[管理学]金融风险管理师frm考试answer

[管理学]金融风险管理师frm考试answer内容摘要：

000c. $2,010,000d. $2,218,000ANSWERExample : FRM Exam 2003—Question 17c) The expected loss is15. EXAMPLE : FRM EXAM 1998—QUESTION 38Calculate the probability of a subsidiary and parent pany both defaulting over the next year. Assume that the subsidiary will default if the parent defaults, but the parent will not necessarily default if the subsidiary defaults. Also assume that the parent has a oneyear probability of default of % and the subsidiary has a oneyear probability of default of %.a. %b. %c. %d. %ANSWERExample : FRM Exam 1998—Question 38b) Since the subsidiary defaults when the parent defaults, the joint probability is simply that of the parent defaulting.16. EXAMPLE : FRM EXAM 1998—QUESTION 16A portfolio manager has been asked to take the risk related to the default of two securities A and B. She has to make a large payment if, and only if, both A and B default. For taking this risk, she will be pensated by receiving a fee. What can be said about this fee?a. The fee will be larger if the default of A and of B are highly correlated.b. The fee will be smaller if the default of A and of B are highly correlated.c. The fee is independent of the correlation between the default of A and of B.d. None of the above is correct.ANSWERExample : FRM Exam 1998—Question 16a) The fee must reflect the joint probability of default. As described in Equation (), if defaults of A and B are highly correlated, the default of one implies a greater probability of a second default. Hence the fee must be higher.17. EXAMPLE : FRM EXAM 1998—QUESTION 42A German bank lends €100 million to a Russian bank for one year and receives €120 million worth of Russian government securities as collateral.Assuming that the oneyear 99% VAR on the Russian government securities is €20 million and the Russian bank’s oneyear probability of default is 5%, what is the German bank’s probability of losing money on this trade over the next year?a. Less than %b. Approximately %c. Between % and 5%d. Greater than 5%ANSWERc) The probability of losing money is driven by (i) a fall in the value of the collateral and (ii) default by the Russian bank. If the two events are independent, the joint probability is 5% 1% = %. In contrast, if the value of securities always drops at the same time the Russian bank defaults, the probability is simply that of the Russian bank’s default, or 5%.18. EXAMPLE : FRM EXAM 2000—QUESTION 51A portfolio consists of two (long) assets 163。 100 million each. The probability of default over the next year is 10% for the first asset, 20% for the second asset, and the joint probability of default is 3%. Estimate the expected loss on this portfolio due to credit defaults over the next year, assuming 40% recovery rate for both assets.a. 163。 18 millionb. 163。 22 millionc. 163。 30 milliond. None of the aboveANSWERExample : FRM Exam 2000—Question 51a) The three loss events are(i) Default by the first alone, with probability − = (ii) Default by the second, with probability − = (iii) Default by both, with probability The respective losses are 163。 100(1 − ) = , 163。 100(1 − ) = , 163。 200(1 − ) = , for a total expected loss of 163。 18 million.19. EXAMPLE : FRM EXAM 2004—QUESTION 46Consider an Arated bond and a BBBrated bond. Assume that the oneyear probabilities of default for the A and BBBrated bonds are 2% and 4%, respectively, and that the joint probability of default of the two bonds is %. What is the default correlation between the two bonds?a. %b. %c. %d. The default correlation cannot be calculated with the information provided.ANSWERExample : FRM Exam 2004—Question 46b) From Equation (), the default correlation is20. EXAMPLE : FRM EXAM 1998—QUESTION 5Which of the following events is not a “credit event”?a. Bankruptcyb. Calling back a bondc. Downgradingd. Default on paymentsANSWERExample : FRM Exam 1998—Question 5b) Calling back a bond occurs when the borrower wants to refinance its debt at a lower cost, which is not a credit event.21. EXAMPLE : FRM EXAM 2003—QUESTION 100What is the lowest tier of an investmentgrade credit rating by Moody’s?a. Baa1b. Ba1c. Baa3d. Ba3ANSWERExample : FRM Exam 2003—Question 100c) Baa3 is the lowest investmentgrade rating for Moody’s.22. EXAMPLE : FRM EXAM 2004—QUESTION 27You are considering an investment in one of three different bonds. Your investment guidelines require that any bond you invest in carry an investment grade rating fromat least two recognized bond rating agencies. Which, if any, of the b。