FRM二級(jí)考試真題解析：信用風(fēng)險(xiǎn)敞口

　　FRM二級(jí)考試中的信用風(fēng)險(xiǎn)敝口是重要考點(diǎn)之一，考生需在掌握其含義的前提上進(jìn)一步理解，掌握相關(guān)題目做法。下面是關(guān)于信用風(fēng)險(xiǎn)敞口歷年真題分析，一起來(lái)看~

　　Consider two portfolios.One with USD 10 million credit exposure to a single B-rated counterparty.The second with USD 10 million on credit exposure split evenly between 100 B-rated counterparties.Assume that default probabilities and recovery rates are the same for all B-rated counterparties.Which of the following is correct?》》點(diǎn)擊領(lǐng)取2022年FRM備考資料大禮包

　?。ˋ）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.

　?。˙）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.

　?。–）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.

　?。―）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.

　　答案：B

　　解析：Unexpected loss is the volatility of the expected loss.There’s diversification effect in unexpected loss.

　　考慮兩個(gè)投資組合，一個(gè)對(duì)一個(gè)B級(jí)交易對(duì)手有1000萬(wàn)美元的信用風(fēng)險(xiǎn)敞口。第二個(gè)是1000萬(wàn)美元的信用風(fēng)險(xiǎn)敞口，平均分配給100個(gè)B級(jí)交易對(duì)手。假設(shè)所有B級(jí)交易對(duì)手的違約概率和回收率相同。下列哪項(xiàng)是正確的？

　　A.第一個(gè)投資組合的預(yù)期損失大于第二個(gè)投資組合的預(yù)期損失，第一個(gè)投資組合的意外損失大于第二個(gè)投資組合的意外損失。

　　B.第一個(gè)投資組合的預(yù)期損失等于第二個(gè)投資組合的預(yù)期損失，第一個(gè)投資組合的預(yù)期損失大于第二個(gè)投資組合的預(yù)期損失。

　　C.第一個(gè)投資組合的預(yù)期損失大于第二個(gè)投資組合的預(yù)期損失，第一個(gè)投資組合的預(yù)期損失等于第二個(gè)投資組合的預(yù)期損失。

　　D.第一個(gè)投資組合的預(yù)期損失等于第二個(gè)投資組合的預(yù)期損失，第一個(gè)投資組合的意外損失等于第二個(gè)投資組合的意外損失。

　　答案：B

　　解析：意外損失是指預(yù)期損失的波動(dòng)性。非預(yù)期損失存在多元化效應(yīng)。