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📘 FRR – 50 Important Numerical

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  📘 FRR – 50 Important Numerical   Credit Risk (Q1–Q17) Q1. A bank has granted a corporate term loan of USD 100 million. The internal risk model assigns a probability of default (PD) of 2%, while the loss given default (LGD) is estimated at 40%. Assuming the full exposure at default (EAD) is recognized, calculate the expected loss on this exposure. Q2. A commercial bank has extended a USD 50 million loan classified under the Basel I standardized approach with a 100% risk weight. Under regulatory requirements, banks must maintain capital equal to 8% of risk-weighted assets. What is the regulatory capital that must be held for this loan? Q3. A bank has an undrawn revolving credit line of USD 200 million provided to a corporate borrower. Under Basel rules, the Credit Conversion Factor (CCF) is 50%, and the exposure attracts a 100% risk weight. Compute the risk-weighted assets (RWA) for this facility. Q4. The inflation rate in the U.S. is ...
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📘 FRR-Sample Paper 2

  📘 FRR-Sample Paper 2   Q1. A bank extends a USD 120 million loan. PD = 3%, LGD = 45%, EAD = 100%. What is the expected loss? A. USD 1.35 million B. USD 1.62 million C. USD 2.00 million D. USD 5.40 million Q2. Which Basel credit risk approach allows banks to estimate both PD and LGD internally, subject to supervisory approval? A. Standardized Approach B. Foundation IRB C. Advanced IRB D. Simplified Standardized Q3. Which model uses a structural approach where default occurs if firm asset value < debt level? A. CreditMetrics B. CreditRisk+ C. Merton Model D. CreditPortfolioView Q4. A USD 500,000 loan has USD 200,000 collateral. PD = 4%, LGD = 40%. What is expected loss? A. USD 8,000 B. USD 12,000 C. USD 20,000 D. USD 80,000 Q5. Two loans each have PD = 8%. If independent, what is probability both default? A. 0.32% B. 0.64% C. 1.00% D. 8.00% Q6. Which of the following is most likely captured by credit concentration risk ? A. Multipl...
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📘 FRR-Sample Paper 1

📘 FRR-Sample Paper 1   Q1. A bank grants a loan of USD 80 million with a probability of default (PD) = 2%, loss given default (LGD) = 50%, and exposure at default (EAD) = 100%. What is the expected loss? A. USD 0.5 million B. USD 0.8 million C. USD 1.0 million D. USD 1.2 million Q2. Which Basel II approach for credit risk typically produces the lowest capital requirement, provided sufficient data and supervisory approval? A. Standardized Approach B. Foundation IRB C. Advanced IRB D. Basic Indicator Approach Q3. Which of the following credit risk models is primarily based on ratings migration data? A. CreditMetrics B. CreditRisk+ C. CreditPortfolioView D. Merton Model Q4. A loan of USD 100,000 is collateralized by securities worth USD 30,000. The LGD is 40%. What is the exposure at default (EAD)? A. USD 40,000 B. USD 60,000 C. USD 70,000 D. USD 100,000 Q5. Two loans each have a PD of 5%. If modeled as independent, what is the probability both defau...
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