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Free 2016-FRR Exam Braindumps (page: 4)

Page 3 of 86
PDF with 387 Questions

According to a Moody's study, the most important drivers of the loss given default historically have been all of the following EXCEPT:
I) Debt type and seniority
II) Macroeconomic environment
III) Obligor asset type
IV) Recourse

  1. I
  2. II
  3. I, II
  4. III, IV

Answer(s): D



To quantify the aggregate average loss for the credit portfolio and its possible constituent subportfolios, a credit portfolio manager should use the following metric:

  1. Credit VaR
  2. Expected loss
  3. Unexpected loss
  4. Factor sensitivity

Answer(s): B



Of all the risk factors in loan pricing, which one of the following four choices is likely to be the least significant?

  1. Probability of default
  2. Duration of default
  3. Loss given default
  4. Exposure at default

Answer(s): B



Gamma Bank provides a $100,000 loan to Big Bath retail stores at 5% interest rate (paid annually). The loan also has an annual expected default rate of 2%, and loss given default at 50%. In this case, what will the bank's expected loss be? What is the expected loss of this loan?

  1. $300
  2. $550
  3. $750
  4. $1,050

Answer(s): D






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