This is the first ten minutes of a 1.5 hour tutorial on Advanced Credit Risk (1 of 2 parts). This tutorial reviews Learning Outcomes 51.1 to 52.8. This includes the Merton model, the KMV approach to EDF, scoring models for credit risk and the credit risk portfolio models (CreditMetrics, Portfolio Manager, PRT, CPV, and CreditRisk+). Also, this includes a very important section for the FRM: expected loss (EL), unexpected loss (UL), economic capital (EC) and expected shortfall (ES).

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Learn key concepts, functions and analyses: topical, timely and testable

• About the 2007 FRM Study Package
• FRM 2007: Frequently Asked Questions (FAQ)
• Metallgesellschaft case – 6 min briefcast
• Surplus at risk – spreadsheet
• Surplus at risk (SaR) – 5 min briefcast

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Movie tutorials, dashboards and spreadsheets tools. Learn by watching!

• 2008 Episode 14 (Investment B), sample
• 2008 Episode 13 (Investment A), sample
• 2008 Episode 12 (OpRisk C) - sample
• 2008 Episode 11 (OpRisk B), sample
• 2008 Episode 10 (OpRisk A), Part 1 (sample)

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Information and discussion on certification exams

• Comparison of CFA and CFP
• About the CIPM
• About the CFP
• About the CFA
• About the PRM