備考FRM考生不僅要學(xué)習(xí)相關(guān)的網(wǎng)課，還需要在其他方面做足準(zhǔn)備，近日有考生咨詢，F(xiàn)RM考試中真題的練習(xí)重要嗎？關(guān)于答案當(dāng)然是很重要的，尤其是近幾年的FRM真題，下文是列舉的相關(guān)真題，一起看看吧！

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The expected market value of assets in one year ofABC company is $83 million. The annual volatility of asset returns for ABC has been determined to be $8.1 million. If the distance to default is 4.4, ABC's default threshold is closest to:

A) $47.36 million.

B) $32.19 million.

C) $25.72 million.

D) $20.66 million.

答案：A

解析：The default threshold is calculated as:

Distance to default = ($83 million–default threshold) / $8.1 million = 4.4

Default threshold = $47.36 million

The spread on a one-year BBB-rated bond relative to the risk-free treasury of similar maturity is 1.4%. It is estimated that the contribution to this spread by all noncredit factors (e.g., liquidity risk, taxes) is 0.4%.Assuming the loss given default rate for the underlying credit is 40%, what is, approximately, the implied default probability for this bond?

A) 1.67%

B) 2.33%

C) 3.50%

D) 2.50%

答案：D掃碼咨詢，立享優(yōu)惠

解析：The probability of default equals the credit risk spread divided by the loss given default. PD = spread/LGD. Here, the spread due to credit risk equals 1.4% - 0.4% or 1.0% and the loss given default is 40%. The probability of default is then 2.5%.

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