- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 42. Measuring and Managing Market Risk
- Subject 2. Other Key Risk Measures
CFA Practice Question
Which statement is false?
A. Stress tests and scenario analyses can be used to eliminate a portfolio's risk exposures.
B. A portfolio that has no sensitivity to any stress event is unlikely to make more than the risk-free rate.
C. Hypothetical scenarios are very useful in being able to stress correlation parameters.
Explanation: They can be used to understand a portfolio's risk exposures, not to eliminate them.
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