开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

hbc0728 · 2022年03月10日

还请老师帮忙解释一下D选项，谢谢

  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.

FIRB是如何区分单风险因子与多风险因子的

添加评论
1 个答案
已采纳答案

DD仔_品职助教 · 2022年03月11日

嗨，从没放弃的小努力你好：


同学你好，

只考虑到了系统性风险的模型就是单因子模型，除了系统性风险以外还考虑到了其他风险因子的模型就是多因子模型。

FIRB法下我们只学习了渐进单因子模型，没有提到任何关于多因子模型的事情，所以d是一个问题，不选他。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 349

    浏览
相关问题

NO.PZ2016072602000054 问题如下 Whiof the following is not a awbaof the Basel II fountion internratings-base(IRapproach? P anLG are assumeto be uncorrelate Asset correlations crease with increasing P. The portfolio of the financial institution is assumeto infinitely granular. The approauses a single risk factor portfolio mol insteof a multiple risk factor mol. B is correct. In practice, P anLG are positively correlate so statement a. is a problem. Years with higher P are associatewith higher LG. Portfolios mnot highly granular, so statement is a problem. The portfolio mbe exposeto multiple common risk factors, so statement is a problem. In contrast, we observe in practithlow crets tento have more iosyncratic risk, whimeans thhigh P have low correlations. awbaof the Basel II fountion internratings-base(IR出现在讲义哪里?

2023-10-02 16:07 1 · 回答

NO.PZ2016072602000054 问题如下 Whiof the following is not a awbaof the Basel II fountion internratings-base(IRapproach? P anLG are assumeto be uncorrelate Asset correlations crease with increasing P. The portfolio of the financial institution is assumeto infinitely granular. The approauses a single risk factor portfolio mol insteof a multiple risk factor mol. B is correct. In practice, P anLG are positively correlate so statement a. is a problem. Years with higher P are associatewith higher LG. Portfolios mnot highly granular, so statement is a problem. The portfolio mbe exposeto multiple common risk factors, so statement is a problem. In contrast, we observe in practithlow crets tento have more iosyncratic risk, whimeans thhigh P have low correlations. correlation 和p么成负相关的呢这个题ac是错的，是么？b怎么对》

2023-04-07 19:37 1 · 回答

NO.PZ2016072602000054 问题如下 Whiof the following is not a awbaof the Basel II fountion internratings-base(IRapproach? P anLG are assumeto be uncorrelate Asset correlations crease with increasing P. The portfolio of the financial institution is assumeto infinitely granular. The approauses a single risk factor portfolio mol insteof a multiple risk factor mol. B is correct. In practice, P anLG are positively correlate so statement a. is a problem. Years with higher P are associatewith higher LG. Portfolios mnot highly granular, so statement is a problem. The portfolio mbe exposeto multiple common risk factors, so statement is a problem. In contrast, we observe in practithlow crets tento have more iosyncratic risk, whimeans thhigh P have low correlations. 请问C 问题在哪里啊？解析没看懂

2022-11-18 17:01 1 · 回答

NO.PZ2016072602000054 问题如下 Whiof the following is not a awbaof the Basel II fountion internratings-base(IRapproach? P anLG are assumeto be uncorrelate Asset correlations crease with increasing P. The portfolio of the financial institution is assumeto infinitely granular. The approauses a single risk factor portfolio mol insteof a multiple risk factor mol. B is correct. In practice, P anLG are positively correlate so statement a. is a problem. Years with higher P are associatewith higher LG. Portfolios mnot highly granular, so statement is a problem. The portfolio mbe exposeto multiple common risk factors, so statement is a problem. In contrast, we observe in practithlow crets tento have more iosyncratic risk, whimeans thhigh P have low correlations. 老师这个B越低的违约相关性越高的违约概率，我记得视频老师是烂公司各有各的烂。 那这道题是问不是内部评级法的缺点，也就是选择优点，我不懂B怎么变成优点了

2022-11-04 20:55 1 · 回答

NO.PZ2016072602000054 问题如下 Whiof the following is not a awbaof the Basel II fountion internratings-base(IRapproach? P anLG are assumeto be uncorrelate Asset correlations crease with increasing P. The portfolio of the financial institution is assumeto infinitely granular. The approauses a single risk factor portfolio mol insteof a multiple risk factor mol. B is correct. In practice, P anLG are positively correlate so statement a. is a problem. Years with higher P are associatewith higher LG. Portfolios mnot highly granular, so statement is a problem. The portfolio mbe exposeto multiple common risk factors, so statement is a problem. In contrast, we observe in practithlow crets tento have more iosyncratic risk, whimeans thhigh P have low correlations. 老师，这题我看讲义上81页上讲的是 low-correlateassets会有 high iosyncratic risk.而这个答案解析中的low crets tento have more iosyncratic risk 讲的是什么内容？这俩是同一性质还是不同的？不太理解这个最后一句解析在哪里出现过。

2022-05-07 14:49 1 · 回答