kathy sham
2020-10-02 16:1328b when we measure Worse case loss minus expected loss for unexpected loss on credit risk, we need to use correlation as well on measuring WCL, why is answer b incorrect. ?
所屬:FRM Part II > Operational Risk and Resiliency 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Jenny助教
2020-10-04 18:53
該回答已被題主采納
同學(xué)你好,這道題目問(wèn)的是對(duì)銀行來(lái)說(shuō),哪個(gè)方法允許銀行將分散性的好處納入考量中。對(duì)于IRB這個(gè)模型來(lái)說(shuō),它的公式和相關(guān)系數(shù)都是監(jiān)管機(jī)構(gòu)給定的,不像IMA模型里,VaR是銀行自己確定的(考慮相關(guān)性以降低資本準(zhǔn)備金),所以IRB對(duì)銀行來(lái)說(shuō)是相對(duì)被動(dòng)地接受這樣的結(jié)果,不像IMA里面主動(dòng)考慮到分散性。
