FRM真題練習重要嗎？這是很多考生都會咨詢的問題，關于答案，隨小編往下看！

真題尤其是近幾年的FRM真題練習，對于每一個備考的考生來說都是十分重要的，考生一定要做夠一定的量！

About concentrations and correlations, which one is true?

A) Diversity effectively reduced the unexpected loss of a credit portfolio.

B) Concentrations only affect expected loss instead of unexpected loss.

C) All else equal, the more portfolio is concentrated, the less risky the portfolio is.

D) When consider credit portfolio, we cannot make a decision solely based on one bond. We should take the correlations into consideration, and usually pick the one which has high correlations.

答案：A

解析：Concentrations only affect unexpected loss instead of expected loss.All else equaling, the more portfolio is concentrated, the more risky the portfolio is.

Abank has an outstanding trade with one of its counterparties with an exposure of $500,000 and a recovery rate of 70%. The bank estimated that there is a 2% probability that the counterparty will default on its obligations. What is the bank’s expected loss?

A) $3,000

B) $7,000

C) $10,000

D) $150,000

答案：A

解析：At a recovery rate of 70%, the recovery amount is $500,000×0.70 = $350,000 The loss given default (LGD) is $500,000 - $350,000 = $150,000

Expected loss is (probability of default×LGD) = 0.02×$150,000 = $3,000

An investor holds a portfolio of USD 100 million. This portfolio consists of A-rated bonds $40 million and BBB-rated bonds $60 million.Assume that the one-year PD forA-rated and BBB-rated bonds are 3 % and 5%, respectively, and that they are independent. If the recovery value forA-rated bonds in the event of default is 70% and the recovery value for BBB-rated bonds is 45%, what is the one-year expected credit loss from this portfolio?

A) $2,010,000

B) $2,623,000

C) $4,012,000

D) $1,218,000

答案：A

解析：Expected Loss forA-rated Bonds = 0.03×40,000,000 × (1 - 0.70) = 360,000 Expected Loss for BBB-rated Bonds = 0.05×60,000,000 × (1 - 0.45) = 1,650,000 Total Expected Loss = 360,000＋1,650,000 = 2,010,000

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