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  1. Nicole Seaman

    P1.T4.917. External credit rating scales (de Servigny Ch.2)

    Learning objective: Describe external rating scales, the rating process, and the link between ratings and default. Questions: 917.1. Quotecan Corporation has issued a bond with the following features, characteristics and/or qualities: Quotecan's interest coverage ratio (i.e., earnings before...
  2. U

    z-score calibration (adjustment)

    Hi @David Harper CFA FRM , One formula I am struggling to understand is the adjustment to the z-score to account for the costs involved with the type I and type II errors ( => opportunity cost vs. LGD) in De Laurentis - Ch3 (Ratings Assignment Methodologies) pp 59 and 60. ln(q(solvent) *...
  3. Nicole Seaman

    P2.T6.700. Credit risk classifications (De Laurentis)

    Learning objectives: Describe the role of ratings in credit risk management. Describe classifications of credit risk and their correlation with other financial risks. Define default risk, recovery risk, exposure risk and calculate exposure at default. Questions: 700.1. In contrasting...