FRM二级考试真题解析：信用风险敞口

　　FRM二级考试中的信用风险敝口是重要考点之一，考生需在掌握其含义的前提上进一步理解，掌握相关题目做法。下面是关于信用风险敞口历年真题分析，一起来看~

　　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?》》点击领取2022年FRM备考资料大礼包

　　（A）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.

　　（B）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.

　　（C）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.

　　（D）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.

　　考虑两个投资组合，一个对一个B级交易对手有1000万美元的信用风险敞口。第二个是1000万美元的信用风险敞口，平均分配给100个B级交易对手。假设所有B级交易对手的违约概率和回收率相同。下列哪项是正确的？

　　A.第一个投资组合的预期损失大于第二个投资组合的预期损失，第一个投资组合的意外损失大于第二个投资组合的意外损失。

　　B.第一个投资组合的预期损失等于第二个投资组合的预期损失，第一个投资组合的预期损失大于第二个投资组合的预期损失。

　　C.第一个投资组合的预期损失大于第二个投资组合的预期损失，第一个投资组合的预期损失等于第二个投资组合的预期损失。

　　D.第一个投资组合的预期损失等于第二个投资组合的预期损失，第一个投资组合的意外损失等于第二个投资组合的意外损失。

　　答案：B

　　解析：意外损失是指预期损失的波动性。非预期损失存在多元化效应。