FRM二级信用风险测量与管理精选习题

全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Cdit Ri k Mt Credit Risk Measurement and Management Instructor: Brady Topic Weight: 20% Credit Risk Measurement and ManagementCredit Risk Measurement and Management 1. Local Company, a frequent user of swaps, often enters into transactions with Global Bank, a major provider of swaps. Recently, Global Bank was downgraded from a pyg rating of AA+ to a rating of A, while Local Company was downgraded from a rating of A to a rating of A-. During this time, the credit spread for Global Bank increased from 20 bps to 150 bps, while the credit spread for Local Company increased from 130 bps to 170 bps. Which of the following is the most likely action that the counterparties will request onthe most likely action that the counterparties will request on their credit value adjustment (CVA)? 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management A. The credit qualities of the counterparties have changed, but not enough to justify amending existing CVA arrangements.g B. Global Bank requests an increase in the CVA charge it receives. C. Local Company requests a reduction in the CVA charge it pays. D. CVA is no longer a relevant factor, and the counterparties will use other mitigates of counterparty riskcounterparties will use other mitigates of counterparty risk. Answer: CAnswer: C Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 Credit value adjustment (CVA) is defined as the expected value or price of counterparty credit risk. Global Bank credit spread上升的更多，说明上升的更多，说明Global Bank未来出现信用风险的可能性增大，需要支付更多 的 未来出现信用风险的可能性增大，需要支付更多 的CVA. Local Company需要支付更少的需要支付更少的CVA. 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 8. A credit risk analyst has estimated the probability of a particular firm defaulting in the next year to be 1.25% using the Merton model. The risk analyst used his banks definition y of the default threshold, namely that default occurs when the firms value falls below the value of its short term debt plus half the value of its long term debt. Suppose the bank switched from using the Merton model to using the KMV approach to estimate default risk with the following historical expected default frequency buckets:historical expected default frequency buckets: Credit Risk Measurement and ManagementCredit Risk Measurement and Management Distance-to-DefaultExpected Default FrequencyDistance-to-DefaultExpected Default Frequency 40.3% -4 to -30.3% 0.3% -4 to -30.3% Wh tld thd fltb bilitb ? -3 to -2.50.6% -2.5 to -2.01.6% -2.0 to -1.63.8% -1.6 to -1.28.3% -1.2 to -0.914.9% -0.9 to -0.622.7% -3 to -2.50.6% -2.5 to -2.01.6% -2.0 to -1.63.8% -1.6 to -1.28.3% -1.2 to -0.914.9% -0.9 to -0.622.7% What would the new default probability be? A. 0.3% B. 1.6% C. 2.8% D. 3.8% 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 KMV model (Moody) Distance to default: expected asset value - default threshold DD= Distance to default: expected asset value DD= Answer: BAnswer: B Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 1 - N(2.24) = N(-2.24) = 1.25% Distance to default (DD):-2.24 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 11. The market quoted credit default swap spreads for an A- rated counterparty are 325 bps per annum for all maturities out to five years. Assuming a loss given default rate of 40%, ygg which of the following is closest to the implied risk-neutral probability that the counterparty will default at some point within the next two years? A. 5% B. 8% C 10% CDS spreadPD LGD 325 8 125% bps PD C. 10% D. 15% 3 5 8.125% 40% bps PD = Answer: BAnswer: B Credit Risk Measurement and ManagementCredit Risk Measurement and Management 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 15. A company that is domiciled in a country with a strong legal system is applying for a USD 1,000,000 loan with an annual interest rate of 5% to be used exclusively diit bidt tt d bton expanding its business and not to repay current debt. The loan will be secured by the companys factory buildings, which have an appraised value of USD 2,000,000. The company views loans as an integral component of its working and long-term capital, and it has an annual operating profit of USD 30,000. Which of the following statements relating to the credit risk of this gg company can most likely be inferred from the given data? A. The companys capacity to pay is low. B. The companys willingness to pay is low. C. The loan exhibits a high loss given default. D. The loans exposure at default will increase. Answer: AAnswer: A Credit Risk Measurement and ManagementCredit Risk Measurement and Management 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 19. Which of the following structured credit products does not allow its issuer to segregate the pool of underlying assets fit b lht?from its balance sheet? A. Mortgage backed security B. Collateralized debt obligation C. Collateralized loan obligation D. Covered bond Answer: DAnswer: D Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 22. A risk manager is advising the trading desk about entering into a digital credit default swap as a way to obtain credit protection. Which cash flow and delivery py requirement will the desk most likely experience in the event of default of the underlying reference asset? A. Receive the pre-agreed cash payment; deliver nothing. B. Receive (Par Value)-(Market Value of Reference Asset); deliver the