FRM真题解析，送给备考5月FRM考试的你！

发布时间：2022-03-08 10:00编辑：融跃教育FRM

FRM真题对于每一个备考的考生都是很重要的，考生在备考中一定要认真对待！下文是小编列举的相关真题解析，送给备考5月FRM考试的你！

Given a $1,000,000 portfolio with 50 credits that each has a PD = 0.02 and a zero recovery rate, the default correlation is 0. In addition, each credit is equally weighted and has a terminal value of $20,000 if there is no default. The number of defaults is binomially distributed with parameters of n = 50 and π = 0.02, and the 99th percentile of the number of defaults based on this distribution is 2. What is the credit VaR at the 99% confidence level based on these parameters?

》》》2022年新版FRM一二级内部资料免费领取！【精华版】

A) $10,000

B) $20,000

C) $23,300

D) $46,600

答案：B

解析：The expected loss is $20,000 ($1,000,000×0.02). If there are two defaults, the credit loss is $ 40,000 (2×$20,000). The credit VaR at the 99% confidence level is $ 20,000 (calculated by taking the credit loss of $ 40,000 and subtracting the expected loss of $20,000).

If the adjusted exposure for Bank X is $15 million, the probability of default is 2%, and the recovery rate is 20%, what is the expected loss for Bank X?

A) $60,000.

B) $300,000.

C) $3,000,000.

D) $240,000.

答案：D

解析：We can calculate the expected loss as follows:

EL =AE × EDF × LGD

EL = ($15,000,000) × (0.02) × (0.80) = $240,000.

Amanager of a mutual fund has taken significant credit exposure to Europe and Asia. Concerned with uncertain market conditions, the manager wants to change the assumptions in the fund’s risk models by increasing the default correlation between bonds issued in Europe and bonds issued inAsia. If the default correlation is increased and all the other parameters are kept the same,which of the following is true?

A) The expected loss of the portfolio will increase.

B) The unexpected loss of the portfolio will decrease.

C) The expected loss of the portfolio will decrease.

D) The unexpected loss of the portfolio will increase.

答案：D

解析：Default correlation has no expect on portfolio EL, but is an increasing function with portfolio UL.

如果想要获得更多关于FRM考试的真题解析，点击在线咨询或者添加融跃老师微信（rongyuejiaoyu）！