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滴滴姐姐~ · 2021年11月02日

讲讲C吧。。。咋就不是infinitely granular了呢。。。

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000054

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.

single factor model不都Ui F Zi了吗~ 那这个i是每个资产吧。。。就已经细分到每个asset了~ 你还要我怎样 要怎样 突然来的短信就够我忧伤（不是


蟹蟹蟹蟹！

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1 个答案

李坏_品职助教 · 2021年11月03日

嗨，从没放弃的小努力你好：


C说的infinitely granular是指的在数学上类似于连续型变量那样的porfolio，你说的每个资产分开还算不上infinitely granular。


IRB的算法逻辑决定了他是要求porffolio无限可分割的，这是不符合实际的。所以C是IRB的一个缺点，不选C。


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努力的时光都是限量版，加油！

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