开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

小宋宋 · 2021年05月13日

关于D 的不理解

NO.PZ2016072602000051

问题如下:

Which of the following statements is not correct about the foundation IRB and the advanced IRB approaches for credit risk capital charges in Basel II?

选项:

A.

Under the advanced IRB approach, banks are allowed to use their own estimates of PD, LGD, EAD, and correlation coefficient but must use the risk weight functions provided by the supervisors.

B.

Under the foundation IRB approach, banks provide their own estimates of PD and rely on supervisory estimates for other risk components.

C.

Banks adopting the advanced IRB approach are expected to continue to employ this approach. A voluntary return to the standardized approach is permitted only in extraordinary circumstances.

D.

Under both foundation IRB and advanced IRB approaches, the expected loss is not included in the credit risk capital charge.

解释:

A is correct. Banks are never allowed to use their own correlations.

为什么在advanced internal approach 中为什么没有EL。 在WCDR 中不是有(WCDR -PD)EAD*LGD 吗? 这里不是涉及了EL= pd*lgd*EDA 吗?

1 个答案

小刘_品职助教 · 2021年05月13日

同学你好,

这个要从credit risk capital charge的本质来说,他是用来考虑cover unexpected loss的,之所以公式里有EL,是因为要把EL扣除掉,恰恰说明了不需要将EL的损失包含在内。

  • 1

    回答
  • 0

    关注
  • 488

    浏览
相关问题

NO.PZ2016072602000051问题如下 Whiof the following statements is not correabout the fountion IRB anthe aanceIRB approaches for cret risk capitcharges in Basel II? Unr the aanceIRB approach, banks are alloweto use their own estimates of P LG EA ancorrelation coefficient but must use the risk weight functions provithe supervisors. Unr the fountion IRB approach, banks provi their own estimates of Panrely on supervisory estimates for other risk components. Banks apting the aanceIRB approaare expecteto continue to employ this approach. A voluntary return to the stanrzeapproais permitteonly in extraornary circumstances. Unr both fountion IRB anaanced IRB approaches, the expecteloss is not incluin the cret risk capital charge. A is correct. Banks are never alloweto use their own correlations. 具体问题如题,四个能分别一下吗

2023-11-10 12:00 1 · 回答

NO.PZ2016072602000051问题如下 Whiof the following statements is not correabout the fountion IRB anthe aanceIRB approaches for cret risk capitcharges in Basel II? Unr the aanceIRB approach, banks are alloweto use their own estimates of P LG EA ancorrelation coefficient but must use the risk weight functions provithe supervisors. Unr the fountion IRB approach, banks provi their own estimates of Panrely on supervisory estimates for other risk components. Banks apting the aanceIRB approaare expecteto continue to employ this approach. A voluntary return to the stanrzeapproais permitteonly in extraornary circumstances. Unr both fountion IRB anaanced IRB approaches, the expecteloss is not incluin the cret risk capital charge. A is correct. Banks are never alloweto use their own correlations. 麻烦看看a,我认为是对的,相关系数是监管者给的模型来算呀

2023-11-05 21:57 1 · 回答

NO.PZ2016072602000051问题如下 Whiof the following statements is not correabout the fountion IRB anthe aanceIRB approaches for cret risk capitcharges in Basel II? Unr the aanceIRB approach, banks are alloweto use their own estimates of P LG EA ancorrelation coefficient but must use the risk weight functions provithe supervisors. Unr the fountion IRB approach, banks provi their own estimates of Panrely on supervisory estimates for other risk components. Banks apting the aanceIRB approaare expecteto continue to employ this approach. A voluntary return to the stanrzeapproais permitteonly in extraornary circumstances. Unr both fountion IRB anaanced IRB approaches, the expecteloss is not incluin the cret risk capital charge. A is correct. Banks are never alloweto use their own correlations. Correlation和P关,P自己估计的,那correlation不也相当于银行自己估计吗

2023-07-17 21:50 3 · 回答

NO.PZ2016072602000051 Whiof the following statements is not correabout the fountion IRB anthe aanceIRB approaches for cret risk capitcharges in Basel II? Unr the aanceIRB approach, banks are alloweto use their own estimates of P LG EA ancorrelation coefficient but must use the risk weight functions provithe supervisors. Unr the fountion IRB approach, banks provi their own estimates of Panrely on supervisory estimates for other risk components. Banks apting the aanceIRB approaare expecteto continue to employ this approach. A voluntary return to the stanrzeapproais permitteonly in extraornary circumstances. Unr both fountion IRB anaanceIRB approaches, the expecteloss is not incluin the cret risk capitcharge. A is correct. Banks are never alloweto use their own correlations. 想问下大方向不是VaR-EL吗?的是不考虑EL,该如何理解?谢谢

2022-03-13 17:23 1 · 回答

NO.PZ2016072602000051 Whiof the following statements is not correabout the fountion IRB anthe aanceIRB approaches for cret risk capitcharges in Basel II? Unr the aanceIRB approach, banks are alloweto use their own estimates of P LG EA ancorrelation coefficient but must use the risk weight functions provithe supervisors. Unr the fountion IRB approach, banks provi their own estimates of Panrely on supervisory estimates for other risk components. Banks apting the aanceIRB approaare expecteto continue to employ this approach. A voluntary return to the stanrzeapproais permitteonly in extraornary circumstances. Unr both fountion IRB anaanceIRB approaches, the expecteloss is not incluin the cret risk capitcharge. A is correct. Banks are never alloweto use their own correlations. 那rho是要必须等于啥? 讲义74页的式子吗? 蟹蟹蟹蟹 好像另外PLGEM在67页表格都说的很明确 Rho就有点模糊了。。。

2021-11-01 00:18 1 · 回答