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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.T6.608. Credit Derivatives (1TD CDS, TRS, CLN) Crouhy
Nicole Seaman
Feb 2, 2016
2
3
Replies
50
Views
2K
Nov 17, 2022
gsarm1987
Quiz - T6
P2.T6.712. Counterparty credit exposure essentials: calculation, netting & potential future exposure
Nicole Seaman
Aug 1, 2017
Replies
19
Views
352
Nov 16, 2022
Nicole Seaman
Quiz - T6
P2.T6.710. Merton, survival time, and z-spread
Nicole Seaman
Jul 25, 2017
2
Replies
25
Views
1K
Nov 16, 2022
David Harper CFA FRM
P2.T6.316. Counterparty risk definition (Gregory)
Nicole Seaman
Jul 2, 2013
Replies
12
Views
317
Nov 13, 2022
David Harper CFA FRM
P2.T6.909. Credit exposure metrics continued (expected positive exposure and effective exposure) (Gregory Ch.7)
Nicole Seaman
May 8, 2019
Replies
7
Views
298
Nov 5, 2022
gsarm1987
P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)
Nicole Seaman
Jan 5, 2017
2
Replies
24
Views
859
Oct 15, 2022
David Harper CFA FRM
P2.T6.406. Counterparty risk characteristics (Gregory)
Nicole Seaman
Apr 3, 2014
Replies
15
Views
360
Oct 10, 2022
David Harper CFA FRM
P2.T6.912. The impact of collateral on counterparty risk and funding (Gregory Ch.7)
Nicole Seaman
Sep 23, 2019
2
Replies
21
Views
305
Oct 9, 2022
David Harper CFA FRM
P2.T6.317. Counterparty risk terminology (Gregory)
Nicole Seaman
Jul 4, 2013
2
Replies
23
Views
473
Oct 5, 2022
examtaker89
E
PQ-T6
P2.T6.206. Counterparty risk (CVA) (topic review)
Suzanne Evans
Sep 11, 2012
2
Replies
36
Views
1K
Sep 19, 2022
David Harper CFA FRM
P2.T6.915. The incorporation of netting into the credit value adjustment (CVA) calculation (Gregory Ch.14)
Nicole Seaman
Nov 25, 2019
Replies
19
Views
380
Sep 10, 2022
David Harper CFA FRM
P2.T6.906. Features of a collateralization agreement (Gregory Ch.6)
Nicole Seaman
Apr 17, 2019
Replies
11
Views
347
Sep 4, 2022
David Harper CFA FRM
P2.T6.306. Credit spreads and spread '01 (DVCS; Malz section 7.1)
Fran
Apr 16, 2013
2
Replies
21
Views
1K
Sep 1, 2022
jakob1010
J
P2.T6.313. Three-tiered securitization structure cashflows, Malz 9.2
Pam Gordon
May 9, 2013
2
Replies
34
Views
2K
Aug 29, 2022
Jackk90
J
P2.T6.707. Stress testing counterparty exposures
Nicole Seaman
Jan 26, 2017
Replies
8
Views
435
Aug 10, 2022
Collen
C
P2.T6.404. Valuation of subordinated debt (Stulz applying Merton model)
Nicole Seaman
Mar 27, 2014
2
Replies
38
Views
2K
Jul 3, 2022
Manisangsu
P2.T6.324. Impact of netting on exposure (Gregory)
Nicole Seaman
Aug 6, 2013
Replies
8
Views
413
Jun 2, 2022
Manisangsu
P2.T6.407. Credit exposure (Gregory)
Nicole Seaman
Apr 8, 2014
2
Replies
29
Views
954
Jun 1, 2022
David Harper CFA FRM
Quiz - T6
P2.T6.713. Exposure profiles and credit value adjustment (CCR CVA)
Nicole Seaman
Aug 3, 2017
2
Replies
33
Views
911
May 18, 2022
lushukai
P2.T6.331. Credit value adjustment (CVA), Gregory 7.1
Nicole Seaman
Aug 29, 2013
Replies
14
Views
634
May 10, 2022
David Harper CFA FRM
P2.T6.702. Credit rating assignment methodologies (De Laurentis)
Nicole Seaman
Jan 10, 2017
Replies
15
Views
434
Apr 24, 2022
lushukai
P2.T6.418. Incremental and Marginal credit value adjustment (CVA) (Gregory)
Nicole Seaman
May 15, 2014
2
Replies
33
Views
1K
Apr 11, 2022
David Harper CFA FRM
P2.T6.311. Credit VaR using single-factor model, Malz section 8.4
Pam Gordon
May 2, 2013
2
Replies
33
Views
2K
Apr 10, 2022
salamh
S
P2.T6.332. Incremental and marginal credit value adjustment (CVA) (Gregory)
Nicole Seaman
Sep 3, 2013
2
Replies
31
Views
1K
Mar 31, 2022
David Harper CFA FRM
P2.T6.910. Credit exposure profiles (Gregory Ch.7)
Nicole Seaman
May 15, 2019
Replies
19
Views
344
Mar 21, 2022
Moh
M
P2.T6.610. Securitization process (Choudhry)
David Harper CFA FRM
Feb 9, 2016
2
Replies
21
Views
530
Mar 17, 2022
Rblc
R
P2.T6.327. Models for credit exposure simulation (Gregory 4.3)
Nicole Seaman
Aug 15, 2013
Replies
19
Views
850
Mar 12, 2022
David Harper CFA FRM
P2.T6.904. Trade compression and termination events (Gregory Ch.5)
Nicole Seaman
Apr 3, 2019
Replies
10
Views
431
Mar 7, 2022
Rblc
R
P2.T6.307. Hazard rate (Malz section 7.2)
Fran
Apr 18, 2013
2
3
Replies
43
Views
1K
Mar 1, 2022
Rblc
R
Quiz - T6
P2.T6.715. Credit derivatives and securitization
Nicole Seaman
Aug 10, 2017
2
Replies
23
Views
536
Feb 18, 2022
OddPermission
O
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