【急请教】两道06真题，关于OLS和basel

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手里两份参考答案不一样，请高手解释下~谢谢
63. Under the Internal ratings-based approach of the Basel II accord for securitization exposures, to which of the following does ‘Thickness of exposure’ refer?
a. The average ‘number of years’ the bank has been associated with the borrower as a lender.
b. It is the ratio of the ‘nominal size of the tranche of interest’ to ‘the notional amount of exposures’ in the pool.
c. It is the ratio of the ‘amount of all securitization exposures subordinate to the tranche in question’ to ‘the amount of exposures in the pool’.
d. The average ‘amount’ of the exposure (international) to the group of borrowers in the pool converted to Euros.

64.Indentify the incorrect statement regarding the ordinary least squares (OLS) regression assumptions:
a. Due to heteroscedasticity, estimated coefficients and their standard errors become biased
b.Lagged variables ofter cause auto-correlation.
c.Principal component analysis can be used to remove the effects the multicollonearity as principal components are uncorrelated.
d.All of the above.

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关键词：Basel Base OLS coefficients Assumptions 请教 OLS Basel

第一题选B, 第二题我觉得D, 都不对

第一题是B吧，第二题A？

就是B和D
木有问题

63题不确定，64个人认为应该选B。理由，异方差导致估计系数不准所以A说法正确，主成分分析主要用来解决多重共线性，所以D说法正确。而自相关的解决方法是加入滞后变量，所以B错误。

64题， Lagged variables ofter cause auto-correlation.这句话好像也是正确的

恩，个人觉得，数据的自相关是由数据本身特点决定的，并不是由滞后变量来决定的，加入滞后变量正是解决自相关的方法。



6# ringthomas0000

63题选B，在BASEL 2里面找到了原话。
1# skiingwu

谢谢各位了