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Hi, Mr. Harper, refer to the notes book 3 of IRB approach, I am so confused about the meaning of portfolio invariant, does it mean that IRB approach is not considering correlation between assets in the loan portfolio of bank and therefore no diversification effect is benefit within in the loan portfolio?

For the asset correlation at the bottom of page, is "R: Asset correlation to the single systematic risk factor" , is it equal to the correlation mentioned above in the portfolio invariant?

Thanks a lot

For the asset correlation at the bottom of page, is "R: Asset correlation to the single systematic risk factor" , is it equal to the correlation mentioned above in the portfolio invariant?

Thanks a lot

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