CD

问题如下：

Each of the following is true about the internalratings-based (IRB) approaches to credit risk under Basel III, except which isfalse?

选项：

A.

In both approaches (FIRB and AIRB) each debt is issueris assigned a probability of default (PD) according to the bank’s internalrating system

B.

In both approaches (FIRB and AIRB) the goal is to compute a credit risk charge that supports unexpected credit losses at a 99.9% confidence level over a one-year horizon

C.

In both approaches (FIRB and AIRB) the credit risk function is a multi-factor(APT) model which does not assume the credit portfolio is diversified

D.

In Foundation IRB approach, only default probability (PD) is assigned by the bank’s internal model; but exposure at default (EAD) is based on credit conversion factors (CCF), LGD is set to either 45% or 75%, and residual maturity is generally fixed at 2.5 years

解释：

Perhaps the critical assumption of theinternal ratings-based models is so-called portfolio invariance: individualexposure charges do not depend on the rest of the credit portfolio, but ratherdepend on their presumed correlation to a single factor. This is achieved withthe dubious assumption of a well-diversified (“infinitely granular”) portfolioand exposure to a single common risk factor (the asymptotic risk factor, ASRF).

In regard to (A), (B) and (D), each is true.