Ejercicios 12 13 L1 FRM2019 20 BCN PDF

Fundamentos de riesgo
de crédito:
HOMEWORK
6 y 13 de septiembre de 2019
Manuel Ángel Guzmán

Manuel Ángel Guzmán, FRM 2019 Fundamentos de riesgo de crédito
Ejercicios - Enunciados
2
Manuel Ángel Guzmán, FRM 2019
Ejercicios Fundamentos de riesgo de crédito
Ejemplo 19-3: Examen FRM 1997-Pregunta 8 / Riesgo de Crédito
¿Cuál de los siguientes es el rating de crédito más bajo de Moodys?

a) Aaa2
b) Baa1
c) Baa3
d) Ba2
3
Ejercicio:
Determine the percentage of the following portfolio that is investment grade
Percentage of
Moody's Rating portfolio
Aa2 25%
A3 10%
Caa1 2%
Baa3 10%
Ba1 5%
D 3%
Aaa 10%
A1 15%
Baa1 10%
Aa3 10%
a)70%
b)80%
c)90%
d)95%
4
Examen FRM 2003-Pregunta 53
"The obligor's capacity to meet its financial commitment on the obligation is still
strong." What is the rating of this issue if this statement is given out by S&P?
a) AA
b) A
c) BBB
d) BB
5
Examen FRM 1997 – Pregunta 10 / Riesgo de Crédito
The ratio of the default probability of an AA-rated issuer over the default probability
of a B-rated issuer:
a) generally increases with time to maturity.

b) generally decreases with time to maturity.
c) remains roughly the same with time to maturity.
d) depends on the industry sector.
6
Ejemplo 18-4: Examen FRM 2000-Pregunta 38 / Riesgo de Crédito
Calcular la probabilidad de mora conjunta de una compañía matriz y su subsidiaria

para el próximo año. Suponiendo que el subsidiario es moroso si la matriz es
morosa, pero que la matriz no necesariamente es morosa si el subsidiario lo es y
dado que la matriz tiene una probabilidad de morosidad a un año del 0.50% y la
subsidiaria tiene una probabilidad de morosidad del 0.90%.
a) 0.450%
b) 0.500%
c) 0.545%
d) 0.550%
7
Examen FRM 2000-Pregunta 37/ Riesgo de Crédito
Una compañía tiene una probabilidad constante al año del 30% de morosidad.
¿Cuál es la probabilidad de default de la compañía a tres años?
a) 34%
b) 48%
c) 66%
d) 90%
8
Examen FRM 1997 – Pregunta 28 / Riesgo de Crédito
En base a datos históricos de S&P, ¿cuál es la probabilidad de default histórica

aproximada de una contraparte BB?
a) 0.05%
b) 0.20%
c) 1.0%
d) 5.0%
Solución:
De acuerdo con la Tabla 19-4 del “Financial Risk Manager
Handbook” la probabilidad de default a 1 año de un BB es de
un 1, 47%, y la de un B de 6,72%. En 1997 las probabilidades
de default a 1 año para este nivel de calificación eran mayores.
Por tanto, la respuesta correcta es la d).
9
Examen FRM 2000-Pregunta 31 / Riesgo de Crédito
De acuerdo con Standard and Poor’s, la probabilidad de default acumulada a cinco

años para una deuda calificada como BB es el 15%. Si la probabilidad marginal de
default para deuda calificada como BB entre el año 5 y el año 6 (condicionada a la
no entrada en default en los cinco años anteriores) es 10%, entonces ¿cuál es la
probabilidad de default acumulada a seis años de una deuda calificada como BB?
a) 25%
b) 16.55%
c) 15%
d) 23.50%
10
Un bono emitido por una empresa tiene un vencimiento de tres años. La

probabilidad marginal de default en el año uno es 3%. La probabilidad marginal de
default en el año dos es 4%. La probabilidad marginal de default en el año tres es
6%. ¿Cuál es la probabilidad acumulada de default de ese bono en esos tres
años?
a) 12.47%
b) 12.76%
c) 13%
d) 13.55%
11
¿Cuál es la diferencia entre la probabilidad marginal de default y la probabilidad

