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: 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.
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?