下面兩題分別是FRM考試真題中的巴塞爾協(xié)議和信用風險，希望大家好好練習FRM考試真題。

1、Banks have limits on how much Tier 2 and Tier 3 capital they can use to meet capital requirements. Assuming that capital is 8% of total risk weighted assets, which of the following asset allocations would be acceptable to meet the Basel II capital requirements?

　　I. 30% cumulative preferred stock, 25% common stock, 20% retained earnings, 20% loan loss reserves.

　　II. 50% non-redeemable, non-cumulative preferred stock, 25% retained earnings, 25% common stock.

　　III. 35% common stock, 15% short-term subordinated debt, 40% unrealized gains on assets, 10% cumulative preferred stock.

　　IV. 50% cumulative preferred stock, 50% non-redeemable, non-cumulative preferred stock.

　　A. I and II.

　　B. II and III.

　　C. II and IV.

　　D. I, III, and IV

　　金程frm解析Answer: C

　　To qualify, Tier 2 capital is limited to 100% of Tier 1 capital, implying that a 50/50 split between Tier 1 and Tier 2 capital is acceptable. Tier 1 capital includes common stock, retained earnings, and non-redeemable, noncumulative, preferred stock. Tier 2 capital includes unrealized gains, cumulative preferred stock, and loan loss reserves. Tier 3 capital consists of short-term subordinated debt. Only choices II and IV have at least 50% of their allocation made up of Tier 1 capital.

2、The Merton model and the Moody’s KMV model use different approaches to determine the probability of default. Which of the following is consistent with Moody’s KMV model?

　　A. The distance to default is 1.96, so there is a 2.5% probability of default.

　　B. The distance to default is 1.96, so there is a 5.0% probability of default.

　　C. The historical frequency of default for corporate bonds has been 6%. Updating this with Altman’s Z-score analysis would provide a probability of default that is somewhat different than 6%.

　　D. The distance to default is 1.96 and, historically, 1.2% of firms with this characterization have defaulted, so there is a 1.2% probability of default.

　　金程frm解析Answer: D

　　Moody’s KMV model evaluates the historical frequency of default for firms with similar distances to default and uses this as the probability of default.

相關(guān)頻道內(nèi)容推薦： FRM歷年真題 FRM真題

金程frm小編溫馨提示：FRM考試報名時間、考試動態(tài)，金程網(wǎng)校會在第一時間通知大家，敬請關(guān)注金程網(wǎng)?？荚噭討B(tài)，FRM免費資料【提示：“Ctrl+D”收藏此頁面】。