acumulada de default?
a) La probabilidad marginal de default representa la probabilidad de que el
prestatario entre en default en cualquier año, mientras que la probabilidad
acumulada se refiere a un período multianual específico.
b) La probabilidad marginal de default representa la probabilidad de que el
prestatario entre en default debido a un evento de crédito particular, mientras que
la probabilidad acumulada se refiere a todos los eventos de crédito.
c) La probabilidad marginal de default representa la probabilidad mínima con la
que el prestatario entrará en default, mientras que la probabilidad acumulada
representa la probabilidad máxima.
d) Las respuestas a) y c) son correctas.
12
Ejercicio:
¿Cuál es la probabilidad de default acumulada para el año 2 si la probabilidad de

default marginal es 8% y 7% para los años 1 y 2 respectivamente?
a) 4.94%
b) 7.44%
c) 14.44%
d) 85.56%
13
¿Qué representa generalmente la matriz de transición como medida del riesgo de

crédito?
a) La probabilidad de migrar de un nivel de rating a otro nivel de rating a lo largo de

toda la vida del préstamo.
b) Correlaciones entre las transiciones para activos de varias calidades en un año.
c) Correlaciones de varios movimientos del mercado que impactan en la calidad de
rating en un período de permanencia de diez días.
d) Probabilidades de migración de un nivel de rating a otro en un período de un
año.
14
Ejercicio:
Given the following 1-year transition matrix, which of the following amounts is
closest to the probability than a Aaa-rated firm will default over a 2-year period?
Rating to
Aaa Baa Caa Default
Aaa 90% 10% 0% 0%
Rating Baa 10% 80% 5% 5%
from Caa 1% 4% 80% 15%
a)0.00%
b)0.23%
c)0.50%
d)0.65%
15
Ejercicio:
Consider the following one-period transition matrix:

Next Period State
A B Default
Initial A 95% 5% 0%
Period B 10% 80% 10%
State Default 0% 0% 100%
If a company is originally in State A, what is the probability that the company will
have defaulted strictly before the fourth transition period from now?
a)0.875%
b)0.500%
c)1.375%
d)1.875%
16
Ejercicio:
The following table from Fitch Ratings shows the number of rated issuers
migrating between two rating categories during one year. Based on this
information, what is the probability than a issue with a rating of A at the beginning of
the year will be downgraded by the end of the year?
Year 1 Rating
Year 1 rating AAA AA A BBB Default Total
AAA 45 4 2 0 0 51
AA 3 30 4 3 2 42
A 2 5 40 2 3 52
BBB 0 1 2 30 1 34
Default 0 0 0 0 0 0
a) 13.46%
b) 13.44%
c) 9.62%
d) 3.85%
17
Ejercicio:
Utilizar las propiedades de las empresas que han caído en default o no para
categorizar una nueva observación por su similitud a uno de los dos grupos se
denomina:
a) Linear discriminant analysis

b) The K-nearest neighbor approach
c) Support vector machines
d) None of the above
18
Ejercicio:
¿Cuál de las categorías siguientes incluye modelos en los que el score asignado
se puede interpretar como probabilidad de default?
a) Parametric discrimination
b) The K-nearest neighbor approach
c) Support vector machines
d) None of the above
19
Ejercicio:
Two banks enter into a five-year first-to-default basket credit default swap
transaction. The basket contains three uncorrelated credits, W, X and Y, each with
a USD 25 million notional amount. The protection seller has to settle on the credit
that defaults first during the transaction. After that, the protection seller has no
obligation and the transaction terminates. Suppose the credits have the following 5-
year cumulative probability of defaults
Credit 5 Year PD
W 9.68%
X 8.97%
Y 8.02%
Which of the following is the probability of at least one default in the basket during
the 5 years?
a) 8.02%
b) 9.68%
c) 24.38%
d) 26.67%
20
Ejercicio:
Which of the following statements best describes historical sovereign default

patterns throughout the world?
a) Many governments have defaulted on their debt, but this was limited to when
capital markets were segmented.
b) Most governments have defaulted on their debt at some time, and repeated
defaults are common. It should be expected that this pattern will continue in the
future.
c) Most governments have defaulted on their debt at some time. However, due to
better credit analysis by investors and the restrictions placed by the IMF, these
patterns should not be expected in the future.
d) Most governments have defaulted on their debt at some time. However, due to
better credit analysis by investors and market information provided by exchange
traded credit default swaps, these patterns should not be expected in the future.
21
Ejercicio:
Which of the following statements best describes the relationship between serial
defaults, country status, and capital flows?
a) Emerging markets have experienced serial defaults through time. This is due to
the lack of external capital that is offered to these countries in good times and
bad.
b) Emerging markets have experienced serial defaults through time. This is related
to the increased capital flows that are subsequently withdrawn when economic
conditions worsen.
c) Emerging markets have typically been deprived of external capital whereas
developed countries have not; therefore serial defaults have been historically
concentrated in the developed world.
d) Serial defaults through time are common to both developed and emerging
markets. This is related to the increased capital mobility that is subsequently
withdrawn when economic conditions worsen.
22
Ejercicio:
¿Cuál es la pérdida esperada de una cartera si la probabilidad de default es 25% y

