FRM真题考生在备考中有必要做吗？这是近几天考生所咨询的，其实越是临近考试，考生越需要做大量的真题练习！下面是列举的相关真题，希望对备考的你有所帮助！

When a bank decides to lend amount of money to borrowers, several considerations must be taken into account, based on the following statement which one is incorrect.

》》》2022年新版FRM一二级内部资料免·费领取！【精华版】

点击领取

A) Outstanding represent the total credit available to the borrower.

B) Borrowers in distress often draw down on their unused commitment, so the adjusted exposure is outstanding plus usage given default times unused commitment.

C) Credit optionality denotes the call option the borrower has purchased on the commitment for “a commitment fee”.

D) Collateral and seniority are the two most important factors in assessing recovery rates.

答案：A

解析：Commitment is the total credit available to the borrower.

Consider a portfolio with a notional value of $5,000,000 containing 50 credits. Each one has a same PD of 2% and LGD of 1. Each one is an obligation from the same obligor so that the default correlation is 1. What is the Credit VaR at the 99% confidence level?

A) $0

B) $1,000

C) $100,000

D) $4,900,000

答案：D

解析：EL = 0.02×1×5,000,000 = 100,000扫码领取

WCL(99%) = 5,000,000

UL = 5,000,000 - 100,000 = 4,900,000

Consider a pair of two speculative credits, rated BB and BB-, with default probabilities respectively of 2% and 3%. If their joint default probability is 0.4%, which is nearest to the implied default correlation?

A) Zero

B) 0.083

C) 0.1424

D) 0.3750

答案：C

解析：Default correlation = (0.4% - 2% × 3%)/[sqrt(2% × 98%) × sqrt(3% × 97%)] =0.142365

以上是【FRM真题考生在备考中有必要做吗？】的全部解答，如果想要学习更多关于【FRM】的知识，欢迎大家持续关注融跃教育FRM官网！