FRM二级考试中关于信用风险敞口的真题解析！

发布时间：2021-03-08 09:18编辑：融跃教育FRM

银行贷款都是需要有保证担保或者抵押担保的，如果没有这些担保措施的前提下，银行给予了借款人一定额度的贷款，这个额度就是信用风险敝口。下文是FRM考试中关于信用风险敝口的真题解析！

Consider two portfolios. One with USD 10 million credit exposure to a single B-rated counterparty. The second with USD 10 million on credit exposure split evenly between 100 B-rated counterparties. Assume that default probabilities and recovery rates are the same for all B-rated counterparties. Which of the following is correct?》》》点击领取2021年FRM备考资料大礼包（戳我免·费领取）

A) The expected loss of the first portfolio is greater than the expected loss of the second portfolio and the unexpected loss of the first portfolio is greater than the unexpected loss of the second portfolio.

B) The expected loss of the first portfolio is equal to the expected loss of the second portfolio and the unexpected loss of the first portfolio is greater than the unexpected loss of the second portfolio.【资料下载】[融跃财经]FRM一级ya题-pdf版

C) The expected loss of the first portfolio is greater than the expected loss of the second portfolio and the unexpected loss of the first portfolio is equal to the unexpected loss of the second portfolio.

D) The expected loss of the first portfolio is equal to the expected loss of the second portfolio and the unexpected loss of the first portfolio is equal to the unexpected loss of the second portfolio.

答案：B

解析：Unexpected loss is the volatility of the expected loss. There’s diversification effect in unexpected loss.

考虑两个投资组合，一个对一个B级交易对手有1000万美元的信用风险敞口。第二个是1000万美元的信用风险敞口，平均分配给100个B级交易对手。假设所有B级交易对手的违约概率和回收率相同。下列哪项是正确的？

A）第一个投资组合的预期损失大于第二个投资组合的预期损失，第一个投资组合的意外损失大于第二个投资组合的意外损失。

B）第一个投资组合的预期损失等于第二个投资组合的预期损失，第一个投资组合的预期损失大于第二个投资组合的预期损失。

C）第一个投资组合的预期损失大于第二个投资组合的预期损失，第一个投资组合的预期损失等于第二个投资组合的预期损失。

D）第一个投资组合的预期损失等于第二个投资组合的预期损失，第一个投资组合的意外损失等于第二个投资组合的意外损失。

答案：B

解析：意外损失是指预期损失的波动性。非预期损失存在多元化效应。

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