Credit Risk (FRM Part 2 – Book 2 – Credit Risk Measurement and Management – Ch 12)
Автор: AnalystPrep
Загружено: 2024-03-28
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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.
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