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FRM® Practice Questions (PQs; for PAID customers)
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P2.T6. Credit Risk
Practice questions for credit risk
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P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)
Nicole Seaman
Jan 5, 2017
2
Replies
28
Views
920
Monday at 1:51 PM
David Harper CFA FRM
Quiz - T6
P2.T6.713. Exposure profiles and credit value adjustment (CCR CVA)
Nicole Seaman
Aug 3, 2017
2
Replies
34
Views
959
May 24, 2023
enjofaes
Quiz - T6
P2.T6.712. Counterparty credit exposure essentials: calculation, netting & potential future exposure
Nicole Seaman
Aug 1, 2017
2
Replies
20
Views
377
May 24, 2023
enjofaes
Quiz - T6
P2.T6.709. Credit risk components
Nicole Seaman
Jul 20, 2017
Replies
12
Views
494
May 24, 2023
enjofaes
P2.T6.911. Impact of netting on exposure (Gregory, Ch.7)
Nicole Seaman
May 22, 2019
Replies
7
Views
238
May 24, 2023
enjofaes
P2.T6.900. Counterparty risk and xVA (Gregory Ch.4)
Nicole Seaman
Mar 6, 2019
Replies
8
Views
310
May 24, 2023
enjofaes
PQ-T6
P2.T6.211. Spread-based default probability (PD) (topic review)
Suzanne Evans
Sep 27, 2012
2
Replies
33
Views
856
May 24, 2023
yLam4028
Y
P2.T6.407. Credit exposure (Gregory)
Nicole Seaman
Apr 8, 2014
2
Replies
33
Views
1K
May 21, 2023
David Harper CFA FRM
P2.T6.901. Credit exposure and valuation adjustments (Gregory, Ch.4)
Nicole Seaman
Mar 13, 2019
Replies
16
Views
939
May 18, 2023
gsarm1987
Quiz - T6
P2.T6.715. Credit derivatives and securitization
Nicole Seaman
Aug 10, 2017
2
Replies
24
Views
569
May 17, 2023
yLam4028
Y
P2.T6.414. Impacts of netting and collateral on exposure (Gregory)
Nicole Seaman
May 1, 2014
2
Replies
31
Views
814
May 13, 2023
JLafr0337
J
P2.T6.907. Collateral and the margin period of risk (Gregory Ch.6)
Nicole Seaman
Apr 24, 2019
Replies
10
Views
507
May 10, 2023
JLafr0337
J
P2.T6.703 Structural versus Reduced-form credit risk approaches (DeLaurentis)
Nicole Seaman
Jan 12, 2017
2
Replies
24
Views
719
May 5, 2023
gsarm1987
P2.T6.333. Bilateral credit value adjustment (Gregory)
Nicole Seaman
Sep 5, 2013
2
Replies
30
Views
691
Apr 29, 2023
yLam4028
Y
P2.T6.910. Credit exposure profiles (Gregory Ch.7)
Nicole Seaman
May 15, 2019
2
Replies
21
Views
426
Apr 28, 2023
yLam4028
Y
P2.T6.405. Stulz on the credit risk of derivatives
Nicole Seaman
Apr 1, 2014
2
Replies
39
Views
2K
Apr 25, 2023
David Harper CFA FRM
P2.T6.608. Credit Derivatives (1TD CDS, TRS, CLN) Crouhy
Nicole Seaman
Feb 2, 2016
2
3
Replies
55
Views
2K
Apr 16, 2023
enjofaes
P2.T6.418. Incremental and Marginal credit value adjustment (CVA) (Gregory)
Nicole Seaman
May 15, 2014
2
Replies
39
Views
1K
Apr 16, 2023
enjofaes
P2.T6.917. Wrong way risk (Gregory Ch.17)
Nicole Seaman
Dec 3, 2019
Replies
15
Views
481
Apr 16, 2023
enjofaes
P2.T6.909. Credit exposure metrics continued (expected positive exposure and effective exposure) (Gregory Ch.7)
Nicole Seaman
May 8, 2019
Replies
8
Views
334
Apr 15, 2023
enjofaes
P2.T6.328. Marginal expected exposure (marginal EE; Gregory 4.5)
Nicole Seaman
Aug 20, 2013
2
Replies
37
Views
2K
Mar 25, 2023
gsarm1987
P2.T6.412. Effective expected positive exposure (EEPE) (Gregory)
Nicole Seaman
Apr 24, 2014
Replies
16
Views
722
Mar 12, 2023
yLam4028
Y
P2.T6.912. The impact of collateral on counterparty risk and funding (Gregory Ch.7)
Nicole Seaman
Sep 23, 2019
2
Replies
23
Views
348
Mar 12, 2023
yLam4028
Y
P2.T6.411. Expected (EE) and potential future exposure (PFE) (Gregory)
Nicole Seaman
Apr 22, 2014
2
3
Replies
46
Views
2K
Mar 12, 2023
yLam4028
Y
P2.T6.403. Stulz on Merton model: credit risk as an option
Nicole Seaman
Mar 25, 2014
2
Replies
37
Views
2K
Mar 6, 2023
gsarm1987
P2.T6.310. Single-factor credit model, Malz section 8.3
Pam Gordon
Apr 30, 2013
2
Replies
31
Views
2K
Feb 26, 2023
yLam4028
Y
K
P2.T6.309. Default correlation, Malz sections 8.1 and 8.2
Kimberly D
Apr 25, 2013
2
3
4
Replies
68
Views
3K
Feb 26, 2023
yLam4028
Y
P2.T6.905. ISDA Master Agreement and credit support annex (Gregory Ch.6)
Nicole Seaman
Apr 10, 2019
Replies
13
Views
447
Feb 12, 2023
Sixcarbs
P2.T6.306. Credit spreads and spread '01 (DVCS; Malz section 7.1)
Fran
Apr 16, 2013
2
Replies
26
Views
1K
Feb 2, 2023
David Harper CFA FRM
P2.T6.705. Logistic regression and principal component analysis (PCA, De Laurentis)
Nicole Seaman
Jan 19, 2017
Replies
11
Views
417
Dec 20, 2022
gsarm1987
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