问一道题：NO.PZ2019052001000044 [ FRM II ]

NO.PZ2019052001000044 问题如下 When calculating the probability of fault of economic capital, you cchoose two ways: A point-in-time (PIT) probability of fault anthe through-the-cycle (TTprobability of fault. fferent calculation incators apply to fferent scenarios. Whiof the following options is correct? A.A point-in-time (PIT) approashouluseto compute long-term expectelosses. B.A point-in-time (PIT) approais more likely to result in a lower volatility of capitcompareto the TTC approach. C.Comparewith the capitcalculateusing the PIT metho the capitcalculatethe TTC methowill have a smaller volatility. When companies calculate fault probabilities in orr to make strategic cisions, they shouluse the PIT approach. C is correct. 考点PIT TTC解析A计算长期的预期损失时，应该考虑到经济周期的影响，所以应该使用through-the-cycle TTC方法。B应该是考虑了整个经济周期的TTC方法算出的capital的波动率更小。战略决定应该考虑长期，所以应该使用TTC方法。 如题