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410140980 · 2022年11月04日

越低的违约相关性越高的违约概率

  1. FRM II
  2. Basel Accord

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：

A.

PDs and LGDs are assumed to be uncorrelated.

B.

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.

老师这个B选项越低的违约相关性越高的违约概率，我记得视频老师解释是烂公司各有各的烂。 那这道题是问不是内部评级法的缺点，也就是选择优点，我不懂B怎么变成优点了

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1 个答案

DD仔_品职助教 · 2022年11月05日

嗨，努力学习的PZer你好：


你不能把它理解为是一个优点，我们只能说B描述的跟实际情况是一致的，所以不是一个drawback，选B。

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