FRM二级信用风险真题解析default,lending and counterparty risk

FRM二级信用风险真题解析default,lending and counterparty risk

【题目 1】

Suppose a creditor makes a $4 million loan to company X and a $4 million loan to company Y. Based on historical information of companies in this industry,companies X and Y each have a 7% default probability and a default correlation coefficient of 0.6. The expected loss for this creditor under the worst case scenario assuming loss given default is 100% is closest to:

A. $280,130

B. $280,130

C. $439,600

D. $560,430

答案：B

解析: The worst case scenario is the joint probability that both loans

default at the same time. The joint probability of default is computed

as:

关联考点：组合联合违约概率的计算。

易错点分析：想不起来用组合联合违约概率公式。

【题目 2】

Which of the following statements regarding lending and counterparty risk is true?

A. Counterparty risk is defined as the possibility that an obligator will default on an outstanding loan.

B. Lending risk is defined as the possibility that either party to a derivative transaction will fail to meet its obligations.

C. Counterparty risk is very different from and more complex than lending risk.

D. Counterparty risk and lending risk are the same.

答案：C

解析: Counterparty risk is very different from and more complex than lending risk. Counterparty risk is defined as the possibility that either party to a derivative transaction will fail to meet its obligations. Lending risk is defined as the possibility that an obligator will default on an

outstanding loan.

关联考点：lending risk and counterparty risk

易错点分析：

分不清lending risk and counterparty risk 的区别，lending risk指的是在传统的金融产品中（比如贷款、债券），债务人到期违约的风险，此时债权人面临信用风险，指的是单方（债权人）面临的风险：而counterparty risk指的是在衍生品当中，由于衍生品价值未来是不确定的，所以并不能确定哪一方会面临信用风险，但是有一个原则，就是谁受益谁面临违约，所以比lending risk更加复杂，由此可见C对D错，A和B说反了。