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朵朵0927 · 2021年09月15日

b/c

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000053

问题如下：

The Basel II risk weight function for the internal ratings-based (IRB) approach is based on the asymptotic single risk factor (ASRF) model, under which the system-wide risks that affect all obligors are modeled with only one systematic risk factor. The major reason for using the ASRF is:

选项：

A.

The model should not depend on the granularity of the portfolio.

B.

The model should be portfolio invariant so that the capital required for any given loan depends only on the risk of that loan and does not depend on the portfolio it is added to.

C.

The model should not be portfolio invariant and the capital required for any given loan should not depend on the risk of other loans.

D.

The model corresponds to the one-year VAR at a 99.9% confidence level.

解释：

B is correct. Because the capital charges for individual credits are added together, it must be invariant to the rest of the portfolio. The model also assumes infinite granularity.

老师，能麻烦讲一下b\c吗？

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1 个答案

李坏_品职助教 · 2021年09月15日

嗨，爱思考的PZer你好：


这道题目问的是IRB内部评级法的ASRF模型，使用这个模型的主要原因是什么？


ASRF模型要求每一项单独的credit，它们的资本加成对于整个组合的其他部分应该是保持不变的。（如果是variant，可变的话，那就不能直接相加了，也就不能使用ASRF了）。所以B是对的。


C说shoould not be invariant，意思就是should be variant，明显违反ASRF的要求

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我觉得这道题没有好～有没有周全的分析啊

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