V1_201103FRM二级信用风险管理习题_程黄维.pdf

Credit Risk Measurement and Management 1. Rank the following common credit risk mitigation options from greatest security to lowest security: I. Parental guarantee II. Letter of Credit III. Securities as collateral (with a haircut parameter of 0%) IV. Cash A. I, IV, III, II B. IV, III, II, I C. IV, II, III, I D. IV, II, I, III 2. Suppose that you want to estimate the implied default probability for a BB-rated discount corporate bond The T-bond (a risk-free bond) yields 12% per year. The one-year BB-rated discount bond yields 15.8% per year. The two-year BB-rated discount bond yields 18% per year. If the recovery rate on a BB-rated bond is expected to be 0%, and the marginal default probability in year one is 5%, which of the following is the best estimate of the risk-neutral probability that the BB-rated discount bond defaults within the next two years? A. 6.85% B. 3.28% C. 9.91% D. 10.14% 3. SunCity Bancorp has two equal-sized and equal-maturity loans of $5,000,000 each. The draw downs on both loans are 65% and expected draw down given default is also 65%. Both loans fall in the same risk class with a 1% probability of default and a 75% loss given default. The borrowers are from different industries so a conrrelation of 0.0 is assumed. The remainder of the relevant loan information is summarized in the following table Loan A Loan B σ 2.00% 5.00% EDF σ 25.00% 40.00% LGD Which of the following statements is(are) true? I. Expected loss of Loan A and Loan B are equal. II. Unexpected loss of Loan A and Loan B are equal. III. Risk contribution of Loan A and Loa