FRM真題對于備考中的考生來說是很重要的,考生一定要做一定的量,尤其是近幾年的FRM真題。在做題的過程中考生可以查漏補(bǔ)缺,這樣對于參加考試是很有幫助的。下文是小編列舉的兩道例題解析,希望對備考的你有所幫助!>>>點(diǎn)擊領(lǐng)取2021年FRM備考資料大禮包(戳我免·費(fèi)領(lǐng)?。?/span>

An investor holds a portfolio of USD 100 million. This portfolio consists of A-rated bonds (USD 40 million) and BBB-rated bonds (USD 60 million). Assume that the one-year probabilities of default forA-rated and BBB-rated bonds are 3 % and 5%, respectively, and that they are independent. If the recovery value forA-rated bonds in the event of default is 70% and the recovery value for BBB-rated bonds is 45%, what is the one-year expected credit loss from this portfolio?

A) USD 1,672,000

B) USD 1,842,000

C) USD 2,010,000

D) USD 2,218,000

答案:C 【資料下載】[融躍財經(jīng)]FRM一級ya題-pdf版

解析:Expected Loss forA-rated Bonds = 0.03×40,000,000 × (1 - 0.70) = 360,000 Expected Loss for BBB-rated Bonds = 0.05×60,000,000 × (1 - 0.45) = 1,650,000 Total Expected Loss = 360,000 + 1,650,000 = 2,010,000

When a bank decides to lend amount of money to borrowers, several considerations must be taken into account, based on the following statement which one is incorrect.

A) Outstanding represent the total credit available to the borrower.B) Borrowers in distress often draw down on their unused commitment, so the adjusted exposure is outstanding plus usage given default times unused commitment.

C) Credit optionality denotes the call option the borrower has purchased on the commitment for “a commitment fee”.》》》點(diǎn)我咨詢FRM金融英語詞匯手冊 

D) Collateral and seniority are the two most important factors in assessing recovery rates.

答案:A

解析:Commitment is the total credit available to the borrower.

如果想要獲得更多關(guān)于FRM考試的真題解析,點(diǎn)擊在線咨詢或者添加融躍老師微信(rongyuejiaoyu)!