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hover · 2019年04月08日

问一道题:NO.PZ2016072602000053

问题如下图:

    

选项:

A.

B.

C.

D.

解释:


请教老师: ASRF  应该是只 考虑单一风险,非 系统性风险(或每笔贷款的个体风险) 应该可以 被  分 散 掉,而 选 项B中说 资本要求只 依赖于“ the risk of that loan”,这种说法对吗?请指教,多谢。


1 个答案

品职答疑小助手雍 · 2019年04月09日

同学你好,B选项的描述有点扭曲,不过还是正确的,它说的“the risk of that loan”是在不改变整体portfolio的前提下的,也就是每个loan的相关性之类的已经被考虑过了(非系统风险已经分散),单个loan的capital requirement只和这个loan(分散过的)风险有关。

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2020-03-22 10:28 1 · 回答

我觉得这道题没有好~有没有周全的分析啊

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