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梦梦 · 2025年04月22日

对这句话不太理解

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000053

问题如下：

The Basel II risk weight function for the internal ratings-based (IRB) approach is based on the asymptotic single risk factor (ASRF) model, under which the system-wide risks that affect all obligors are modeled with only one systematic risk factor. The major reason for using the ASRF is:

选项：

A.

The model should not depend on the granularity of the portfolio.

B.

The model should be portfolio invariant so that the capital required for any given loan depends only on the risk of that loan and does not depend on the portfolio it is added to.

C.

The model should not be portfolio invariant and the capital required for any given loan should not depend on the risk of other loans.

D.

The model corresponds to the one-year VAR at a 99.9% confidence level.

解释：

B is correct. Because the capital charges for individual credits are added together, it must be invariant to the rest of the portfolio. The model also assumes infinite granularity.

老师好，“ASRF模型要求每一项单独的credit，它们的资本加成对于整个组合的其他部分应该是保持不变的。（如果是variant，可变的话，那就不能直接相加了，也就不能使用ASRF了）。”这里的“它们的资本加成对于整个组合的其他部分应该是保持不变的”是什么意思？

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1 个答案

李坏_品职助教 · 2025年04月22日

嗨，从没放弃的小努力你好：


你是想问答案解析的意思吗？

Because the capital charges for individual credits are added together, it must be invariant to the rest of the portfolio. The model also assumes infinite granularity.


这句话的意思是：

  1. 单笔贷款的资本计算仅取决于该贷款自身的风险特征​（如违约概率PD、违约损失率LGD、风险敞口EAD等），而与其所属组合的其他贷款无关。
  2. 这一特性允许银行独立计算每笔贷款的资本需求，并直接把这些贷款的资本需求加总，从而得到整个组合的总的资本要求，无需考虑组合之间的相关性。


“它们的资本加成对于整个组合的其他部分应该是保持不变的”，指的是每一个贷款自己的资本需求，与其他贷款都无关。你把这个贷款放在任何一个porfolio里面，该贷款本身的资本需求都是不变的。

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