NO.PZ2016072602000054
问题如下：
Which of the following is not a drawback of the Basel II foundation internal ratings-based (IRB) approach?
选项： PDs and LGDs are assumed to be
uncorrelated.
Asset correlations decrease with increasing PDs.
C.The portfolio of the financial institution is assumed to be infinitely granular.
D.The approach uses a single risk factor portfolio model instead of a multiple risk factor model.
解释：
B is correct. In practice, PDs and LGDs are positively correlated, so statement a. is a problem. Years with higher PDs are associated with higher LGDs. Portfolios may not be highly granular, so statement c. is a problem. The portfolio may be exposed to multiple common risk factors, so statement d. is a problem. In contrast, we do observe in practice that low credits tend to have more idiosyncratic risk, which means that high PDs have low correlations.
老师，这题我看讲义上81页上讲的是 low-correlated assets会有 high idiosyncratic risk.而这个答案解析中的low credits tend to have more idiosyncratic risk 讲的是什么内容？这俩是同一性质还是不同的？不太理解这个最后一句解析在哪里出现过。
