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pz-stepsutake · 2020年03月22日

问一道题:NO.PZ2016072602000054 FIRB假设

问题如下:

Which of the following is not a drawback of the Basel II foundation internal ratings-based (IRB) approach?

选项:

A.

PDs and LGDs are assumed to be uncorrelated.

B.

Asset correlations decrease with increasing PDs.

C.

The portfolio of the financial institution is assumed to be infinitely granular.

D.

The approach uses a single risk factor portfolio model instead of a multiple risk factor model.

解释:

B is correct. In practice, PDs and LGDs are positively correlated, so statement a. is a problem. Years with higher PDs are associated with higher LGDs. Portfolios may not be highly granular, so statement c. is a problem. The portfolio may be exposed to multiple common risk factors, so statement d. is a problem. In contrast, we do observe in practice that low credits tend to have more idiosyncratic risk, which means that high PDs have low correlations.

请问,FIRB模型,PD和LDG之间无关的假设,是从哪得出来的。在讲义的哪里。没有找到,也没有领悟到啊

1 个答案

品职答疑小助手雍 · 2020年03月22日

同学你好,foundation的IRB,PD是由银行估计的,EAD和LGD是监管估计的,肯定就相互独立了啊~

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