reference asset. C Receive (Par Value) (Market Value of Reference Asset);C. Receive (Par Value)-(Market Value of Reference Asset); deliver nothing. D. Receive the pro-agreed cash payment; deliver the reference asset. Answer: AAnswer: A Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 Note2, P228 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 26. Risk managers in a medium sized bank are trying to implement new tools to measure and manage counterparty credit risk. Most exposure to the banks counterparties is pp through derivative contracts, but only some of the derivative counterparties have posted collateral. The risk managers are debating how the margined and non- margined counterparty exposure should be treated when calculating the exposure at default. Which of the following statements is correct?statements is correct? A. The forecasting period should be as long as the life of the contract for both margined counterparties as well as non- margined counterparties. Credit Risk Measurement and ManagementCredit Risk Measurement and Management B. The forecasting period should be no smaller than half the life of the contract for non-margined counterparties and can be chosen at any length for margined counterpartiescan be chosen at any length for margined counterparties given the presence of collateral. C. An identical forecasting period which is shorter than the life of the contract should be chosen for margined and non- margined counterparties in order to be able to aggregate the risk exposures.p D. A short forecasting period can be used for margined counterparties, while for non-margined counterparties it should correspond to the contract lifetime. 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Answer: AAnswer: A Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 margined and non-margined 不影响counterparty exposure，只影响违约损失率 margined and non-margined 不影响counterparty exposure，只影响违约损失率LGD Credit Risk Measurement and ManagementCredit Risk Measurement and Management 27. Which of the following activities or transactions would most likely result in right-way risk with a counterparty? A. Purchasing a put option from an A-rated company on gpppy that companys stock. B. Entering into a forward contract to buy West Texas Intermediate (WTI) crude oil from an airline company at a fixed price. C. Entering into a forward contract to buy WTI crude oil from a large oil producer at a fixed price 公司违约风险增大公司违约风险增大, 股价下降股价下降, 增加 收益 增加 收益, 风险暴露增大风险暴露增大, wrong-way 石油价格下降石油价格下降, 石油生产商违约概率上升石油生产商违约概率上升, a large oil producer at a fixed price. D. Selling a put option to an A-rated company on that companys stock.Short put没有风险暴露 没有风险暴露 , 收益减少收益减少, 风险暴露减少风险暴露减少, right-wayright-way 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Answer: CAnswer: C Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 right-way risk: 交易对手违约概率提高, 风险暴露减小; wrong-way risk: 交易对手违约概率提高, 风险暴露增大; right-way risk: 交易对手违约概率提高, 风险暴露减小; wrong-way risk: 交易对手违约概率提高, 风险暴露增大; Credit Risk Measurement and ManagementCredit Risk Measurement and Management 33. A bank enters into a swap agreement with a counterparty. The swap has no collateral requirements, and no netting agreements are present between the bank and the gp counterparty. The following data is available for the swap position: The counterparty expected exposure is 0.40% and approximately constant from month to month. The credit spread for a five year credit default swap on the counterparty is 500 bpscounterparty is 500 bps. The counterpartys probability of default within five years is 10%. The 5-year effective duration of the swap is 4.0. 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management Assuming no wrong-way risk on the position, which value is the closest approximation of the credit value adjustment expressed as a running spread?expressed as a running spread? A. 2 bps B. 4 bps C. 5 bps D. 8 bps CVA(t,T) 5000 4%2 CDS XEPEbb ( , ) 5000.4%2 ( , ) CDS premium XEPEbpsbps CDSt T = Answer: AAnswer: A Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 Note 2 P209Note 2, P209 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 41. An analyst is reviewing the minutes of a recent credit review meeting at a bank. Listed below are four comments made at the meeting pertaining to the credit analysis of consumers, non-financial institutions, financial institutions, and sovereigns. Which of these statements is correct? A. Due to the relatively small amount of credit advanced to individual consumers, scoring models are typically used as the only factor in determining the creditworthiness of consumers.错误: scoring model不是only factor 错误: scoring model不是only factor B. Due to publicly available information on consumers and the lack of information on non-financial institutions, credit analysis for non-financial institutions tends to be less detailed than that for consumers.错误: 数据缺乏更应该more detailed错误: 数据缺乏更应该more detailed Credit Risk Measurement and ManagementCredit Risk Measurement and Management C. Due to the similarity of institutions that comprise the financial sector, the credit analysis of financial institutions tends to be more straightforward than the credit analysis of other institutions. D. Due to there being fewer sovereigns than non-financial institutions, the credit analysis of sovereigns tends to include fewer factors than that of non-financial institutions. 