P2.T6. Credit Risk

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