章节

问题如下：

A junior analyst at a banking supervisory agency is taking an internal training class on the Vasicek model. The analyst reviews the following equations related to the model:

Which of the following statements regarding the Vasicek model is correct?

选项：

A.The default probabilities of the individual loans in a portfolio are each mapped to the standard normaldistribution Ui, of which values in the extreme right tail represent default. B.A low value of the factor F indicates that the economy is strong, while a high value of F represents economic weakness. C.For corporate borrowers, the value of the factor F is higher for loans to companies with more cyclical businesses. D.The model coefficient a directly relates to the correlations between the default probability distributions Ui of the loans in the portfolio.

解释：

D is correct. The correlation between each pair of Ui distributions is equal to a².

A is incorrect. The default probabilities are each mapped to the standard normally distributed variable Ui, however, values in the extreme left tail represent default. As such, low values of F or Zi correspond with a higher likelihood of default.

B is incorrect. High values of F indicate a strong economy, and low values of F indicate a weak economy. As such, low values of F correspond with a higher likelihood of default.

C is incorrect. F is a common factor and is equal for all loans in the portfolio.