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FRM真题解析，考生备考必做！

FRM真题的练习对于每一个备考生都是很有必要的，下文是列举的相关真题解析，备考生看过来！

Ki Dean, FRM, is a consultant for U.S. based McGreggor Bank. Dean attended a meeting where a Senior Vice President made the following statements about the Basel II Accord.

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I. By switching from the standardized approach to the foundation IRB approach, our risk weightings for a majority of the bank’s assets are lower, which could reduce our capital requirements by as much as 15% next year.

II. Under the IRB advanced approach, we generate all the estimates used in the models.

III. Pillar 2 concerns external monitoring and supervisory review.

How many of the statements are correct?

A) None.

B) One.

C) Two.

D) Three.

答案：B

解析: Only Statement II is correct. Statement I is incorrect. There is a transition period whereby the capital requirement under IRB cannot be less than 90% of the capital requirement the previous year and 80% in the second year. Statement III is also incorrect. Pillar 2 concerns supervisory review, Pillar 3 concerns market discipline, including external review.

Capital Bank has a loan portfolio that consists of $100 million of high quality (AAArated) sovereign debt, $50 million ofAAA-rated corporate debt, and $50 million of B-rated corporate debt. Use the Basel II standardized approach to calculate the capital requirement.Assume that the corporate risk weightings are 20 percent forAAA-rated debt and 100 percent for B-rated debt.

A) $6.4 million

B) $4.8 million

C) $11.2 million

D) $16.0 million

答案：B

解析：capital = $100×0%×8% + $50×20%×8% + $50×100%×8% = $4.80扫码预约

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