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Eve · 2020年05月02日

问一道题:NO.PZ2016072602000053 [ FRM II ]

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.

请问一下C选项,和B选项的区别

2 个答案

品职答疑小助手雍 · 2020年05月04日

嗨,努力学习的PZer你好:


首先C的第一句话多了个not,和ASRF的假设不符。

然后ASDF假设的是风险都被分散了只留下系统性风险,也就是每个loan留下和系统性风险关联的因子(这点B选项的描述有点扭曲),其他每个loan也都有和系统性风险关联的因子,这也是计算时候考虑的单因素因子。但是C选项说每个loan都不相关,不能完全说得过去,因为每个loan都和系统性风险相关(有点相当于他们通过系统性风险间接相关的感觉。)


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努力的时光都是限量版,加油!


品职答疑小助手雍 · 2020年05月04日

嗨,从没放弃的小努力你好:


首先C的第一句话多了个not,和ASRF的假设不符。

然后ASDF假设的是风险都被分散了只留下系统性风险,也就是每个loan留下和系统性风险关联的因子(这点B选项的描述有点扭曲),其他每个loan也都有和系统性风险关联的因子,这也是计算时候考虑的单因素因子。但是C选项说每个loan都不相关,不能完全说得过去,因为每个loan都和系统性风险相关(有点相当于他们通过系统性风险间接相关的感觉。)


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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我觉得这道题没有好~有没有周全的分析啊

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