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.
为什么随着违约概率的上升 资产与资产之间的相关性是下降的？
