Greg Beck is using the conditional scenario method while conducting multidimensional scenario analysis. Which of the following statements are NOT characteristics of his correlation estimates?
　　I.The correlations are calculated from stressed time periods only.
　　II.All risk factor correlations are weighted equally.
　　III.Stressed correlations are estimated as three times the value as those in a normal market.
　　A. I and III.
　　B. II and III.
　　C. I, II and III.
　　D. I and II.
　　Answer:C
　　Correlations are calculated from the entire sample period (includes normal and stressed markets). The model focuses on a subset of risk factors and the remaining factors are “zeroed out.”