FRM练习试题及答案

发表时间： 2015/02/27

FRM一级每日一题【估值与风险模型】

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.

FRM二级每日一题【操作风险管理与测量】

The chief Risk Officer of your bank has put you in charge of operational risk management. As a first step, you collect internal data to estimate the frequency and severity of operational-risk-related losses. The table below summarizes your findings:

Frequency Distribution		Severity Distribution
Probability	Frequency	Probability	Severity
0.6	0	0.5	USD 1,000
0.3	1	0.4	USD 100,000
0.1	2	0.1	USD 1,000,000

Based on this information, what is your estimate of the expected loss due to operational risk?

A. USD 20,000

B. USD 70,250

C. USD 130,600

D. USD 140,500

Answer: B

Scenario	Loss	Probability	Loss×Probability
0	-	0.60	-
1	1,000	0.15	150
1	100,000	0.12	12,000
1	1,000,000	0.03	30,000
2	2,000	0.03	50
2	200,000	0.02	3,200
2	2,000,000	0.00	2,000
2	101,000	0.04	4,040
2	1,001,000	0.01	10,010
2	1,100,000	0.01	8,800
		EL	70,250