关于TTC

问题如下：

Which of the following statements regarding the choice of default probability approaches in computing economic capital is correct?

选项：

A through-the-cycle (TTC) approach should be used to price financial instruments with credit risk exposure.

A point-in-time (PIT) approach is more commonly used for computations involving profitability and strategic decisions.

A TTC approach is more likely to result in a lower volatility of capital compared to the PIT approach.

A firm’s rating will not change when analyzed under the PIT approach versus the TTC approach.

解释：

A firm’s rating is more likely to change when analyzed under the point-in-time (PIT) approach compared to the through-the-cycle (TTC) approach. As a result, the TTC approach results in a lower volatility of economic capital compared to the PIT approach.

A PIT approach should be used to price financial instruments with credit risk exposure and to compute short-term expected losses. A TTC approach is more commonly used for computations involving profitability, strategic decisions, and economic capital.