la severidad es de un 20%?:
a) 0.05%.
b) 5.00%.
c) 50.00%.
d) 80.00%.
23
Ejercicio:
Big City Bank has contractually agreed to a $20,000,000 credit facility with Upstart
Corp. Upstart will immediately access 40% of the total commitment. Big City Bank
estimates a 1-year probability of default between 1% and 2% and assigns a 20%
recovery rate. Big City has no experience with Upstart and conservatively
estimates draw down upon default to be between 50% - 75%. Which of the
following amounts represents the difference between the minimum and maximum
expected loss for Big City Bank?
a) Less than $100,000

b) Between $100,000 and $200,000
c) Between $200,000 and $300,000
d) Greater than $300,000
24
Ejercicio:
Un cliente de una entidad bancaria tiene una probabilidad de incumplimiento del

1% (a un año vista). Supongamos que dicha probabilidad es constante en el
tiempo. Dicho cliente solicita un préstamo bullet a 2 años por 1000 euros con una
severidad de 50%.
• ¿Cuánto es la pérdida esperada a un año?

• ¿Cuánto es la pérdida esperada a 2 años? Pista: Plantear un árbol.
25
Ejercicio:
Un cliente de una entidad bancaria tiene una probabilidad de incumplimiento del

1% (a un año vista). Supongamos que dicha probabilidad es constante en el
tiempo. Dicho cliente solicita un préstamo amortizable en 2 años (al final de cada
año se amortiza el 50%) por 1000 euros con una severidad de 50%.
• ¿Cuánto es la pérdida esperada a un año?

• ¿Cuánto es la pérdida esperada a 2 años? Pista: Plantear un árbol.
26
Ejercicio:
All things being equal, which of the following situations will lead to a higher
probability of rescheduling sovereign debt?
I. A higher import ratio.

II. A lower variance of export revenue.
III. A lower growth in domestic money supply.
IV. A higher level of imports.
a) I only
b) I and IV
c) II and III
d) I, III, and IV
27
Ejercicio:
Which of the following statements regarding the process of parameterizing credit

risk models is (are) correct?
I.Usage given default is easily observable.

II.The factor that impacts loss given default the most is the quality of the underlying
collateral.
III.Credit risk models often suffer from the lack of historical data.
a) I and II
b) II and III
c) III only
d) I, II and III
28
Ejercicio:
The independence, objectivity, and reputation of the rating agency are all enhanced
by the:
a) SEC Regulatory Guidelines.

b) NRSRO status.
c) synergistic relationship between financial market participants.
d) ongoing payments made by issuers to ratings agencies.
29
Ejercicio:
A Moody’s rating of A3 is roughly equivalent to a Standard and Poor’s rating of:
a) AA.
b) A+.
c) A-.
d) AAA.
30
Ejercicio:
Which of the following statements are not examples of how credit ratings are used
by regulators?
I. The Department of Labor may use credit ratings to determine which securities
are eligible for investment by pension funds.
II. Transactions involving some highly rated securities are exempt from certain
securities reporting requirements.
a) I only.
b) II only.
c) Both I and II.
d) Neither I nor II.
31
Ejercicio:
Which of the following is not part of the external ratings process? A(n):
a) qualitative assessment.
b) meeting with the representatives of the firm.
c) determination of a fair market price of the bond or company.
d) opportunity for the company being rated to appeal the rating.
32
Ejercicio:
Given the effort by ratings agencies to incorporate the effect of an average cycle in
external rating, the ratings tend to:
a) underestimate the probability of default in an economic expansion.

