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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(cái)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.

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