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發(fā)布時間:2022-05-12 09:49編輯:融躍教育FRM
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》》》2022年新版FRM一二級內(nèi)部資料免費(fèi)領(lǐng)?。 揪A版】
When selecting among credit models, which of the following factors is least important?
A) How easy the models are to understand.
B) How robust the models are when new data are added into the analysis.
C) That the model’s parameter estimates are linear.
D) The time to calibrate and recalibrate the model.
答案:C
解析:It is important for models to be understandable, robust and able to be recalibrated. Models do not have to be linear.
Which of the following model(s) calculates the change in portfolio value due to rating migration of the underlying instruments?
A) Credit Risk
B) Credit Metrics
C) KMV
D) Both a and c above are true
答案:B
解析:CreditMetrics calculates the change in portfolio value due to credit
migration of the underlying bond(s) (e.g. change in credit spread).
Each of the following is true except:
A) At any point in time, effective EE cannot be less than EE
B) (effective) EPE is average (effective) EE over time
C) Effective EPE cannot be less than EPE
D) For each point in time, there is a different maximum PFE such that maximum
PFE does not represent a single value
答案:D
解析:Maximum PFE is a single value. Maximum PFE simply represents the highest (peak) PFE value over a given time interval.
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