b) overestimate the probability of default in an economic recession.
c) underestimate the probability of default in an economic recession.
d) be unbiased in all phases of the business cycle.
33
Ejercicio:
Suppose XYZ bank booked a loan with the following characteristics: total
commitment of $2,000,000 of which $1,800,000 is currently outstanding. The bank
has assessed an internal credit rating equivalent to 1% default probability over the
next year. The bank has additionally estimated a 40% loss rate if the borrower
defaults. The standard deviation of PD and LR is 5% and 30%, respectively.
Calculate the expected and unexpected loss for XYZ bank.
a) EL = $7,200, UL=$64,900.
b) EL = $7,000, UL=$60,500.
c) EL = $4,251, UL=$43,705.
d) EL = $7,500, UL=$62,000
34
Ejercicio:
Bigger Bank has two assets outstanding. The features of the loans are summarized
in the next table. Assuming a correlation of 0.3 between the assets, compute Elp
and Ulp as well as the risk contribution of each asset.
Asset A Asset B
EA 8250000 1800000
PD 0,50% 1%
LR 50% 40%
σPD 2% 5%
σLR 25% 30%
a) ELp = $27,825, ULp=$197,009.

b) ELp = $27,000, ULp=$197,500.
c) ELp = $14,250, ULp=$143,705.
d) ELp = $14,520, ULp=$142,600
35
Ejercicio:
XYZ Bank is trying to forecast the expected loss on a loan to a mid-size corporate
borrower. It determines that there will be a 75% loss if the borrower does not
perform the financial obligation. This risk measure is the:
a) probability of default.
b) loss rate.
c) unexpected loss.
d) exposure amount.
36
Ejercicio:
If the recovery rate (RR) increase and the probability of default (PD) decreases,
what will be the effect on expected loss (EL), all else equal?
a) RR Increase: Increase, PD Decrease: Increase.

b) RR Increase: Decrease, PD Decrease: Increase.
c) RR Increase: Increase, PD Decrease: Decrease.
d) RR Increase: Decrease, PD Decrease: Decrease.
37
Ejercicio:
Big Bank has contractually agreed to a $20,000,000 credit facility with Upstart
Corp., of which $18,000,000 is currently outstanding. Upstart has very little
collateral, so Big Bank estimates a one-year probability of default of 2%. The
collateral is unique to its industry with limited resale opportunities, so Big Bank
assigns an 80% loss rate. The expected loss (EL) for Big Bank is closest to:
a) $68,000.
b) $72,000.
c) $272,000.
d) $288,000.
38
Ejercicio:
Bigger Bank has two assets outstanding. The features of the loans are summarized
in the following table. Assuming a correlation of 0.2 between the assets, what is the
value of unexpected loss of the portfolio (ULp)?
Asset A Asset B
EA 5100000 3600000
a) Less than $100,000. PD 2,00% 1%
b) Between $100,000 and $200,000. LR 50% 40%
c) Between $200,000 and $300,000. σPD 2% 5%
d) Greater than $300,000. σLR 25% 20%
39
Ejercicio:
You are an associate at a rating agency reviewing a research report compiled by

one of the new analysts. Which of the following statements in the report is correct?
a) For a given rating category default rates show statistically significant variation
based on geographic location.
b) For a given rating category, default rates show statistically significant variation
based on industry.
c) The cumulative default rate is generally more dramatic for a bond rated Baa3
than for a bond rated Ba1.
d) The cumulative default rate is generally less dramatic for a bond rated BB than
for a bond rated BBB.
40
Ejercicio:
Global Bank has made a loan with the following characteristics: total commitment
of $5 million, of which $4.1 million is currently outstanding. Global has assessed an
internal credit rating equivalent to a 1.5% default probability over the next year.
Global has additionally estimated a 35% loss rate. What is the expected loss for the
loan?
a) $21,525.
b) $24,596.
c) $26,250.
d) $27,735.
41
Ejercicio:
The most important factor affecting a country’s political stability is likely the:
a) Debt load of the country.

