Jun 13

New learning spreadsheets uploaded

by David Harper, CFA, FRM, CIPM

FRM |

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Ahead of Monday's screencast tutorial (Credit Risk A), I uploaded the following new learning spreadsheets to the member page:

  • Gross Loan Return (Saunders Ch. 11)
  • Altman's Z (Saunders Ch. 11)
  • Probability of Default (PD) Implied by Term Structure
  • Merton Model for PD (de Servigny Ch. 3)
  • Beta function (de Servigny Ch 4)
  • Expected (EL) and unexpected loss (UL)
    (Ong 4 & 5)
  • Portfolio expected & unexpected loss (Ong 6)

The more important ideas I'll review in the screencast. For each, there is both a link to an Excel and an EditGrid (which itself can be easily download into Excel by selecting File > Export As > XLS). So far, I have uploaded over forty (40+) learning spreadsheets devoted to the 2008 FRM. The XLS library alone should soon constitute a basic foundation in finance. Each spreadsheet was built from scratch without unnecessary complexity. Paul Wilmott wrote "The most useful math is the simplest math."

But I realize the average FRM candidate will not have time to review all of these: the yellow highlight identifies the more important ideas. For example, among these credit-related pages I just added, only "PD Implied by Term Structure" and "Portfolio Expected & Unexpected Loss" are recommended:

eg_snaps

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