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FRM真题解析,送给备考FRM二级的你!

发布时间:2021-11-11

来源:融跃教育

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距离12月FRM二级考试是越来越近了,广大考生千万别忘了做真题,这里可以选择融跃FRM题库,下面是小编列举的相关真题解析,希望对你有所帮助!

Investors in a credit-linked note (CLN) are most similar to:》》2021年新版FRM一二级内部资料免费领取!【精华版】

A) Credit default swap (CDS) protection buyers who have funded (prepaid) the contingent credit loss.

B) Credit default swap (CDS) protection buyers who own (have an insurable interest in) the reference entity.

C) Credit default swap (CDS) protection sellers who have funded (prepaid) the contingent credit loss.

D) Credit default swap (CDS) protection sellers who own (have an insurable interest in) the reference entity.

答案:C

解析:ACLN is like a funded CDS; the investors are selling protection (synthetically short the reference) In regard to (d), neither counterparty needs to own the reference.

The maximum benefits to the buyer of a credit-linked note (CLN) accrue when:

A) There is a small credit downgrade

B) There is no credit downgrade

C) There is a large credit downgrade

D) There is a default

答案:B

解析:The benefit to the CLN buyer is that the buyer earns a high return if there is no downgrade or default. The buyer’s prima扫描二维码直接预约

Which of the following representations of a prepayment speed of 200 PSAis true? Let t represent the number of months and CPR the annual prepayment rate?

A) If t 30, then, CPR = 6% t/30, if t>30, then CPR = 6%.

B) If t 30, then, CPR = 12% t/30, if t>30, then CPR = 12%.

C) If t 30, then, CPR = 18% t/30, if t>30, then CPR = 18%.

D) If t 30, then, CPR = 24% t/30, if t>30, then CPR = 24%.

答案:B

解析:The standard PSAbenchmark assumes the following conditional prepayment rates:

If t 30, then, CPR = 6% t/30, if t >30, then CPR = 6%

At 200 PSA, the CPRs are two times the CPRs for the standard PSAbenchmark.

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