NO.PZ2019070901000102
问题如下:
According to Basel II Accord, which one of following best describe credit risk mitigation techniques:
选项:
A.Only use the risk weight of the collateral replace the risk weight of the counterparty for the secured portion of the exposure.
B.Only adjust the size of the exposure upward and the value of the collateral downward.
C.Use the risk weight of the collateral replace the risk weight of the counterparty for the secured portion of the exposure, and adjust the size of the exposure upward and the value of the collateral downward.
D.No adjustment should be applied.
解释:
C is correct.
考点:credit risk mitigation techniques
解析:
Credit risk mitigation techniques包括简单法和综合法两种,简单法就是使用抵押品的风险权重代替对手方的风险权重;综合法则是调高风险敞口同时调低抵押品价值。
Foundation IRB是不是只能用综合法?