做大量的FRM真题对于备考的考生是十分重要的，备考中的考生千万不能忽视对于真题的练习，那么，哪里有FRM真题解析？

这里可以选择融跃FRM题库，下面是列举的相关真题，希望对备考的你有所帮助！

ABC bank has issued a loan with an exposure of $100,000 and a recovery rate of 30%. It estimated the PD is 2%. What is the banks' EL?

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A) $1,400

B) $7,000

C) $10,000

D) $150,000

答案：A

解析：100,000×(1 - 30%)×2% = 1,400

Suppose there is a $1,000,000 portfolio with n = 50 credits that each has a default probability of π=0.02 percent and a zero recovery rate, the default correlation is 0. In addition, each credit is equally weighted and has a terminal value of $20,000 if there is no default. The number of defaults is binomially distributed with parameters of n = 50 and π = 0.02, and the 95th percentile of the number of defaults based on this distribution is 3. What is the credit VaR at the

95% confidence level based on these parameters?

A) $30,000

B) $40,000

C) $50,000

D) $60,000

答案：B

解析：The expected loss is $20,000 ($1,000,000×0.02). If there are three defaults, the credit loss is $60,000 (3×$20,000). The credit VaR at the 95% confidence level is $40,000 (calculated by taking the credit loss of $60,000 and subtracting the expected loss of $20,000).

Given a portfolio has a notional value of $1,000,000 with 200 credit positions. Each of the credits has a PD of 2% and a RR of zero. Each credit position in the portfolio is an obligation from the same obligor, and therefore, the credit portfolio has a default correlation equal to 1. What is the credit value at risk at the 98.5% confidence level for this credit portfolio?扫码领取

A) $20,000

B) $980,000

C) $985,000

D) $1,000,000

答案：B

解析：EL = 1,000,000×2%×1 = 20,000

WCL(98.5%) = 1,000,000

VaR = 980,000

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