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Which of the following statements regarding the Vasicek model is correct?
A
The default probabilities of the individual loans in a portfolio are each mapped to the standard normal distribution ( U_i ), of which values in the extreme right tail represent default._
B
A low value of the factor ( F ) indicates that the economy is strong, while a high value of ( F ) represents economic weakness.
C
For corporate borrowers, the value of the factor ( F ) is higher for loans to companies with more cyclical businesses.
D
The model coefficient ( a ) directly relates to the correlations between the default probability distributions ( U_i ) of the loans in the portfolio._
