16 learning spreadsheets for Credit Risk

The credit risk tutorials (6a through 6f) employ various spreadsheets. I have uploaded those spreadsheets to the paid member area:

 
• 6.a.1 subprime structure
 
• 6.a.2 Interest rate swap MCS
 
• 6.b.1 Culp’s net excess spread
 
• 6.c.1 Altman’s Optimize Loan Portfolio
 
• 6.c.2 Altman’s Cost-Plus Loan Pricing
 
• 6.c.3 CreditMetrics
 
• 6.d.1 Merton Model (PD & Equity)
 
• 6.d.2 Altmans Z
 
• 6.e.1 default intensity
 
• 6.e.2 implied PD
 
• 6.e.3 CDS valuation
 
• 6.e.4 copula time2default
 
• 6.f.1 Stulz credit spread
 
• 6.f.2 Subordinate debt
 
• 6.f.3 vulnerable swap
 
• 6.f.4 portfolio UL (Ong)

Among them, which are most relevant to FRM 2009 Level 2? In my opinion,

 
• Look at interest rate swap Monte Carlo long enough to conceptually grasp how counterparty exposure (e.g., PFE) is determined
 
• Quick look at Culp’s net excess spread
 
• Merton Model (contains almost everything you need to know)
 
• Implied probability of default (PD); the 2009 sample exam contained two questions on this! I would definitely be ready to solve for implied PD given bond prices or credit spreads
 
• If you have time, the CDS valuation
 
• Ong’s portfolio unexpected loss (6.f.4) including risk contribution (RC)