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FRM二级《操作及综合风险管理》Bank AAA is considering a loan to be fully

发表时间:2018-02-09 16:40
作者:FRM
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Bank AAA is considering a loan to be fully funded by deposits, with the following parameters: Loan amount: GBP 3 million

Average annual interest rate paid on deposits: 1.5% Annual interest rate on loan: 4.0%

Expected loss: 1.0% of face value of loan

Annual operating costs: 1.0% of face value of loan

Economic capital: 8.0%

Average return on economic capital: 3.0% What is the risk-adjusted return on capital for this loan?

A. 9.25%

B. 10.25%

C. 21.75%

D. 34.25%

Answer: A

Explanation:

Expected revenue = 3 billion *4%=120 million Expenses (cost of fund)=3 billion *1.5%=45 million Expected losses =3 billion*1.0%= 30 million

Return on economic capital =3 billion *8% *3%=7.2 million Expenses (operating)=3 billion *1%=30 million

The risk adjusted return= Expected revenue-Expenses-Expected losses+ Return on economic capital +(-) transfer price =120-45-30+7.2-30=22.2 RAROC+=Risk adjusted return/ economic capital =22.2/240=9.25%

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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)
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