b) Discontent of the citizens.
c) Transparency of government policy decisions.
d) Legal structures put in place to protect investors.
42
Ejemplo 22 – 14: Examen FRM 2004 – Pregunta 63:
Un CDO con tres tranches tiene un subyacente con N corporate bonds con un
principal total de N millones de USD. Tranche 1 tiene 10% de N y es un tramo de
primera pérdida (10%). Tranche 2 tiene 20% de N y absorbe el siguiente 20% de
las pérdidas. Tranche 3 absorbe las pérdidas restantes. ¿Cuál de las siguientes
afirmaciones es cierta?
I. Tranche 2 tiene el máximo yield.
II. Tranche 1 se le llama usualmente “toxic waste”.
III. Tranche 3 tendría un rating AAA de S&P.
IV. Tranche 3 tiene el mínimo yield.
a) I sólo
b) IV sólo
c) II, III y IV
d) II y IV
43
Se securitiza una cartera de high-yield bonds en una SPV mediante tres tranches
(incluyendo el tramo equity). ¿Cuál de las siguientes afirmaciones es cierta?
a) A valor de mercado el valor de los bonds debería ser menor que el de las
tranches.
b) A valor de mercado la probabilidad de default total ponderada de la cartera (por
size de cada componente) debería ser igual a la de las tranches (ponderada
por size de cada tranche) .
c) La equity tranche tiene el menor riesgo de default.
d) El yield de la tranche de menor riesgo debe ser mayor que el del pool de bonos
securitizados.
44
En un collateralized bond obligation (CBO) un pool de high-yield bonds garantizan

los cash flows de las tranches, cada una de ellas con diferentes credit ratings y un
tramo residual o equity que absorbe gran parte del riesgo de default. Cuando se
comparan el valor de mercado ponderado por el credit rating medio de la cartera
de bonos y el de las tranches del CBO, ¿Cuál de las siguientes afirmaciones es
cierta?
a) El valor de mercado ponderado por el rating medio de la cartera de bonos es

aproximadamente el mismo que el de las tranches del CBO.
b) El valor de mercado ponderado por el rating medio de la cartera de bonos es
mayor que el de las tranches del CBO.
c) El valor de mercado ponderado por el rating medio de la cartera de bonos es
menor que el de las tranches del CBO.
d) El valor de mercado ponderado por el rating medio de la cartera de bonos
puede ser mayor o menor que el de las tranches del CBO.
45
Un CDO sintético está referenciado a un portfolio de 10 nombres. Asumamos que

el nocional de referencia es X y el vencimiento Y años. El nocional de referencia
por nombre es X/10. Las correlaciones de default entre los nombres son iguales a
1. El spread del single-name CDS para cada nombre individual es de 100 pbs,
para el plazo de Y años. Se asume una tasa de recuperación de 0 en todos los
casos. El CDO sintético tiene dos tranches, un 50% de junior tranche con un
spread J y un senior tranche con un spread S. Caeteribus paribus, si la correlación
de default entre los nombres se reduce a un 0.7, ¿cuál es el efecto entre la
relación entre el spread del junior tranche J y el del senior tranche S?.
a) Se mantiene constante
b) S se incrementa en relación a J
c) J se incrementa en relación a S
d) El efecto no puede determinarse con los datos facilitados.
46
A CBO (collateralized bond obligation) consiste de varios tranches de notas

provinientes de una paquetización de corporate bonds, desde el tramo equity al
tramo super senior. ¿Cuál de las siguientes afirmaciones es generalmente cierta
en estas estructuras?
a) El rendimiento total de los tranches del CBO es ligeramente inferior al de los
corporate bonds subyacentes que permita al emisor obtener fees.
b) El tramo super senior tiene un ratio de pérdida esperada mayor que el tramo
junior.
c) El tramo super senior es típicamente valorado con rating inferior a AAA y
vendido a inversores.
d) El tramo equity no absorbe las primeras pérdidas de la estructura.
47
FRM Practice Exam 2015 Part I:
A fixed-income portfolio manager purchases a seasoned 5.5% agency mortgage-

