Jun
29
2008 Episode 8 (Credit B), Part 1 (sample)
by David Harper, CFA, FRM, CIPM
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This is only a ten minute sample.The first part of this episode reviews counterparty credit risk (readings by Canabarro and Picoult) including Monte Carlo simulation. The second part reviews securitization, which will also serve to introduce the next episode on credit derivatives. The two reviewed securitization readings are Culp on the motives and mechanics of securitized structures and the subprime case study.
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