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小爽加油呀 · 2023年04月07日

b 不明白

  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.

correlation 和pd怎么成负相关的呢


这个题acd都是错的，是么？

b怎么对》

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1 个答案

DD仔_品职助教 · 2023年04月08日

嗨，从没放弃的小努力你好：


同学你好，

acd都是IRB的drawbacks，只有b不是IRB的drawbacks：

因为就是好的公司千篇一律；高PD的差公司，各有各的差法，所以差公司之间的相关性小。

b只能说是一个事实，不是drawbacks

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努力的时光都是限量版，加油！

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