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金融民工阿聪 · 2021年03月21日

D为什么错

NO.PZ2016072602000051

问题如下:

Which of the following statements is not correct about the foundation IRB and the advanced IRB approaches for credit risk capital charges in Basel II?

选项:

A.

Under the advanced IRB approach, banks are allowed to use their own estimates of PD, LGD, EAD, and correlation coefficient but must use the risk weight functions provided by the supervisors.

B.

Under the foundation IRB approach, banks provide their own estimates of PD and rely on supervisory estimates for other risk components.

C.

Banks adopting the advanced IRB approach are expected to continue to employ this approach. A voluntary return to the standardized approach is permitted only in extraordinary circumstances.

D.

Under both foundation IRB and advanced IRB approaches, the expected loss is not included in the credit risk capital charge.

解释:

A is correct. Banks are never allowed to use their own correlations.

D里面说的EL,是考虑的吧?在IRB里面,公式不是都包含了(WCDR-PD)*EAD*LGD*MA,其中PD*LGD*EAD不就是=EL吗?

1 个答案

小刘_品职助教 · 2021年03月21日

同学你好,

这个要从credit risk capital charge的本质来说,他是用来考虑cover unexpected loss的,之所以公式里有EL,是因为要把EL扣除掉,恰恰说明了不需要将EL的损失包含在内。

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