發(fā)布時間:2025-07-04 15:02編輯:融躍教育FRM
FRM二級信用風(fēng)險真題解析default,lending and counterparty risk
【題目 1】
Suppose a creditor makes a $4 million loan to company X and a $4 million loan to company Y. Based on historical information of companies in this industry,companies X and Y each have a 7% default probability and a default correlation coefficient of 0.6. The expected loss for this creditor under the worst case scenario assuming loss given default is 100% is closest to:
A. $280,130
B. $280,130
C. $439,600
D. $560,430
答案:B
解析: The worst case scenario is the joint probability that both loans
default at the same time. The joint probability of default is computed
as:
關(guān)聯(lián)考點:組合聯(lián)合違約概率的計算。
易錯點分析:想不起來用組合聯(lián)合違約概率公式。
【題目 2】
Which of the following statements regarding lending and counterparty risk is true?
A. Counterparty risk is defined as the possibility that an obligator will default on an outstanding loan.
B. Lending risk is defined as the possibility that either party to a derivative transaction will fail to meet its obligations.
C. Counterparty risk is very different from and more complex than lending risk.
D. Counterparty risk and lending risk are the same.
答案:C
解析: Counterparty risk is very different from and more complex than lending risk. Counterparty risk is defined as the possibility that either party to a derivative transaction will fail to meet its obligations. Lending risk is defined as the possibility that an obligator will default on an
outstanding loan.
關(guān)聯(lián)考點:lending risk and counterparty risk
易錯點分析:
分不清lending risk and counterparty risk 的區(qū)別,lending risk指的是在傳統(tǒng)的金融產(chǎn)品中(比如貸款、債券),債務(wù)人到期違約的風(fēng)險,此時債權(quán)人面臨信用風(fēng)險,指的是單方(債權(quán)人)面臨的風(fēng)險:而counterparty risk指的是在衍生品當(dāng)中,由于衍生品價值未來是不確定的,所以并不能確定哪一方會面臨信用風(fēng)險,但是有一個原則,就是誰受益誰面臨違約,所以比lending risk更加復(fù)雜,由此可見C對D錯,A和B說反了。
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