銀行貸款都是需要有保證擔保或者抵押擔保的，如果沒有這些擔保措施的前提下，銀行給予了借款人一定額度的貸款，這個額度就是信用風險敝口。下文是FRM考試中關于信用風險敝口的真題解析！

Consider two portfolios. One with USD 10 million credit exposure to a single B-rated counterparty. The second with USD 10 million on credit exposure split evenly between 100 B-rated counterparties. Assume that default probabilities and recovery rates are the same for all B-rated counterparties. Which of the following is correct?

A) The expected loss of the first portfolio is greater than the expected loss of the second portfolio and the unexpected loss of the first portfolio is greater than the unexpected loss of the second portfolio.

B) The expected loss of the first portfolio is equal to the expected loss of the second portfolio and the unexpected loss of the first portfolio is greater than the unexpected loss of the second portfolio.【資料下載】[融躍財經]FRM一級ya題-pdf版

C) The expected loss of the first portfolio is greater than the expected loss of the second portfolio and the unexpected loss of the first portfolio is equal to the unexpected loss of the second portfolio.

D) The expected loss of the first portfolio is equal to the expected loss of the second portfolio and the unexpected loss of the first portfolio is equal to the unexpected loss of the second portfolio.

答案：B

解析：Unexpected loss is the volatility of the expected loss. There’s diversification effect in unexpected loss.

考慮兩個投資組合，一個對一個B級交易對手有1000萬美元的信用風險敞口。第二個是1000萬美元的信用風險敞口，平均分配給100個B級交易對手。假設所有B級交易對手的違約概率和回收率相同。下列哪項是正確的？

A）第一個投資組合的預期損失大于第二個投資組合的預期損失，第一個投資組合的意外損失大于第二個投資組合的意外損失。

B）第一個投資組合的預期損失等于第二個投資組合的預期損失，第一個投資組合的預期損失大于第二個投資組合的預期損失。

C）第一個投資組合的預期損失大于第二個投資組合的預期損失，第一個投資組合的預期損失等于第二個投資組合的預期損失。

D）第一個投資組合的預期損失等于第二個投資組合的預期損失，第一個投資組合的意外損失等于第二個投資組合的意外損失。

答案：B

解析：意外損失是指預期損失的波動性。非預期損失存在多元化效應。

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