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echo919 · 2020年02月21日

问一道题：NO.PZ2016082406000087

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A bank computes the distribution of its loan portfolio marked-to-market value one year from now using the CreditMetrics approach of computing values for rating transition outcomes using a rating agency transition matrix, current forward curves, and correlations among rating transition outcomes derived from stock returns of the obligors. In computing firm-wide risk using this distribution of its loan portfolio, the bank is most likely to understate its risk because it ignores

选项：

A.

The term structure of interest rates

B.

Rating drift

C.

Spread risk

D.

The negative correlation between the Treasury rates and credit spreads

解释：

ANSWER: C

CreditMetrics ignores spread risk. It does account for rating drift and the term structure of interest rates, albeit not their volatility.

什么是rating drift

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orange品职答疑助手 · 2020年02月21日

同学你好，它是评级变化的意思。模型中已经考虑到了评价变化的影响（…… using a rating agency transition matrix），所以没有ignore评级变化

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2021-04-03 17:38 1 · 回答

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2019-08-27 23:28 1 · 回答

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2019-05-10 11:34 2 · 回答