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.
麻烦有时间看一下,老师c说的意思懂,但是为什么c表达是正确的呢?,谢谢