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