A researcher at a national regulatory agency is examining the use of the standardized ratings-based approach (SA) and the advanced internal ratings- based (A-IRB) approach in determining credit risk capital. The researcher evaluates the implications of applying these approaches on two different banks, Global Bank and Resource Bank. Information about the credit exposures of the two banks is provided below:
• Global Bank lends to large global corporations that have highly diverse business lines by providing sizable long-dated unsecured credit facilities.
• Resource Bank lends to oil and gas producers in its region, most of which have small-scale operations.
Which of the following is the most appropriate conclusion for the researcher to reach?
正确答案是: B
A
The A-IRB approach does not adjust for maturity, which means that A-IRB could undercapitalize the long-dated exposures at Global Bank.
B
The SA gives lower risk weights to unrated credits than to credits rated B+ or lower, which may incentivize Resource Bank to lend to unrated companies with poor credit quality.
C
Model parameters used in the SA effectively capture the high default correlation that is likely to exist between Resource Bank’s lending counterparties.
D
The A-IRB approach would require Global Bank to model the exposure at default while using a probability of default specified by the Basel committee.
B选项对应的是哪个知识点，讲义有讲过吗
