更多服务

特色服务

找学习资源

查报考信息

看备考资讯

备考工具箱

报考指南

报名入口

报名流程

考试动态

考试日历

备考指南

资料中心

福利政策

热门题库

全部

frm二级内容公司损失数据差计算

来源：高顿网校 2015-07-24

　　银行Z,中型银行,只使用操作从内部损失数据记录从操作风险事件损失分布模型。银行审查记录,确认后他们完成其历史记录损失,其损失可能是近似均匀分布,它决定不使用外部损失数据估计损失分布。基于这一决定,下列哪个陈述是正确的?

　　1. Bank Z, a medium-size bank, uses only operational loss data from internal records to model its loss distribution from operational risk events. The bank reviewed its records, and, after confirming that they were complete records of its historical losses and that its losses could be approximated by a uniform distribution, it decided against using external loss data to estimate its loss distribution. Based on that decision, which of the following statements is correct?

　　A. The estimated loss distribution likely accurately represents Bank Z’s real risk because the records are accurate and complete.

　　B. The estimated loss distribution likely overtakes bank Z’s real risk because many incidences in the past were likely “one off.”

　　C. The estimated loss distribution likely is the best estimate of Bank Z’s real risk because there is no better loss data for the bank than its own.

　　D. The estimated loss distribution likely understates Bank Z’s real risk because the bank has not experienced a huge loss.

　　2. Your bank has chosen to use the advanced Internal Rating Based Approach under Basel II. The bank is contemplating a large securitization of low-quality loans that are currently on its balance sheet. You are concerned about whether the securitization will provide you with regulatory capital relief. Which one of the following approaches would be the most efficient in reducing the bank’s regulatory capital?

　　A. The bank sets up an Special Purpose Vehicle (SPV) that issues securities. All proceeds from selling these securities are invested in a portfolio of equities. The SPV sells protection to the bank through a credit default swap on the loans in the bank’s portfolio.

　　B. The bank sells the loans to an SPV and keeps an equity piece representing 8% of the value of the loans.

　　C. The bank sells the loans to an SPV that issues securities. These securities issued are then sold to third-party investors. The bank indicates to some investors that if credit quality of the loans declines significantly, the bank will try to help the investors, but specifies that the bank is unwilling to provide a contractual guarantee.

　　D. The bank forgoes the securitization and buys a credit default swap on the loans from an AAA-rated provider.

　　3. A 12-year, 8 percent semiannual coupon bond with $100 par value currently trades at $78.75 and has an effective duration of 9.8 years and a convexity of 130.0. What is the price of the bond if the yield falls by 150 basis points?

　　A. $67.17.

　　B. $86.47.

　　C. $91.48.

　　D. $95.43.

　　4. Which of the below are methods to estimate parameters of operational loss distributions?

　　I. Moments

　　II. Probability-weighted moments

　　III. Maximum likelihood

　　IV. Econometric

　　A. I and III

　　B. I, II and III

　　C. IV

　　D. III and IV

　　5. Asset liquidity risk is most pronounced for:

　　A. A $10 million position in distressed securities

　　B. A $10 million position in Treasury bonds

　　C. A $100 million position in distressed securities

　　D. A $100 million position in Treasury bonds

　　Answer

　　1. Correct answer: D

　　由于该公司的 Loss Distribution 近似于一个 Uniform distribution，可以推测该公司损失的次数比较小，且大小相近或相似，其原因大致可归类于数据选取的偏差，原因可能是由于公司刚成立不久，数据量不够大，还没有经历过比较极端巨大的损失所造成的。

　　2. Correct answer: C

　　A 中 Bank set up a SPV 形成了实际参股，要合并报表，对于减少监管资本没有帮助；B中 Bank 持有了 8%的 Equity Tranches，是 SPV 中最有风险的部分，最减少监管资本的帮助不大；C中 Bank 将手中的 Loan 完全卖出，形成了 True Sale，完全不持有头寸，直接从资本中扣除，可以实际减少监管资本。故正确；D中 Bank 放弃了证券化，单买了一个 CDS，Loan 仍然还在资产负债表中。随然通过 CDS 可以减少监管资本的要求，但是仍然没有 C 中的完全出售 Loan 来的多。

　　3. Correct answer ：C

　　Percentage price change = [(-) (effective duration)( Δy)]+[(1/2)(convexity)( Δy)2]

　　= [(-)(9.80)(-0.015)]+[(0.5)(130)(-0.015)2] = 16.16

　　Estimated price = 78.75(1+0.1616) = $91.48

　　4. Answer: B

　　The parameters of loss distributions can be estimated by moments, probability-weighted moments, or with maximum likelihood techniques

　　5. Answer: C

　　Asset liquidity risk is a function of the size of the position and the intrinsic liquidity of the instrument. Distressed securities trade much less than Treasury bonds, and so have more intrinsic liquidity. A $100 million position is more illiquid than a $10 million position in the same instrument.

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线