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pz-stepsutake · 2020年03月22日

问一道题：NO.PZ2016072602000053

  1. FRM II
  2. Basel Accord

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.

 请问，解析里，The model also assumes infinite granularity.怎么理解

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1 个答案

小刘_品职助教 · 2020年03月22日

同学你好，

The model also assumes infinite granularity 是指ASFR模型的假设之一是无限分散，即银行贷款组合是无限分散的，每一笔贷款集中度极低。

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NO.PZ2016072602000053 The Basel II risk weight function for the internratings-base(IRapproais baseon the asymptotic single risk factor (ASRF) mol, unr whithe system-wi risks thaffeall obligors are molewith only one systematic risk factor. The major reason for using the ASRF is: The mol shoulnot penon the granularity of the portfolio. The mol shoulportfolio invariant so ththe capitrequirefor any given lopen only on the risk of thloanes not penon the portfolio it is aeto. The mol shoulnot portfolio invariant anthe capitrequirefor any given loshoulnot penon the risk of other loans. The mol correspon to the one-yeVa 99.9% confinlevel. B is correct. Because the capitcharges for invicrets are aetogether, it must invariant to the rest of the portfolio. The mol also assumes infinite granularity. 老师，能麻烦讲一下b\c吗？

2021-09-15 06:08 1 · 回答

NO.PZ2016072602000053 The Basel II risk weight function for the internratings-base(IRapproais baseon the asymptotic single risk factor (ASRF) mol, unr whithe system-wi risks thaffeall obligors are molewith only one systematic risk factor. The major reason for using the ASRF is: The mol shoulnot penon the granularity of the portfolio. The mol shoulportfolio invariant so ththe capitrequirefor any given lopen only on the risk of thloanes not penon the portfolio it is aeto. The mol shoulnot portfolio invariant anthe capitrequirefor any given loshoulnot penon the risk of other loans. The mol correspon to the one-yeVa 99.9% confinlevel. B is correct. Because the capitcharges for invicrets are aetogether, it must invariant to the rest of the portfolio. The mol also assumes infinite granularity. 什么是错的

2021-04-03 16:59 1 · 回答

The mol shoulportfolio invariant so ththe capitrequirefor any given lopen only on the risk of thloanes not penon the portfolio it is aeto. The mol shoulnot portfolio invariant anthe capitrequirefor any given loshoulnot penon the risk of other loans. The mol correspon to the one-yeVa 99.9% confinlevel. B is correct. Because the capitcharges for invicrets are aetogether, it must invariant to the rest of the portfolio. The mol also assumes infinite granularity. 请问一下C，和B的区别

2020-05-02 17:12 2 · 回答

我觉得这道题没有好～有没有周全的分析啊

2019-11-05 21:41 2 · 回答