在備考FRM考試中，做大量的真題解析對(duì)于考生是非常重要的，尤其是近幾年的FRM真題。下文是列舉的相關(guān)真題，希望對(duì)備考的你有所幫助！

Economic capital calculations for credit risk assume a recovery rate (defined as 1-loss rate). Recovery rates are dependent on the business model of the underlying counterparty and its asset volatility in value and size. Under normal anticipated circumstances which of the following types of companies will have the highest recovery rate?

》》》2022年新版FRM一二級(jí)內(nèi)部資料免費(fèi)領(lǐng)?。　揪A版】

A) An internet merchant of designer clothes

B) Ahedge fund

C) An asset intensive manufacturing company

D) Acommodities trader

答案：C

解析：The company with the highest recovery rate will be the company with the most tangible assets that can be valued in the event of default. Utilities, for example, have high recovery rates because they have large amounts of tangible assets, such as generating plants. Of the four choices - internet merchant, hedge fund, asset intensive manufacturing company and commodity trader - the asset intensive manufacturer would have the most tangible assets. Thus, choice 'C' is the correct choice.

BankAhas extended a commitment of $10,000,000 and assessed a probability of default of 5%. The loss given default based on historical data is estimated to be 30%. Bank B has extended a $5,000,000 commitment to a company with a lower credit quality.Adefault rate of 10% and loss given default of 20% is estimated. For Bank Ato have a lower expected loss than Bank B, which of the following is true? The recovery rate of:

A) Bank B’s loan will decrease to 90%.

B) Bank B’s loan will increase to 80%.

C) BankA’s loan will decrease to 80%.

D) BankA’s loan will increase to 90%.

答案：D

解析：Expected loss =AE × LGD × PD.

EL(A)= $10M × 5% × 30% = $150,000.

EL(B) = $5M × 10% × 20% = $100,000.

For Bank Ato have a lower expected loss than Bank B, we should decrease the LGD of Aor increase the LGD of B. That means, increase the RR ofAor decrease the RR of B. Therefore, A, B and C are not true.

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