备考FRM考试考生是需要做练习题的，尤其是近几年的FRM真题练习。那么，FRM真题练习考生需要做哪些？下文是列举的相关真题，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一二级内部资料免·费领取！【精华版】

点击领取

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?扫码预约

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

如果想要获得更多关于FRM考试的真题解析，点击在线咨询或者添加融跃老师微信（rongyuejiaoyu）！