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FRM二级冲刺练习：考生常见易错题汇总（26）

来源：高顿网校 2015-11-06

　　FRM二级考试中主要考察金融工具的运用，因此考生需要善于将知识点结合实际问题来作答。跟着高顿网校FRM小编一起来看看这些易错题吧！

　　1.Economic capital calculations for credit risk assume a recovery rate (defined as l-Ioss rate). Recovery rates are dependent on the business model ofthe underlying counterparty and its asset volatility in value and size. Under normal anticipated circumstances which ofthe following types of companies will have the highest recovery rate?

　　A. An intemet merchant of designer clothes

　　B. A hedge fund

　　C. An asset intensive manufacturing company

　　D. A commodities trader

　　2.With respect to mortgage-backed securities, and assuming market rates are below the mortgage rate in the pool, a decrease in interest rates would most likely cause:

　　A. Interest-only (IO) strips to decrease in value.

　　B. Principal-only (PO) strips to decrease in value.

　　C. 10 and PO strips to increase in value.

　　D. 10 and PO strips to decrease in value.

　　3.A bank has an outstanding trade with one of its counterparties with an exposure of $500,000 and a recovery rate of 70%. The bank estimated that there is a 2% probability that the counterparty， will default on its obligations. What is the bank's expected loss?

　　A. $3,000

　　B. $7,000

　　C. $10,000

　　D. $150,000

　　Answer:

　　1.C

　　The company with the highest recovery rate will be the company with the most tangible assets that can be valued in the event of default. Utilities, for example, have high recovery rates because they have large amounts oftangible assets, such as generating plants. Ofthe four choices - internet merchant, hedge fund, asset intensive manufacturing company and commodity trader - the asset intensive manufacturer would have the most tangible assets. Thus, choice 'C' is the correct choice.

　　2.A

　　A decrease in interest rates increases the probability of prepayments, so less interest will be collected over the life of securities. A decrease in rates will cause a smaller increase in POs value because the cash tlows are being discounted at a lower rate. However, the prepayment effect typicaUy dominates when rates are below the mortgage rates in the pool. Thus, 105 are likely to uecrease in value, and POs will increase in value.

　　3.A

　　At a recovery rate of 70%, the recovery amount is $500,000XO.70 = $350,000

　　The loss given default (LGD) is $500,000 - $350,000 = $150,000

　　Expected loss is (probability of defaultXLGD) = 0.02X $150,000 = $3,000

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