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  1. Nicole Seaman

    P2.T6.901. Credit exposure and valuation adjustments (Gregory, Ch.4)

    Learning objectives: Describe credit exposure, credit migration, recovery, mark-to-market, replacement cost, default probability, loss given default, and the recovery rate. Describe credit value adjustment (CVA) and compare the use of CVA and credit limits in evaluating and mitigating...
  2. David Harper CFA FRM

    P1.T4.20. Credit rating scales: migration (transition) matrix

    AIMs: Describe what a rating scale is ... credit migration (transition) matrix [not in 2012 AIMs, but added as GARP consistently queries in sample papers] Questions: 20.1. The following actual, recent rating transition (aka, migration) matrix gives the transition probabilities of corporate...