小同學(xué)
2024-04-01 17:23解析不對吧?
Wrong-way exposures are negatively correlated with the counterparty’s credit quality. Right-way exposures are positively correlated with the counterparty’s credit quality.? 這個(gè)解析說反了吧?還是我理解錯(cuò)了?
所屬:FRM Part II > Credit Risk Measurement and Management 視頻位置 相關(guān)試題
來源: 視頻位置 相關(guān)試題
1個(gè)回答
楊玲琪助教
2024-04-03 17:03
該回答已被題主采納
同學(xué)你好,
這里說的不是exposure與PD是negatively correlated,而是exposure與credit quality是negatively correlated。Credit quality是信用質(zhì)量,信用質(zhì)量上升對應(yīng)的是PD的下降,所以exposures與credit quality negatively correlated其實(shí)就是exposure與PD是positively correlated。
希望能解答你的疑惑,加油!
