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柴柴 · 2023年10月19日

想请问一下B选项

  1. CFA II
  2. FRA

NO.PZ2020021601000019

问题如下：

Judith Yoo is a financial sector analyst writing an industry report.

Part of Yoo’s analysis focuses on Company XYZ, a global commercial bank, and its CAMELS rating, risk management practices, and performance.

To assess Company XYZ’s risk management practices, Yoo reviews the loan loss analysis in Exhibit 4.

Based on Exhibit 4, a loan loss analysis for the last three years indicates that:

选项：

A.

Company XYZ has become less conservative in its provisioning for consumer loans.

B.

the provision for commercial loan losses has trailed the actual net charge- off experience.

C.

the cushion between the allowance and the net commercial loan charge- offs has declined.

解释：

C is correct.

The allowance for loan losses to net commercial loan charge- offs has been declining during the last three years, which indicates that the cushion between the allowance and the net commercial loan charge- offs has deteriorated.

2015 Consumer: Allowance for Loan Losses/Net Loan Charge-Offs=13,000/2,901=4.48

2016 Consumer: Allowance for Loan Losses/Net Loan Charge-Offs=11,500/2,505=4.59

2017 Consumer: Allowance for Loan Losses/Net Loan Charge-Offs=11,000/2,460=4.47

2015 Commercial: Allowance for Loan Losses/Net Loan Charge-Offs=169/44=3.84

2016 Commercial: Allowance for Loan Losses/Net Loan Charge-Offs=1,012/387=2.61

2017 Commercial: Allowance for Loan Losses/Net Loan Charge-Offs=1,540/1,060=1.45

2015 Consumer: Provision for Loan Losses/Net Loan Charge-Offs=1,300/2,901=0.45

2016 Consumer: Provision for Loan Losses/Net Loan Charge-Offs=2,000/2,505=0.80

2017 Consumer: Provision for Loan Losses/Net Loan Charge-Offs=3,000/2,460=1.22

2015 Commercial: Provision for Loan Losses/Net Loan Charge-Offs=95/44=2.16

2016 Commercial: Provision for Loan Losses/Net Loan Charge-Offs=442/387=1.14

2017 Commercial: Provision for Loan Losses/Net Loan Charge-Offs=1,100/1,060=1.04

您好，想问一下，B选项的指标不是变差了吗，那不是就说明计提的坏账准备落后于真实发生的减值吗

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1 个答案

王园圆_品职助教 · 2023年10月19日

同学你好，不是的哦，请看以下题目截图及解析截图，虽然解析里2015到2017年确实这个Provision for Loan Losses/Net Loan Charge-Offs的值在慢慢变小，但是其始终大于1

而B选项用“has trailed"——意思是Provision for Loan Losses已经真实的落后于Net Loan Charge-Offs了，也就是这个ratio的值应该小于1才是trailed的意思——和解析始终大于1是相违背的，所以B是错误的


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