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nicole 麦子🌳 · 2025年07月09日

老师请问这个计算的知识点在哪里呀？

  1. FRM II
  2. Operational Risk and Resiliency

NO.PZ2025041201000039

问题如下：

A bank applies a capital charge of 2.00% to a specific credit facility, with an initial loan - equivalent factor of 0.25 for the undrawn portion. Due to heightened risk, this factor is increased to 0.50. For a facility with an original principal of USD 1.5 billion and 40% drawn, what is the additional economic capital allocated after increasing the factor?

选项：

A.

USD 4.50 million

B.

USD 7.50 million

C.

USD 9.00 million

D.

USD 12.00 million

解释：

Calculate the undrawn amount: Principal = USD 1.5 billion, Drawn = 40%, so Undrawn = 1,500X (1 - 0.4) = 900 million.

Original economic capital for the undrawn portion:900X 0.25 X 0.02 = 4.5 million.

New economic capital for the undrawn portion:900 X 0.50X 0.02 = 9million.

Additional economic capital:9 - 4.5 = 4.5 million.

中文解析

计算未提取金额： 本金 = 15 亿美元，已提取 40%，因此未提取部分 = 1,500X (1 - 0.4) = 900 百万美元。

原始未提取部分的经济资本：900X 0.25 X 0.02 = 4.5 million

新的未提取部分的经济资本：900 X 0.50X 0.02 = 9million.

额外经济资本：9 - 4.5 = 4.5 million.

RT

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1 个答案

李坏_品职助教 · 2025年07月09日

嗨，爱思考的PZer你好：


考点是经济资本的公式（在credit risk基础班讲义里）：

对于贷款，经济资本 = 这笔贷款的非预期损失（UL）* CM。 CM指的是银行为了UL而提取的资本比例。


先计算非预期损失，这个贷款本金是1500 million，而非预期损失指的是客户尚未提取的部分，未提取的是900million，一开始预测的risk factor是0.25，所以非预期损失UL = 900 * 0.25.


经济资本指的是针对UL 计提的2%的资本金， 所以是2% * 900 * 0.25. 之后risk factor又变成了0.5，那么新的经济资本 = 2% * 900 * 0.5





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NO.PZ2025041201000039 问题如下 A bank applies a capitcharge of 2.00% to aspecific cret facility, with initilo- equivalent factor of 0.25 forthe unawn portion. e to heightenerisk, this factor is increaseto 0.50.For a facility with originprincipof US1.5 billion an40% awn,whis the aitioneconomic capitallocateafter increasing the factor? A.US4.50 million B.US7.50 million C.US9.00 million US12.00 million Calculate the unawn amount: Princip= US1.5 billion, awn = 40%, so Unawn = 1,500X (1 - 0.4) = 900 million.Origineconomic capitfor the unawn portion:900X 0.25 X 0.02 = 4.5 million.New economic capitfor the unawn portion:900 X 0.50X 0.02 = 9million.Aitioneconomic capital:9 - 4.5 = 4.5 million.中文解析计算未提取金额 本金 = 15 亿美元，已提取 40%，因此未提取部分 = 1,500X (1 - 0.4) = 900 百万美元。原始未提取部分的经济资本900X 0.25 X 0.02 = 4.5 million新的未提取部分的经济资本900 X 0.50X 0.02 = 9million.额外经济资本9 - 4.5 = 4.5 million. 如题谢谢

2025-07-25 21:36 1 · 回答