Question 2 (Chapters 18 and 19, 31 marks) (a) [Chapter 18] What are the two calculation approaches under the FRTB? Please just write their names. You do not need to explain them. (4 marks) (b) [Chapter 18] What is the profit and loss (P&L) attribution test? No calculation is needed. (4 marks) (c) (Chapter 19] Please discuss the two widely used proxies for the risk-free rate and their relationships with the "true" but unobservable risk-free rate. (4 marks) (d) [Chapter 19] A firm has issued three- and five-year bonds, each of which has a coupon of 4% per annum payable annually (par value is $100). The continuously compounded yields on the bonds are 3% and 5%, respectively. The continuously compounded risk-free interest rate is 2% across all maturities. Assume a recovery rate of 40%. Defaults can only occur halfway through every year. The annual unconditional risk-neutral default rates are Q1 for years 1 to 3 and Q2 for years 4 and 5. Estimate Q1 and Q2. (10 marks)