开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

nicole 麦子🌳 · 2025年07月09日

老师 请问这D错在哪里了

NO.PZ2019052001000141

问题如下:

Which of the following statements regarding the choice of default probability approaches in computing economic capital is correct?

选项:

A.

A through-the-cycle (TTC) approach should be used to price financial instruments with credit risk exposure.

B.

A point-in-time (PIT) approach is more commonly used for computations involving profitability and strategic decisions.

C.

A TTC approach is more likely to result in a lower volatility of capital compared to the PIT approach.

D.

A firm’s rating will not change when analyzed under the PIT approach versus the TTC approach.

解释:

A firms rating is more likely to change when analyzed under the point-in-time (PIT) approach compared to the through-the-cycle (TTC) approach. As a result, the TTC approach results in a lower volatility of economic capital compared to the PIT approach.

A PIT approach should be used to price financial instruments with credit risk exposure and to compute short-term expected losses. A TTC approach is more commonly used for computations involving profitability, strategic decisions, and economic capital.

如题

1 个答案

李坏_品职助教 · 2025年07月09日

嗨,努力学习的PZer你好:


D.

A firm’s rating will not change when analyzed under the PIT approach versus the TTC approach.


D意思是,在用PIT方法进行分析的时候,公司的信用评级是不会发生变化的。


这个内容是在credit risk里面的,这个题目分类有点问题。 PIT指的是 point-in-time approach:

按照credit risk的基础班讲义的内容,PIT方法是截图上面的那个红色虚线,可以看到rating几乎是随着周期变化的,所以PIT方法下的评级变化是更频繁的。


----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 3

    浏览
相关问题

NO.PZ2019052001000141问题如下Whiof the following statements regarng the choiceof fault probability approaches in computing economic capitis correct? A.A through-the-cycle (TTapproashoulusetoprifinanciinstruments with cret risk exposure. B.A point-in-time (PIT) approais more commonly useor computations involving profitability anstrategic cisions. C.A TTC approais more likely to result in a lowervolatility of capitcompareto the PIT approach. A firm’s rating will not change when analyzeunrthe PIT approaversus the TTC approach. A firm’s rating is more likely to change when analyzeunr thepoint-in-time (PIT) approacompareto the through-the-cycle (TTapproach.a result, the TTC approaresults in a lower volatility of economic capitalcompareto the PIT approach. A PIT approashouluseto prifinancialinstruments with cret risk exposure anto compute short-term expecteosses. A TTC approais more commonly usefor computations involvingprofitability, strategic cisions, aneconomic capital. TTC用了更长时间的数据,应该包括更多损失,数值更大,为什么波动率更小?

2022-04-07 15:44 1 · 回答

NO.PZ2019052001000141 哈喽哈喽 这题在基础班讲义有? 应该不是economic capital那一节的? 题目是不是放错了章节啊哈哈~ 虽然从两个metho字面意思也可以蒙出来啊哈哈哈~ 蟹蟹蟹蟹~

2021-09-13 01:05 1 · 回答

 prifinanciinstruments with cret risk exposure 这句话怎么理解,FRM的题太难读懂了

2020-08-24 23:09 1 · 回答