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.
难道B不是说,随着PD的增加,相关性下降吗?