備考FRM二級(jí)考試，真題練習(xí)很重要！

現(xiàn)在考生為了迎接FRM二級(jí)考試的到來(lái)，都在認(rèn)真?zhèn)淇?。為了順利通過(guò)考試，對(duì)于FRM真題的練習(xí)是很重要的。下文是列舉的相關(guān)真題解析，備考生看過(guò)來(lái)！

How many of the following statements regarding wrong-way risk and right way risk are correct?

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●Co-movement in risk exposure and default probability producing a decline in overall risk is an example of wrong-way risk.

●Co-movement in risk exposure and default probability producing an increase in overall counterparty risk is an example of right-way risk.

●Co-movement in risk exposure and default probability producing neither a decline nor an increase in the overall counterparty risk is an example of wrong-way risk.

●Co-movement in risk exposure and default probability producing a decline in risk exposure but an increase in counterparty default probability is an example of right-way risk.

A) None

B) All

C) Two

D) Three

答案：A

解析：Adecline in overall counterparty risk is an example of right-way risk.An increase in overall counterparty risk is an example of wrong-way risk.An increase in overall counterparty risk is a condition for the emergence of wrong-way risk. A decline in risk exposure but increase in counterparty default probability may or may not lower overall counterparty risk.

Arisk manager needs a quick calculation of the BCVAon a swap. Assume inputs are as follows: EPE = 5%, ENE = 3%, counterparty credit spread = 300bps, financial institution credit spread = 200 bps. Compute BCVAfrom the perspective of the financial institution.

A) -1

B) 1

C) 9

D) -9

答案：C

解析：From the perspective of the financial institution:

EPE×counterparty credit spread–ENE×institution credit spread=5%×300–3%×200 = 9 bps

This is what the financial institution may charge the counterparty for overall counterparty risk.

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