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P2.T6. Credit Risk

Practice questions for credit risk
Nicole Seaman
P2.T6.907. Collateral and the margin period of risk (Gregory Ch.6)
Replies
6
Views
194
nicola.gire
Suzanne Evans
PQ-T6 P2.T6.208. Credit Derivatives (Credit default swap) (topic review)
2 3
Replies
41
Views
974
David Harper CFA FRM
Fran
P2.T6.307. Hazard rate (Malz section 7.2)
2
Replies
32
Views
1,059
David Harper CFA FRM
Nicole Seaman
Quiz - T6 P2.T6.715. Credit derivatives and securitization
2
Replies
23
Views
345
mkarakulov
David Harper CFA FRM
PQ-T6 P2.T6.210. Credit Derivatives (CLN, CDO) (topic review)
2
Replies
27
Views
609
evelyn.peng
Nicole Seaman
P2.T6.908. Credit exposure metrics (expected exposure and potential future exposure) (Gregory Ch.7)
Replies
13
Views
222
Justyna80
Nicole Seaman
P2.T6.608. Credit Derivatives (1TD CDS, TRS, CLN) Crouhy
2 3
Replies
42
Views
1,096
evelyn.peng
Nicole Seaman
P2.T6.413. Credit exposure profiles (Gregory)
2
Replies
34
Views
1,102
evelyn.peng
Nicole Seaman
P2.T6.917. Wrong way risk (Gregory Ch.17)
Replies
6
Views
78
David Harper CFA FRM
Nicole Seaman
P2.T6.411. Expected (EE) and potential future exposure (PFE) (Gregory)
2 3
Replies
48
Views
1,713
mukeshramawat
Pam Gordon
P2.T6.310. Single-factor credit model, Malz section 8.3
2
Replies
26
Views
1,203
Justyna80
Nicole Seaman
P2.T6.405. Stulz on the credit risk of derivatives
2
Replies
28
Views
1,130
Justyna80
Nicole Seaman
Quiz - T6 P2.T6.713. Exposure profiles and credit value adjustment (CCR CVA)
2
Replies
22
Views
545
David Harper CFA FRM
Nicole Seaman
Quiz - T6 P2.T6.712. Counterparty credit exposure essentials: calculation, netting & potential future exposure
Replies
13
Views
222
Paco9105
K
P2.T6.309. Default correlation, Malz sections 8.1 and 8.2
2 3 4
Replies
70
Views
2,510
Nicole Seaman
Pam Gordon
P2.T6.313. Three-tiered securitization structure cashflows, Malz 9.2
2
Replies
33
Views
1,241
David Harper CFA FRM
Nicole Seaman
P2.T6.915. The incorporation of netting into the credit value adjustment (CVA) calculation (Gregory Ch.14)
Replies
7
Views
102
abhinavkhanna
Nicole Seaman
P2.T6.916. Bilateral credit value adjustment (BCVA) and the debt value adjustment (DVA) (Gregory Ch.14)
Replies
7
Views
72
abhinavkhanna
Nicole Seaman
P2.T6.328. Marginal expected exposure (marginal EE; Gregory 4.5)
2
Replies
36
Views
1,177
David Harper CFA FRM
Fran
P2.T6.304. Single-factor credit risk model (Malz)
2
Replies
20
Views
670
David Harper CFA FRM
Nicole Seaman
P2.T6.910. Credit exposure profiles (Gregory Ch.7)
Replies
12
Views
122
abhinavkhanna
Nicole Seaman
P2.T6.913. Central counterparties: history, waterfall and xVA impacts (Gregory Ch.9)
Replies
1
Views
32
nicola.gire
Nicole Seaman
P2.T6.410. Collateral and rehypothecation (Gregory)
Replies
12
Views
425
abhinavkhanna
Nicole Seaman
P2.T6.325. Collateral to reduce credit exposure (Gregory)
Replies
16
Views
401
abhinavkhanna
Pam Gordon
P2.T6.314. Equity, junior and senior securitization tranche reactions to default rate and correlation
2
Replies
33
Views
756
abhinavkhanna
Nicole Seaman
P2.T6.404. Valuation of subordinated debt (Stulz applying Merton model)
2
Replies
27
Views
1,219
Justyna80
Nicole Seaman
P2.T6.704 Linear discriminant analysis (LDA according to De Laurentis)
2
Replies
28
Views
645
David Harper CFA FRM
Nicole Seaman
P2.T6.912. The impact of collateral on counterparty risk and funding (Gregory Ch.7)
Replies
6
Views
45
chintanmatalia
Nicole Seaman
P2.T6.333. Bilateral credit value adjustment (Gregory)
Replies
17
Views
435
chintanmatalia
maryBT
P2.T6.308. Credit default swap (CDS) spread curves (Malz section 7.3)
2
Replies
23
Views
630
mcrisk7
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