备考FRM考试，考生一定要做FRM真题练习！

FRM真题对于备考中的考生来说是很重要的，考生一定要做一定的量，尤其是近几年的FRM真题。在做题的过程中考生可以查漏补缺，这样对于参加考试是很有帮助的。下文是小编列举的两道例题解析，希望对备考的你有所帮助！

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

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”.》

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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