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朵朵0927 · 2021年09月15日

老师,没看懂c什么意思?

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.

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

1 个答案

DD仔_品职助教 · 2021年09月15日

嗨,从没放弃的小努力你好:


同学你好~

巴塞尔协会既然同意这家银行用高级计量法了,就代表他认可这家银行的计量能力,他认为以这家银行的水平来说,是可以算少一点capital的。

既然这样,就不允许你说换就换,巴塞尔协会辛辛苦苦评估了你的计量能力了,怎么可能这么容易就让你换回去呢?用了就不许换,除非有特殊情况。

这一点同学请当成一个补充结论记忆即可

----------------------------------------------
努力的时光都是限量版,加油!

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