FRM真題考生在備考中有必要做嗎？這是近幾天考生所咨詢的，其實(shí)越是臨近考試，考生越需要做大量的真題練習(xí)！下面是列舉的相關(guān)真題，希望對備考的你有所幫助！

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.

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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.

Consider a portfolio with a notional value of $5,000,000 containing 50 credits. Each one has a same PD of 2% and LGD of 1. Each one is an obligation from the same obligor so that the default correlation is 1. What is the Credit VaR at the 99% confidence level?

A) $0

B) $1,000

C) $100,000

D) $4,900,000

答案：D

解析：EL = 0.02×1×5,000,000 = 100,000掃碼領(lǐng)取

WCL(99%) = 5,000,000

UL = 5,000,000 - 100,000 = 4,900,000

Consider a pair of two speculative credits, rated BB and BB-, with default probabilities respectively of 2% and 3%. If their joint default probability is 0.4%, which is nearest to the implied default correlation?

A) Zero

B) 0.083

C) 0.1424

D) 0.3750

答案：C

解析：Default correlation = (0.4% - 2% × 3%)/[sqrt(2% × 98%) × sqrt(3% × 97%)] =0.142365

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