26. Bank B lends $10 million to Company C for six months and receives $12 million worth of US Treasuries as collateral. The 6-month default probability of the Company C is 2 percent and the 6-month 99% VaR on the Treasuries is $2 million. Assuming that the performance of Company C is not affected by interest rates， the probability of Bank B not recovering the full principal of the loan is most will be closest to：
　　A. 0.002%.
　　B. 0.02%.
　　C. 0.2%.
　　D. 2%.
　　Correct answer：B
　　27.If a default has occurred， which of the following would you expect to have the highest rate of recovery？
　　A. Senior secured.
　　B. Junior subordinated.
　　C. Senior subordinated.
　　D. All of the above has similar recovery rates.
　　Correct answer：A
　　28.If the price of a zero coupon risk-free bond， maturing in five years， is 60.653066. The instantaneous default rate is 5% with no recovery in the case of default. What is the continuous compounded yield on a risky 5-year zero？
　　A. 14.50%.
　　B. 15.00%.
　　C. 15.50%.
　　D. None of the above.
　　Correct answer：B
　　29.Consider a curve where the value of a convertible bond is on the y-axis and the x-axis has the value of the issuer‘s common stock. This curve would most closely resemble：
　　A. a long forward position on the stock.
　　B. a short forward position on the stock.
　　C. a long put option position on the stock.
　　D. a short call option position on the stock.
　　Correct answer：A
　　30.Bank B lends $10 million to Company C for six months and receives guarantee from an unrelated Bank G for the full principal of the loan. The 6-month default probability of the Company C is 2 percent and that of Bank G is 0.5 percent. The probability of Bank B not recovering the full principal of the loan will be closest to：
　　A. 0.01%.
　　B. 0.5%.
　　C. 1.5%.
　　D. 2%.
　　Correct answer：A
　　為幫助廣大考生迎戰(zhàn)2015年FRM考試，高頓網(wǎng)校為考生們推出了考試名師免費(fèi)直播答疑與講義免費(fèi)下載！進(jìn)入直播>>
        FRM考試在線高清視頻指導(dǎo)