Credit Risk (FRM Part 2 – Book 2 – Credit Risk Measurement and Management – Ch 12) скачать в хорошем качестве

Credit Risk (FRM Part 2 – Book 2 – Credit Risk Measurement and Management – Ch 12)

For FRM (Part I & Part II) video lessons, study notes, question banks, mock exams, and formula sheets covering all chapters of the FRM syllabus, click on the following link: https://analystprep.com/shop/unlimite... AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams For all other courses, including CFA, actuarial, and graduate admission products, click here: https://analystprep.com/courses/ After completing this reading, you should be able to: Assess the credit risks of derivatives. Define credit valuation adjustment (CVA) and debt valuation adjustment (DVA). Calculate the probability of default using credit spreads. Describe, compare, and contrast various credit risk mitigants and their role in credit analysis. Describe the significance of estimating default correlation for credit portfolios and distinguish between reduced form and structural default correlation models. Describe the Gaussian copula model for time to default and calculate the probability of default using the one-factor Gaussian copula model. Describe how to estimate credit VaR using the Gaussian copula and the CreditMetrics approach.