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和棋 · 2021年04月03日

D为什么是错的

  1. FRM II
  2. Basel Accord

NO.PZ2016072602000053

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.

D为什么是错的

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1 个答案

品职答疑小助手雍 · 2021年04月05日

嗨，努力学习的PZer你好：


他问的是问ASRF的主要原因，这题主要是问为什么要用ASFR，因为在衡量信用风险时存在一个问题，银行的债务人非常多，而他们之间也会有相关性，随着人数的增加，要考虑的相关性呈几何级数增加，从而给信用风险计量造成很大困难。因此，采用ASRF模型时，银行会自行估计相关性，而使得在计量单个贷款时不用考虑它所在的贷款组合的影响。选择用一年的99.9%的置信度的var不是它的原因。

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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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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

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

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

2020-03-22 10:28 1 · 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