backed security with a weighted average loan age of 60 months. The current
balance on the loans is USD 20 million, and the conditional prepayment rate is
assumed to be constant at 0.4% per year. Which of the following is closest to the
expected principal prepayment this month?
a) USD 1,000
b) USD 7,000
c) USD 10,000
d) USD 70,000
48
John Bone is a junior bond analyst for XYZ investments. He is examining both
investment grade bonds and speculative grade bonds. In particular, he is looking
for bonds located below the separation between these two bond classifications.
Which of the following bonds would be classified as speculative grade bond?
a) FHLMC discount note.
b) ACC rail bond rated Baa.
c) OMC Corp. MTN rated BB.
d) Traveler’s floating-rate note rated Aa.
49
Given the following 1-year transition matrix, which of the following amounts is
closest to the probability that an Aaa-rated firm will default over a 2-year period?
a) 0.00%.
b) 0.23%.
c) 0.50%.
d) 0.65%.
50
Which of the following statements regarding external and internal credit ratings is
correct?
I. With respect to internal ratings, “underrating” during growth periods and
“overrating” during the decline of a cycle is seen more with the use of at-the-
point than through-the-cycle approaches.
II. The ratings delivered by specialized and regional agencies tend to be
consistent with those delivered by larger agencies.
a) I only.
b) II only.
c) Both I and II.
d) Neither I nor II.
51
Joe Reilly, FRM, and Claire Meyers, FRM, are discussing the level of event risk in
their bond portfolio. Reilly says that since their portfolio consists of investments
grade bonds, event risk should not be a concern. Meyers says that since they have
a small number of different issues in their portfolio, and event risk is idiosyncratic,
the event risk in their portfolio is negligible. Which, if either, of these statements is
based on correct assumptions?
a) Neither statement by Reilly nor Meyers are correct.
b) The statement made by Reilly is correct, but not the one made by Meyers.
c) The statement made by Meyers is correct, but not the one made by Reilly.
d) Both statements made by Meyers and Reilly are correct.
52
A loan portfolio is made up of ten noncorrelated loans, each with a value of $1

million and an estimated probability of default of 3% in any given year. Recovery in
the case of default is expected to be zero. Which of the following amounts is
closest to the cumulative expected loss on the loan portfolio over two years?
a) $0.03 million.
b) $0.059 million.
c) $0.30 million.
d) $0.591 million.
53
FRM Practice Exam 2014 Part II:
St. Paul Bank has examined its loan portfolio over the last year. It has determined
that the probability of default was 5%, adjusted for the size of exposure. The
expected loss over the one-year time horizon is 2.10%. The estimated exposure at
default was 60% of the potential exposure. What is the loss given default over the
period?
a) 70%.
b) 6.3%.
c) 7.0%.
d) 63%.
54
Which of the following is (are) a credit event?

I. Failure to make a required payment.
II. Restructuring that makes the creditor worse off.
III. Bankruptcy.
IV. Invocation of a cross-default clause.
a) II and III.
b) I, II and III.
c) I, II, III and IV.
d) I, II and IV.
55
Which of the following events is NOT a credit event?

a) Calling back a bond.
b) Bankruptcy.
c) Downgrading.
d) Default on payments.
56
In the S&P credit rating scheme, the least risky speculative investment rating is:
a) BB.
b) Ba.
c) AAA.
d) Aaa.
57
Assume a credit exposure of $100,000 has a loss given default (LGD) of $22,000
and a recovery rate (RR) is 78%. If the probability of default (PD) is 1%, what is the
expected loss (EL) of this exposure?
a) $220.
b) $780.
c) $1,000.
d) $172.
58
In S&P's credit rating scheme, one investment grade rating is:

a) BBB.
b) B.
c) C.
d) BB.
59
Which of the following statements about mortgage-backed securities is FALSE?

a) MBS utilize minimal credit enhancement.
b) CMOs distribute prepayment risk evenly across different tranches.
c) MBS bear minimal credit risk.
d) MBS face significant prepayment risk.
60
Suppose the credit rating agencies have recently issued many rating downgrades
for securitized subprime mortgages. The mortgages were previously issued during
stronger economic times and received high initial ratings. Which of the following
statements is most accurate?
a) The agencies rated “through the cycle” since the pools are now more likely to
default as the economy weakens.
b) The agencies rated “through the cycle” because the initial pools were highly
rated.
c) The agencies did not rate “through the cycle” since the pools are now more
likely to default as the economy weakens.
d) The agencies did not rate “through the cycle” because the initial pools were
highly rated.
61
Following the first signs of the crisis in the summer of 2007 until well into the crisis,
after 2009, which of the following best describes the reaction of the (credit default
swap) CDS market?
a) Initially a negative correlation between bank and sovereign CDS spreads, then
turning positive.
b) A consistent negative correlation between bank and sovereign CDS spreads
throughout the timeframe.
c) Initially a positive correlation between bank and sovereign CDS spreads, then
turning negative.
d) A consistent positive correlation between bank and sovereign CDS spreads
throughout the timeframe.
62
FRM Practice Exam 2015:
The rating agencies have analyzed the creditworthiness of Company XYZ and have
determined that the company currently has adequate payment capacity, although a
negative change in the business environment could affect its capacity for
repayment. The company has been given an investment grade rating by S&P and
Moody’s. Which of the following S&P/Moody’s ratings has Company XYZ been
assigned?
a) AA/Aa.
b) A/A.
c) BBB/Baa.
d) BB/Ba.
63

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Fundamentos de riesgo

Manuel Ángel Guzmán

Ejemplo 19-3: Examen FRM 1997-Pregunta 8 / Riesgo de Crédito

¿Cuál de los siguientes es el rating de crédito más bajo de Moodys?

