Measuring Credit Risk (FRM Part 1 2023 – Book 4 – Chapter 6)
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4 سال پیش
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After completing this reading, you should be able to:
- Evaluate a bank’s economic capital relative to its level of credit risk.
- Explain the distinctions between economic capital and regulatory capital, and describe how economic capital is derived. Identify and describe important factors used to calculate economic capital for credit risk: the probability of default, exposure, and loss rate.
- Define and calculate the expected loss (EL).
- Define and explain unexpected loss (UL).
- Estimate the mean and standard deviation of credit losses assuming a binomial distribution.
- Describe the Gaussian copula model and its application.
- Describe and apply the Vasicek model to estimate default rate and credit risk capital for a bank.
- Describe the CreditMetrics model and explain how it is applied in estimating economic capital.
- Describe and use the Euler’s theorem to determine the contribution of a loan to the overall risk of a portfolio.
- Explain why it is more difficult to calculate credit risk capital for derivatives than for loans.
- Describe challenges to quantifying credit risk.
AnalystPrep is a GARP-Approved Exam Preparation Provider for FRM Exams
After completing this reading, you should be able to:
- Evaluate a bank’s economic capital relative to its level of credit risk.
- Explain the distinctions between economic capital and regulatory capital, and describe how economic capital is derived. Identify and describe important factors used to calculate economic capital for credit risk: the probability of default, exposure, and loss rate.
- Define and calculate the expected loss (EL).
- Define and explain unexpected loss (UL).
- Estimate the mean and standard deviation of credit losses assuming a binomial distribution.
- Describe the Gaussian copula model and its application.
- Describe and apply the Vasicek model to estimate default rate and credit risk capital for a bank.
- Describe the CreditMetrics model and explain how it is applied in estimating economic capital.
- Describe and use the Euler’s theorem to determine the contribution of a loan to the overall risk of a portfolio.
- Explain why it is more difficult to calculate credit risk capital for derivatives than for loans.
- Describe challenges to quantifying credit risk.
4 سال پیش
در تاریخ 1399/05/22 منتشر شده
است.
41,616
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