NO.PZ2023091701000150
问题如下：
A risk analyst at a bank is calculating credit risk for various types of assets in the bank’s portfolio. The analyst begins by estimating the parameters used as inputs to these calculations, and encounters several challenges while doing so. Which of the following will the analyst find to be correct regarding the estimated inputs for credit risk calculations?
选项：
A.The probability of default of a derivative counterparty often increases as the bank’s exposure at default with respect to that derivative position increases.
B.The loss given default for a derivative transaction is typically negatively correlated with the counterparty’s probability of default.
C.Banks must make both through-the-cycle and point-in-time estimates of loss given default to comply with both regulatory requirements and accounting standards.
D.Current exposure is typically used to estimate exposure at default for a line of credit in order to provide a conservative estimate.
解释：
A is correct. This is what is termed wrong-way risk. This is the risk associated with the fact that a counterparty to a company may be more likely to default when the value of outstanding derivatives is negative to the counterparty (and therefore positive to the company).
B is incorrect. The loss given default is positively correlated with probability of default (recovery rate is negatively correlated with probability of default).
C is incorrect. Banks must make both through-the-cycle and point-in-time estimates of the probability of default, not the loss given default, to comply with both regulatory requirements and accounting standards.
D is incorrect. In
the case of a line of credit, EAD can be conservatively estimated as the
customer’s borrowing limit, not the current amount drawn down.
银行的风险敞口提高，对方的pd就一定提高吗？不一定吧，如果对方是赚钱的状态呢？
D选项能翻译一下吗？