Determine the percentage of the following portfolio that is investment grade

Examen FRM 2003-Pregunta 53

Examen FRM 1997 – Pregunta 10 / Riesgo de Crédito

a) generally increases with time to maturity.

Ejemplo 18-4: Examen FRM 2000-Pregunta 38 / Riesgo de Crédito

Calcular la probabilidad de mora conjunta de una compañía matriz y su subsidiaria

Examen FRM 2000-Pregunta 37/ Riesgo de Crédito

Examen FRM 1997 – Pregunta 28 / Riesgo de Crédito

En base a datos históricos de S&P, ¿cuál es la probabilidad de default histórica

Examen FRM 2000-Pregunta 31 / Riesgo de Crédito

De acuerdo con Standard and Poor’s, la probabilidad de default acumulada a cinco

Examen FRM 2004-Pregunta 14 / Riesgo de Crédito

Un bono emitido por una empresa tiene un vencimiento de tres años. La

Examen FRM 2000-Pregunta 34 / Riesgo de Crédito

¿Cuál es la diferencia entre la probabilidad marginal de default y la probabilidad

¿Cuál es la probabilidad de default acumulada para el año 2 si la probabilidad de

Examen FRM 2000-Pregunta 50 / Riesgo de Crédito

¿Qué representa generalmente la matriz de transición como medida del riesgo de

a) La probabilidad de migrar de un nivel de rating a otro nivel de rating a lo largo de

Consider the following one-period transition matrix:

a) Linear discriminant analysis

Which of the following statements best describes historical sovereign default

¿Cuál es la pérdida esperada de una cartera si la probabilidad de default es 25% y

a) Less than $100,000

Un cliente de una entidad bancaria tiene una probabilidad de incumplimiento del

• ¿Cuánto es la pérdida esperada a un año?

Un cliente de una entidad bancaria tiene una probabilidad de incumplimiento del

• ¿Cuánto es la pérdida esperada a un año?

I. A higher import ratio.

Which of the following statements regarding the process of parameterizing credit

I.Usage given default is easily observable.

a) SEC Regulatory Guidelines.

A Moody’s rating of A3 is roughly equivalent to a Standard and Poor’s rating of:

a) underestimate the probability of default in an economic expansion.

a) ELp = $27,825, ULp=$197,009.

a) RR Increase: Increase, PD Decrease: Increase.

You are an associate at a rating agency reviewing a research report compiled by

a) Debt load of the country.

Ejemplo 22 – 14: Examen FRM 2004 – Pregunta 63:

Ejemplo 22 – 15: Examen FRM 2001 – Pregunta 12:

Ejemplo 22 – 16: Examen FRM 1998 – Pregunta 8:

En un collateralized bond obligation (CBO) un pool de high-yield bonds garantizan

a) El valor de mercado ponderado por el rating medio de la cartera de bonos es

Ejemplo 22 – 17: Examen FRM 2003 – Pregunta 7:

Un CDO sintético está referenciado a un portfolio de 10 nombres. Asumamos que

Ejemplo 22 – 18: Examen FRM 2002 – Pregunta 32:

A CBO (collateralized bond obligation) consiste de varios tranches de notas

FRM Practice Exam 2015 Part I:

A fixed-income portfolio manager purchases a seasoned 5.5% agency mortgage-

FRM Practice Exam 2014 Part I:

FRM Practice Exam 2014 Part I:

FRM Practice Exam 2014 Part I:

FRM Practice Exam 2014 Part I:

FRM Practice Exam 2014 Part I:

A loan portfolio is made up of ten noncorrelated loans, each with a value of $1

FRM Practice Exam 2014 Part II:

FRM Practice Exam 2014 Part II:

Which of the following is (are) a credit event?

FRM Practice Exam 2014 Part II: