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FRM每日习题练习【巴塞尔协议与信用风险】

发表时间:2015-06-04 来源: 告诉小伙伴:
【编者按】FRM每日习题练习【巴塞尔协议与信用风险】,11月FRM复习备考已经扬帆起航,你在行动吗?每题练习FRM真题,多总结,提高FRM成绩最好办法。

下面两题分别是FRM考试真题中的巴塞尔协议和信用风险,希望大家好好练习FRM考试真题。

1、Banks have limits on how much Tier 2 and Tier 3 capital they can use to meet capital requirements. Assuming that capital is 8% of total risk weighted assets, which of the following asset allocations would be acceptable to meet the Basel II capital requirements?

  I.  30% cumulative preferred stock, 25% common stock, 20% retained earnings, 20% loan loss reserves.

  II. 50% non-redeemable, non-cumulative preferred stock, 25% retained earnings, 25% common stock.

  III. 35% common stock, 15% short-term subordinated debt, 40% unrealized gains on assets, 10% cumulative preferred stock.

  IV.  50% cumulative preferred stock, 50% non-redeemable, non-cumulative preferred stock.

  A. I and II.

  B. II and III.

  C. II and IV.

  D. I, III, and IV

  金程frm解析Answer: C

  To qualify, Tier 2 capital is limited to 100% of Tier 1 capital, implying that a 50/50 split between Tier 1 and Tier 2 capital is acceptable. Tier 1 capital includes common stock, retained earnings, and non-redeemable, noncumulative, preferred stock. Tier 2 capital includes unrealized gains, cumulative preferred stock, and loan loss reserves. Tier 3 capital consists of short-term subordinated debt. Only choices II and IV have at least 50% of their allocation made up of Tier 1 capital.

2、The Merton model and the Moody’s KMV model use different approaches to determine the probability of default. Which of the following is consistent with Moody’s KMV model?

  A.  The distance to default is 1.96, so there is a 2.5% probability of default.

  B.  The distance to default is 1.96, so there is a 5.0% probability of default.

  C.  The historical frequency of default for corporate bonds has been 6%. Updating this with Altman’s Z-score analysis would provide a probability of default that is somewhat different than 6%.

  D.  The distance to default is 1.96 and, historically, 1.2% of firms with this characterization have defaulted, so there is a 1.2% probability of default.

  金程frm解析Answer: D

  Moody’s KMV model evaluates the historical frequency of default for firms with similar distances to default and uses this as the probability of default.

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