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: 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.
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?