銀行貸款都是需要有保證擔(dān)?；蛘叩盅簱?dān)保的，如果沒有這些擔(dān)保措施的前提下，銀行給予了借款人一定額度的貸款，這個(gè)額度就是信用風(fēng)險(xiǎn)敝口。下文是FRM考試中關(guān)于信用風(fēng)險(xiǎn)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?》》》點(diǎn)擊領(lǐng)取2021年FRM備考資料大禮包（戳我免·費(fèi)領(lǐng)取）

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(cái)經(jīng)]FRM一級(jí)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(gè)投資組合，一個(gè)對一個(gè)B級(jí)交易對手有1000萬美元的信用風(fēng)險(xiǎn)敞口。第二個(gè)是1000萬美元的信用風(fēng)險(xiǎn)敞口，平均分配給100個(gè)B級(jí)交易對手。假設(shè)所有B級(jí)交易對手的違約概率和回收率相同。下列哪項(xiàng)是正確的？

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

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

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

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

答案：B

解析：意外損失是指預(yù)期損失的波動(dòng)性。非預(yù)期損失存在多元化效應(yīng)。

如果想要獲得更多關(guān)于FRM考試的真題解析，點(diǎn)擊再點(diǎn)咨詢或者添加融躍老師微信（yongyuejiaoyu）！