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Financial Risk Manager® (FRM). Free resources
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P2.T6. Credit Risk (25%)
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Inference for an alternate D2 or Distance to Default Formula
DunderMifflin
Apr 14, 2020
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Apr 14, 2020
DunderMifflin
D
N
Expected Loss and Loss Given Default
nitin3000
Mar 5, 2020
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1
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1K
Mar 7, 2020
David Harper CFA FRM
G
Appendices and spreadsheets
giuseppe.dattis
Feb 15, 2020
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846
Feb 15, 2020
giuseppe.dattis
G
S
Schroeck, Chapter 5
Serdar7891
Feb 14, 2020
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2
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714
Feb 14, 2020
Nicole Seaman
G
Default time in structured product simulation
giuseppe.dattis
Jan 31, 2020
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2
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1K
Jan 31, 2020
giuseppe.dattis
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S
Malz, Cp.9 Waterfall and Three-Tiered Securitization Structure
sauce2k
Jan 8, 2020
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2
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1K
Jan 10, 2020
Nicole Seaman
J
Credit VaR Formula
JBantayan
Dec 21, 2019
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0
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844
Dec 21, 2019
JBantayan
J
Credit Risk - Choudhry and Crouhy Study Notes
Mkaim
Apr 13, 2016
Replies
6
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2K
Dec 16, 2019
Nicole Seaman
V
Securitisation -Attachment point & Detachment point
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Dec 9, 2019
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1K
Dec 9, 2019
vijayaraghavan sundararajan
V
Q
Credit VaR (binomial model)
queliujin
Nov 10, 2019
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4
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2K
Nov 11, 2019
David Harper CFA FRM
K
Computing default probability
Kavita.bhangdia
Apr 23, 2016
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18K
Nov 1, 2019
pascalb
P
M
Initial vs Variation margin
Maxim Rastorguev
Sep 30, 2019
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3K
Oct 26, 2019
Maxim Rastorguev
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moving assets off the balance sheet
Ened
Jul 2, 2008
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4K
Sep 27, 2019
Dettos
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The origin of Ong's Unexpected Loss (UL)
Liming
Nov 4, 2009
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Sep 24, 2019
MarekH
M
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Credit Value Adjustment
sipanivishal
Aug 23, 2008
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8
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2K
Sep 13, 2019
Eesh
E
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Transition matrix cumulative pd
lowhueyyi
Aug 31, 2019
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5K
Sep 3, 2019
David Harper CFA FRM
S
Risk adjusted pricing (De Laurentis)
saurabhpal49
Sep 2, 2017
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3
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4K
Aug 17, 2019
Merlinius
M
M
Definitions of probability of default vs. cumulative or marginal probability of default
Merlinius
Aug 3, 2019
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7
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19K
Aug 16, 2019
David Harper CFA FRM
K
Malz Chapter 8:Portfolio Credit Risk
kik92
Jun 4, 2017
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13
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3K
Aug 7, 2019
David Harper CFA FRM
B
Middle office question : setting up counterparty exposure limits
BearFlag
Aug 3, 2019
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0
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685
Aug 3, 2019
BearFlag
B
R
CDS - Bond basis factors : confusing impact
rajeshtr
Mar 9, 2017
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10
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7K
Aug 1, 2019
tom87
T
A
CVA calculation - Credit Risk - Chapter 14 Gregory
amegupte
Jul 18, 2019
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1
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1K
Jul 19, 2019
David Harper CFA FRM
K
marginal PD
kasoker
May 21, 2010
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6
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15K
Jun 20, 2019
David Harper CFA FRM
J
CDS vs TRS vs CLN
Jiew Kwang
Oct 9, 2011
2
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20
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29K
May 11, 2019
nansverma
N
U
z-score calibration (adjustment)
uness_o7
Nov 14, 2017
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4
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2K
Apr 28, 2019
Jacques
J
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Subordinate Debt
harsh092
Apr 23, 2019
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1K
Apr 23, 2019
harsh092
H
T
Potential Future Exposure
Tereza
Apr 18, 2019
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1
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1K
Apr 21, 2019
David Harper CFA FRM
H
Risk Adjusted Pricing
harsh092
Apr 20, 2019
Replies
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928
Apr 20, 2019
Nicole Seaman
J
CDS Auction
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Feb 23, 2019
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Apr 16, 2019
Jaskarn
J
K
Marginal CVA vs Incremental
kevinyuen
Aug 11, 2015
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10
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Apr 15, 2019
David Harper CFA FRM
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