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