備考FRM考試考生是需要做練習(xí)題的，尤其是近幾年的FRM真題練習(xí)。那么，F(xiàn)RM真題練習(xí)考生需要做哪些？下文是列舉的相關(guān)真題，一起看看吧！

The spread on a one-yearArated Bond relative to the risk-free treasury is 1.9%.All non-credit factors among it is about 0.8%.Assuming the LGD is 80%,what is the implied PD for this bond?

》》》2022年新版FRM一二級內(nèi)部資料免·費(fèi)領(lǐng)取！【精華版】

點(diǎn)擊領(lǐng)取

A) 1.38%

B) 2.02%

C) 3.31%

D) 4.86%

答案：A

解析：CS = 0.019 - 0.008 = 0.011

PD = 0.011/0.8 = 0.0138

According to the Merton model, if the firm’s debt has a face value of $60 and the value of the firm is $50 when the debt matures, what are the payoffs to the debt holders and to the shareholders?

●Payoff to Debt Holders

●Payoff to Shareholders

A) $50 $0

B) $50 $10

C) $10 $0

D) $10 $10

答案：A

解析：

●The payment to debt holders = DM - max (DM - VM, 0) = 60- max (60 - 50, 0)= $50.

●The payment to the firm’s stockholders = max (VM - DM) = max (50 - 60, 0) = $0.

●At maturity of the debt, if the value of the firm’s assets is less than the value of the firm’s debt, then the firm goes into default.

Bennet has gathered the following information aboutAInc. and B Inc. The respective credit ratings are AAand BBB with 1-year CDS spreads of 0.015 and 0.045 each. The associated PD based on published reports are 5% and 15%, respectively. Which of the following statements about the recovery rates is most likely correct?掃碼預(yù)約

A) The market implied recovery rates are equal.

B) The market implied recovery rates is higher forA.

C) The market implied recovery rates is lower forA.

D) The loss given default is higher for B.

答案：A

解析：The approximation of credit spread = (1 – RR)×(PD).

1 - 0.015/0.05 = 0.7

1 - 0.045/0.15 = 0.7

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）！