估值與風險建模介紹了與債券相關的所有內容，包括債券的基本定義以及債券的性質，債券的估值方法包括對債券和收益率的計量，論述了與債券風險有關的話題。

其中債券估值方法與債券風險是FRM一級考試復習的重難點。并且在“Risk Model”風險建模中市場風險的計量與管理不會在二級展開重復介紹，因此我們在一級階段就必須完全掌握：“Var”的概念、優缺點、計算方法，以及Var的補充方法——壓力測試。

例題介紹：

Consider two portfolios. One with USD 100 million credit exposure to a single B-rated counterparty. The second with Euro 100 million on credit exposure split evenly between 50 B-rated counterparties. Assume that default probabilities and recovery rates are the same for all B-rated counterparties. Which of the following statements is not wrong?

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 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.

C. 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.

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 greater than the unexpected loss of the second portfolio.

Answer: D

Unexpected loss is the volatility of the expected loss. Therefore, there is diversified effect.

看完以上的例題，你對估值與風險建模相關知識點的掌握程度如何，如果還未理解透徹，后期要加強復習了。畢竟在FRM考試中，所占的比重也不小。