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Wenny · 2020年10月04日

问一道题:NO.PZ2016072602000054 [ FRM II ]

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.

  1. 这个题的的做题思路是什么呢?并不是很理解not drawback的问法
1 个答案

袁园_品职助教 · 2020年10月05日

同学你好!

四个选项都是这个模型的正确假设,只不过ACD的假设与in practice 不一致(所以是缺点),而B假设本身与in practice 一致 (所以不是缺点)

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