距离下一次FRM考试还有
157

《Operational and Integrated Risk Management》精题解析I

发表时间:2017-11-03 15:57
作者:FRM考试网
告诉小伙伴
A bank uses a capital charge of 3.0%for revolving credit facilities with a loan equivalent factor of 0.4 assigned to the undrawn portion in calculating its risk-adjusted return on capital.A risk manager of the bank has become concerned that the protective covenants embedded in these loans are weak and may not prevent customers from drawing on the facilities during times of stress.As such,the manager has recommended increasing the loan equivalent factor to 0.85.This recommendation has been met with resistance from the loan origination team,and senior management has asked the risk manager to quantify the impact of the recommendation.For a typical facility that has an original principal of USD 1 billion and is 35%drawn,how much additional economic capital would have to be allocated if the loan equivalent factor is increased from 0.4 to 0.85?
 
A.USD 3.500 million
 
B.USD 6.195 million
 
C.USD 8.775 million
 
D.USD 18.300 million
 
 
FRM考试

自己先做~

做完之后滑这儿,就能对答案




 


 


 
 
answer:C
 
Required Capital=[DRAWN+(UNDRAWN*LEF)]*CF
 
Where:Credit commitment=COM=USD 1 billion
 
Drawn amount=Drawn=35%*COM=0.35*USD 1 billion=USD 350 million
 
Undrawn amount=UnDrawn=COM–Drawn=65%*COM=USD 650 million
 
Loan equivalent factor=LEF=0.4 Capital factor(capital charge)=CF=3.0%
 
Therefore the initial required economic capital is calculated as follows:
 
Required Capital=[350+(650*0.4)]*0.03=USD 18.3 million,and the required capital if the change is implemented would be:[350+(650*0.85)]*0.03=USD 27.075 million.
 
Hence the additional required economic capital would be 27.075–18.3=USD 8.775 million
本文内容由FRM考试网(www.frm.com.cn)原创发布,未经许可不得随意转载或引用,违者必究。
 

报名、考试时间

2018年05月2018年11月
报名时间 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.30.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年06月28日(周四)
报名时间2 第一阶段:2018.05.1~07.31
第二阶段:2018.08.01~08.31
第三阶段:2018.09.01~10.15
考试时间 2018年11月17日(周六)
成绩查询 2019年01月03日(周四)
  • 2017年FRM考试
  • FRM考试网