Credit Value at Risk (FRM Part 2 – Book 2 – Credit Risk Measurement and Management – Ch 10)
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After completing this reading, you should be able to:
- Compare market risk value at risk (VaR) with credit VaR in terms of definition, time horizon, and tools for measuring them.
- Define and calculate credit VaR.
- Describe the use of rating transition matrices for calculating credit VaR.
- Describe the application of the Vasicek model to estimate capital requirements under the Basel II internal-ratings-based (IRB) approach.
Interpret the Vasicek’s model, Credit Risk Plus (CreditRisk+) model, and the CreditMetrics ways of estimating the probability distribution of losses arising from defaults as well as modeling the default correlation.
- Define credit spread risk and assess its impact on calculating credit VaR.
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:
- Compare market risk value at risk (VaR) with credit VaR in terms of definition, time horizon, and tools for measuring them.
- Define and calculate credit VaR.
- Describe the use of rating transition matrices for calculating credit VaR.
- Describe the application of the Vasicek model to estimate capital requirements under the Basel II internal-ratings-based (IRB) approach.
Interpret the Vasicek’s model, Credit Risk Plus (CreditRisk+) model, and the CreditMetrics ways of estimating the probability distribution of losses arising from defaults as well as modeling the default correlation.
- Define credit spread risk and assess its impact on calculating credit VaR.
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