FRM一级考试：估值与风险建模的介绍！

发布时间：2020-08-28 09:27来源： 融跃教育FRM

估值与风险建模介绍了与债券相关的所有内容，包括债券的基本定义以及债券的性质，债券的估值方法包括对债券和收益率的计量，论述了与债券风险有关的话题。

其中债券估值方法与债券风险是FRM一级考试复习的重难点。并且在“Risk Model”风险建模中市场风险的计量与管理不会在二级展开重复介绍，因此我们在一级阶段就必须完全掌握：“Var”的概念、优缺点、计算方法，以及Var的补充方法——压力测试。

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例题介绍：

Consider two portfolios. One with USD 100 million credit exposure to a single B-rated counterparty. The second with Euro 100 million on credit exposure split evenly between 50 B-rated counterparties. Assume that default probabilities and recovery rates are the same for all B-rated counterparties. Which of the following statements is not wrong?

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 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.

C. 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.

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 greater than the unexpected loss of the second portfolio.

Answer: D

Unexpected loss is the volatility of the expected loss. Therefore, there is diversified effect.

看完以上的例题，你对估值与风险建模相关知识点的掌握程度如何，如果还未理解透彻，后期要加强复习了。毕竟在FRM考试中，所占的比重也不小。