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FRM P2.T6. Credit Risk

Part 2, Topic 6 is Credit Risk. Exam weight = 25%. Topics include: Credit analysis; Default risk: Quantitative methodologies; Expected and unexpected loss; Credit VaR; Counterparty risk; Credit derivatives; and Structured finance and securitization

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Original FRM resource on credit expected loss (EL) and unexpected loss (UL)
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Bank of England, Handbook #34
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The Great Challenge for the Global Financial Markets
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Chapter 2 and 4 are excellent introductions to CDS, TROR, credit spreads, CLN and CDO
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