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  1. Nicole Seaman

    P1.T1.20.7. Credit risk transfer mechanisms

    Learning objectives: Compare different types of credit derivatives, explain how each one transfers credit risk and describe their advantages and disadvantages. Explain different traditional approaches or mechanisms that firms can use to help mitigate credit risk. Evaluate the role of credit...
  2. U

    Topic: Assessing the quality of risk measures

    Statement 1: A common trade during 2004 and 2005 was to sell protection on the equity tranche and buy protection of the mezzanine tranche of the CDX.NA.IG index. Statement 2: The trade was long credit spread risk on the equity tranche and short credit spread risk on the mezzanine tranche. Hi...
  3. V

    Benefits of Securitisation

    Hi @David Harper CFA FRM One of the listed benefits of Securitisation is the Risk diversification via pooling of assets. However, isn't that benefit available irrespective of Securitisation since all those risk segments are present in Bank's Asset base even prior to securitization. I am sure...
  4. Nicole Seaman

    P2.T6.715. Credit derivatives and securitization

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  5. Nicole Seaman

    P2.T6.612. Securitization and the financial crisis (Choudhry)

    Learning objectives: Define and calculate the delinquency ratio, default ratio, monthly payment rate (MPR), debt service coverage ratio (DSCR), the weighted average coupon (WAC), the weighted average maturity (WAM), and the weighted average life (WAL) for relevant securitized structures. Explain...
  6. Nicole Seaman

    P2.T6.606. Flaws in securitization of subprime mortgages prior to the global financial crisis-Crouhy

    Learning objectives: Discuss the flaws in the securitization of subprime mortgages prior to the financial crisis of 2007. Identify and explain the different techniques used to mitigate credit risk, and describe how some of these techniques are changing the bank credit function. Describe the...