Question
21.Which of the following statements about stress testing are true? I. Stress testing can complement VaR estimation in helping risk managers identify how vulnerable a
21.Which of the following statements about stress testing are true? I. Stress testing can complement VaR estimation in helping risk managers identify how vulnerable a portfolio might be to a variety of extreme events. II. Stress tests cannot be used in VaR estimates. III. Random combinations of stress shocks could be inconsistent with the basic laws of economics. IV. The inclusion of a large number of scenarios helps management better understand the risk exposure of a portfolio. I and III only II and IV only I, III, and IV only I, II, III, and IV
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