備考FRM考試，真題是很重要的，尤其是臨近考試，考生一定要做大量的真題，下文是列舉的相關(guān)FRM真題解析，備考生必看！

Abank has an outstanding trade with one of its counterparties with an exposure of $500,000 and a recovery rate of 85%. The bank estimated that there is a 3% probability that the counterparty will default on its obligations. What is the bank’s expected loss?

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A) $2,250

B) $5,000

C) $10,000

D) $12,750

答案：A

解析：EL = 500,000×0.03×15% = 2,250

Suppose there is a $1,000,000 portfolio with n credits that each have a default probability,π= 2% and a zero recovery rate. The default correlation is 0 and n = 1,000. There is a probability of 28 defaults at the 95th percentile based on the binomial distribution with the parameters of n = 1,000 andπ= 0.02. What is the credit VaR at the 95% confidence level based on these parameters?

A) $7,000

B) $8,000

C) $9,000

D) $10,000

答案：B

解析：The 95th percentile of the credit loss distribution is $28,000

(28×$1,000,000/1,000). The expected loss is $20,000 ($1,000,000×0.02).掃碼咨詢，立享優(yōu)惠

The credit VaR is then $8,000 ($28,000 - $20,000).

ou are asked to give advice about fixed income investment. The guidelines require that any bond you choose carry an investment grade rating from at least two recognized rating agencies. Which of the following can be chosen according to the guidelines?

A) Bond Acarries an S&P rating of BB and a Moody's rating ofA.

B) Bond B carries an S&P rating ofAand a Moody's rating of Ba.

C) Bond C carries an S&P rating ofAand a Moody's rating of Baa

D) None of the above.

答案：C

解析：The rating above BBB or Baa (including BBB and Baa) belongs to investment grade rating.

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