小編導(dǎo)讀：您還會(huì)為FRM考試感到煩惱嗎？高頓網(wǎng)校精品題庫(kù)，包含歷年真題，模擬試題等題型，題題結(jié)合考試大綱貼近考試考點(diǎn)。堅(jiān)持每天做題練習(xí)，一定可以提升備考效果，為贏取屬于自己的美好明天加油吧！馬上開(kāi)始練習(xí) >>
　　In calculating its risk-adjusted return on capital, your bank uses a capital charge of 2.50% for revolving credit facilities with a loan equivalent factor of 0.35 assigned to the undrawn portion. Recently, you have become concerned that the protective covenants embedded in these loans are weak and may not prevent customers from drawing on the facilities during times of stress. As such, you have recommended doubling the loan equivalent factor of 0.70. This recommendation has met with resistance from the loan origination team, and senior management has asked you to quantify the impact of your recommendation. For a typical facility that has an original principal of USD 1 billion and is 30% drawn, how much additional economic capital would have to be allocated if you increase the loan equivalent factor from 0.35 to 0.70?
　　A. USD 3.50 million
　　B. USD 6.13 million
　　C. USD 8.75 million
　　D. USD 13.63 million
　　Answer: B
　　The required economic capital to support a loan in the RAROC model can be calculated using the following formula:
　　where LEF represents the loan equivalent factor and CF represents the capital factor.
　　Therefore, the initial required economic capital is calculated as follows:
　　[(1 billion×0.3) + (1 billion×0.7×0.35)]×0.025 = 0.0136 billion
　　And the required capital if the change is implemented would be:
　　[(1 billion×0.3) + (1 billion×0.7×0.7)]×0.025 = 0.0198 billion
　　Hence the additional required economic capital would be 19.75 – 13.625 = 6.13 million.