves in equity prices without accounting for the
> correlations that exist between equity prices and
> interest rates.
I am convinced! cheers作者: ll11 时间: 2011-7-11 19:21
i see why its B but man the tripe negative would def throw me off
Which of the following is an Advantage of using stress testing? Stress testing:
C) fails to include the simultaneous adverse movements of risk factors
