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Why is imperfect granularity resulting from name concentration a violation of the Asymptotic Single-Risk Factor (ASRF) model? A. Unexpected losses will exceed capital at a small predetermined probability above a specified level of confidence. B. The unexpected changes in correlations between borrowers in the portfolio increases, causing borrowers to be increasingly dependent on the default of other borrowers. C. Since the portfolio is not properly diversified, the capital charge calculated under the ASFR model understates the true level of portfolio risk. D. The increase in the correlation of a specific sector to systematic risk causes the IRB risk weight equation to underestimate economic capital. |