FRM Part II Book 2: Credit risk Measurement and management (2015 SchweserNotes)
Kaplan, Inc., 2015. — 300 p. — ISBN 978-1-4754-3113-1.
The sixth in the eight books set designed to prepare for the GARP FRM Exam (2015).Contents.
The Credit Decision.
The Credit Analyst.
Default Risk: Quantitative Methodologies.
Credit risk and credit derivatives.
Credit and counterparty risk.
Spread risk and default intensity models.
Portfolio credit risk.
Structured credit risk.
Defining Counterparty Credit Risk.
Netting, Compression, Resets, and Termination Features.
Collateral.
Credit Exposure.
Default Probability, Credit Spreads and Credit Derivatives.
Credit Value Adjustment.
Wrong-way Risk.
Credit derivatives and credit-linked notes.
The structuring process.
Securitization.
Cash collateralized debt obligations.
Understanding of securitization of subprime mortgage credit.
Self-Test.
The sixth in the eight books set designed to prepare for the GARP FRM Exam (2015).Contents.
The Credit Decision.
The Credit Analyst.
Default Risk: Quantitative Methodologies.
Credit risk and credit derivatives.
Credit and counterparty risk.
Spread risk and default intensity models.
Portfolio credit risk.
Structured credit risk.
Defining Counterparty Credit Risk.
Netting, Compression, Resets, and Termination Features.
Collateral.
Credit Exposure.
Default Probability, Credit Spreads and Credit Derivatives.
Credit Value Adjustment.
Wrong-way Risk.
Credit derivatives and credit-linked notes.
The structuring process.
Securitization.
Cash collateralized debt obligations.
Understanding of securitization of subprime mortgage credit.
Self-Test.
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