Level III 2026 Portfolio Management Mock Exam A - Session 1
Which of Rosen’s statements about Country B is least likely correct?
A Statement 1
B Statement 2
C Statement 3
解析：
A.Incorrect because Statement 1 is correct. Useful data may exist on only a few historical business cycles, which may not include instances of negative rates. In addition, fundamental structural/institutional changes in markets and the economy may have occurred since this data was generated.
B. Incorrect because Statement 2 is correct. Forecasting must account for differences between the current environment and historical averages. Historical averages, which average out differences across phases of the cycle, will be even less reliable than usual.
C.Correct because Statement 3 is incorrect. Quantitative models, especially statistical models, often fail in scenarios that differ from those on which they were estimated/calibrated.