正确正确: 金融机构特征相似金融机构特征相似, 分析金融机构更加容易，非金融机构差异很大 错误 分析金融机构更加容易，非金融机构差异很大 错误: 主权国家范围更大主权国家范围更大, 全面评估因素更多全面评估因素更多more factors 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Answer: CAnswer: C Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 Note 2 P11Note 2, P11 Credit Risk Measurement and ManagementCredit Risk Measurement and Management 45. An underwriter structures a collateralized loan obligation (CLO) composed of 100 identical loans, each with a notional value of GBP 800,000 to be repaid in one year with an interest rate of LIBOR + 3%. The CLO has one planned payment at maturity and its capital structure is given by: At maturity the CLO accumulates GBP 6,625,000 of losses TrancheFace ValueCoupon EquityGBP 5 million Mezzanine debt GBP 10 millionLIBOR+5.0% Senior debtGBP 65 millionLIBOR+0.5% from defaults and unpaid interest. If LIBOR was flat at 1% over the 1-year period, and assuming no recovery on the defaults, how would the losses be absorbed by the capital structure? 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management A. The equity tranche will lose some of its value, and the other tranches will not be affected. B The equity tranche will lose all of its value and the otherB. The equity tranche will lose all of its value, and the other tranches will not be affected. C. The equity tranche will lose some of its value, and the mezzanine tranche will lose some of its value. D. The equity tranche will lose all of its value, and the mezzanine tranche will lose some of its value. Answer: BAnswer: B Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 预期期末CLO总市值80M * (1 4%)83 2M预期期末CLO总市值 = 80M * (1+4%) = 83.2M Senior debt期末市值 = 65M * (1+1.5%) = 65.975M Mezzanine debt期末市值 = 10* (1+6%) = 10.6M Senior debt期末市值 + Mezzanine debt期末市值= 65.975M + 10.6M = 76.575M 实际期末CLO总市值 = 83.2M - 6.625M = 76.575M 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 51. A credit analyst at a bank has been asked to produce an exposure analysis for three of the loans in the banks portfolio. Loan information assembled by the analyst as well as the banks internal default assumptions are shown below: Loan Tenor(years)Notional(USD)Loss Given DefaultS&P Rating 1230M0.75BB- 23100M0.9A 31100M0.7B- Probability of Default (PD) Tenor (years) Loan Quality123 Investment Grade0.010.020.03 Non-investment Grade0.050.10.2 Credit Risk Measurement and ManagementCredit Risk Measurement and Management There is no collateral provided by the borrower for these loans so the analyst uses the notional amounts provided above as the Exposure at Default Which of the followingabove as the Exposure at Default. Which of the following correctly orders the expected loss for each loan from lowest to highest? A. Loan 1 Loan 2 Loan 3 B. Loan 1 Loan 3 Loan 2 C. Loan 2 Loan 3 Loan 1 D. Loan 2 Loan 1 Loan 3 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Answer: AAnswer: A Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 Expected Loss 1 = PD * LGD * EAD=30M*0.75*0.1=2.25M Expected Loss 2 = PD * LGD * EAD=100M*0.9*0.03=2.7M Expected Loss 3 = PD * LGD * EAD=100M*0.7*0.05=3.5M Credit Risk Measurement and ManagementCredit Risk Measurement and Management 56. A bank is the fixed rate payer in a 4-year interest rate swap. The probability distribution for the portfolio mark-to- market (MTM) is shown in the following table: The counterparty risk expected exposure of this swap is: Portfolio MTM (USD) Probability -40000000.1 -15000000.2 4000000.35 25000000.2 45000000.15 pyppp A. USD -700,000. B. USD 615,000 C. USD 1,315,000 D. USD 4,500,000 赚钱有风险暴露赚钱有风险暴露, 亏损没有风险暴露亏损没有风险暴露 0.40.352.50.24.50.15 1315000 expected exposureMMM=+ = 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Answer: CAnswer: C Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 Note2, P175 Credit Risk Measurement and ManagementCredit Risk Measurement and Management 62. Which of the following types of credit derivatives creates the least counterparty credit exposure for the protection buyer? A. Total return swap B. Equity default swap C. Credit-linked note D. Senior basket credit default swap 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Answer: CAnswer: C Credit Risk Measurement and ManagementCredit Risk Measurement and Management 解题思路解题思路 Credit-linked note (信用连结票据) 持有 Credit-linked note (信用连结票据) 持有AAA asset, 卖卖CDS, 收保费收保费,没有风险暴露没有风险暴露 Credit Risk Measurement and ManagementCredit Risk Measurement and Management QUESTIONS 66 AND 67 REFER TO THE FOLLOWING INFORMATION You are a risk manager at a bank that has a large exposure as a protection seller in single name credit default swapsas a protection seller in single-name credit default swaps (CDS). To value the positions, the trading desk collects bid and ask quotes from several dealers at the end of the day and uses these as guidance for determining a fair price for each position. Typically, the traders use a price near the bid price (the bid price being the premium someone will pay to buy protection) and have told you that they do this in order to be conservative. Recently, as bid/ask spreads have widened in the CDS market, the chief risk officer (CRO), who is under a lot of pressure to assist the bank through a difficult market period, has begun to push internally for pricing to be done using the mid-point between the bid and the ask quotes for all over-the-counter (OTC) derivatives. 全球财经证书培训领导品牌 FRM学员服务部咨询：400-600-8011 邮箱：frm 网站： Credit Risk Measurement and ManagementCredit Risk Measurement and Management 66. Wha