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P2.T6. Credit Risk

Practice questions for credit risk
Nicole Seaman
P2.T6.405. Stulz on the credit risk of derivatives
2
Replies
27
Views
948
David Harper CFA FRM
Nicole Seaman
P2.T6.911. Impact of netting on exposure (Gregory, Ch.7)
Replies
1
Views
46
David Harper CFA FRM
Nicole Seaman
Quiz - T6 P2.T6.710. Merton, survival time, and z-spread
2
Replies
21
Views
596
David Harper CFA FRM
Nicole Seaman
P2.T6.902. xVA components (Gregory Ch.4)
Replies
1
Views
85
Jaskarn
Nicole Seaman
P2.T6.905. ISDA Master Agreement and credit support annex (Gregory Ch.6)
Replies
6
Views
95
David Harper CFA FRM
Nicole Seaman
P2.T6.910. Credit exposure profiles (Gregory Ch.7)
Replies
0
Views
31
Nicole Seaman
Nicole Seaman
P2.T6.908. Credit exposure metrics (expected exposure and potential future exposure) (Gregory Ch.7)
Replies
7
Views
134
Rogue_Trader
Nicole Seaman
P2.T6.600. Functions of central counterparties (CCPs) (Gregory)
Replies
13
Views
265
gprisby
Nicole Seaman
P2.T6.901. Credit exposure and valuation adjustments (Gregory, Ch.4)
Replies
2
Views
95
David Harper CFA FRM
Fran
P2.T6.307. Hazard rate (Malz section 7.2)
2
Replies
26
Views
880
David Harper CFA FRM
Suzanne Evans
PQ-T6 P2.T6.212. Merton-based default probabilities (topic review)
Replies
16
Views
436
David Harper CFA FRM
Nicole Seaman
P2.T6.909. Credit exposure metrics continued (expected positive exposure and effective exposure) (Gregory Ch.7)
Replies
3
Views
70
jennaheffler
Nicole Seaman
Quiz - T6 P2.T6.709. Credit risk components
Replies
11
Views
300
David Harper CFA FRM
Nicole Seaman
P2.T6.407. Credit exposure (Gregory)
2
Replies
24
Views
638
David Harper CFA FRM
Suzanne Evans
PQ-T6 P2.T6.211. Spread-based default probability (PD) (topic review)
2
Replies
21
Views
578
gprisby
Nicole Seaman
Quiz - T6 P2.T6.712. Counterparty credit exposure essentials: calculation, netting & potential future exposure
Replies
8
Views
169
MiguelVitiello
Suzanne Evans
PQ-T6 P2.T6.206. Counterparty risk (CVA) (topic review)
2
Replies
29
Views
789
gprisby
Suzanne Evans
PQ-T6 P2.T6.213. Credit value at risk (CVaR) (topic review)
2 3
Replies
40
Views
1,149
yuwaising
David Harper CFA FRM
P2.T6.611. Securitization performance indicators (Choudhry)
Replies
4
Views
194
David Harper CFA FRM
Nicole Seaman
P2.T6.907. Collateral and the margin period of risk (Gregory Ch.6)
Replies
0
Views
104
Nicole Seaman
Nicole Seaman
P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)
2
Replies
22
Views
642
David Harper CFA FRM
Nicole Seaman
P2.T6.707. Stress testing counterparty exposures
Replies
7
Views
247
PJAYAKUMAR
Nicole Seaman
P2.T6.327. Models for credit exposure simulation (Gregory 4.3)
Replies
14
Views
583
David Harper CFA FRM
Nicole Seaman
P2.T6.320. Quantifying counterparty risk (Gregory 2.4)
Replies
15
Views
375
Jaskarn
Nicole Seaman
P2.T6.412. Effective expected positive exposure (EEPE) (Gregory)
Replies
14
Views
584
David Harper CFA FRM
Nicole Seaman
P2.T6.416. Credit default swaps (CDS) and credit spread curve (Gregory)
2
Replies
22
Views
714
Nicole Seaman
Nicole Seaman
P2.T6.906. Features of a collateralization agreement (Gregory Ch.6)
Replies
0
Views
55
Nicole Seaman
Nicole Seaman
P2.T6.606. Flaws in securitization of subprime mortgages prior to the global financial crisis-Crouhy
Replies
5
Views
139
David Harper CFA FRM
David Harper CFA FRM
L2.T6.102 Subprime securitization (Ashcraft)
Replies
5
Views
207
yuwaising
David Harper CFA FRM
P2.T6.610. Securitization process (Choudhry)
Replies
12
Views
350
David Harper CFA FRM
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