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備考FRM有真題解析看嗎？

發(fā)布時(shí)間：2022-03-14 09:36編輯：融躍教育FRM

FRM真題解析對(duì)于每一個(gè)備考生都是十分重要的，考生在平常的備考中一定要做大量的真題解析。下文是列舉的相關(guān)真題解析，一起看看吧！

Which of the following statements is not accurate in regard to describing a good rating system?

A) Averifiable rating system requires backtesting default probabilities on a continuous basis.

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B) An objective rating system results in ratings that can be compared across customer types and market segments.

C) Aspecific rating system accurately measures the distance from a default event.

D) Ahomogeneous rating system provides judgments required comparable ratings among customer types, market segments, and portfolios.

答案：B

解析：An objective rating system produces judgments based on considerations tied co credit risk.

The spread on a one-year BBB rated bond relative to the risk-free treasury of similar maturity is 2%. It is estimated that the contribution to this spread by all non-credit factors (e.g., liquidity risk, taxes) is 0.8%.Assuming the loss given default rate for the underlying credit is 60%, what is approximately the implied default probability for this bond?

A) 3.33%

B) 5.00%

C) 3.00%

D) 2.00%

答案：D

解析:The probability of default equals the credit risk spread divided by the loss given default. PD = spread/LGD. Here, the spread due to credit risk equals 2.0% - 0.8% or 1.2% and the loss given default is 60%. The probability of default is then 2%.

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