P2.T6. Credit Risk

Practice questions for credit risk
Nicole Seaman
Quiz - T6 P2.T6.710. Merton, survival time, and z-spread
2
Replies
26
Views
1K
Chris
C
Nicole Seaman
P2.T6.403. Stulz on Merton model: credit risk as an option
2
Replies
39
Views
2K
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P2.T6.605. Risk-based pricing in financial services (Crouhy)
Replies
6
Views
360
yLam4028
Y
Nicole Seaman
P2.T6.332. Incremental and marginal credit value adjustment (CVA) (Gregory)
2
Replies
34
Views
1K
JKim7870
J
Nicole Seaman
P2.T6.331. Credit value adjustment (CVA), Gregory 7.1
Replies
15
Views
681
JKim7870
J
Nicole Seaman
P2.T6.404. Valuation of subordinated debt (Stulz applying Merton model)
2 3
Replies
41
Views
2K
gsarm1987
gsarm1987
Fran
P2.T6.306. Credit spreads and spread '01 (DVCS; Malz section 7.1)
2
Replies
32
Views
1K
David Harper CFA FRM
David Harper CFA FRM
David Harper CFA FRM
P2.T6.611. Securitization performance indicators (Choudhry)
Replies
9
Views
337
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P2.T6.909. Credit exposure metrics continued (expected positive exposure and effective exposure) (Gregory Ch.7)
Replies
9
Views
389
dla00
D
Nicole Seaman
P2.T6.914. Pricing counterparty risk with the credit value adjustment (CVA) (Gregory Ch.14)
Replies
9
Views
379
Chris
C
Nicole Seaman
P2.T6.417. Credit value adjustment (CVA) (Gregory)
2
Replies
29
Views
1K
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)
2
Replies
28
Views
943
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
1K
enjofaes
enjofaes
Nicole Seaman
Quiz - T6 P2.T6.712. Counterparty credit exposure essentials: calculation, netting & potential future exposure
2
Replies
20
Views
415
enjofaes
enjofaes
Nicole Seaman
Quiz - T6 P2.T6.709. Credit risk components
Replies
12
Views
525
enjofaes
enjofaes
Nicole Seaman
P2.T6.911. Impact of netting on exposure (Gregory, Ch.7)
Replies
7
Views
296
enjofaes
enjofaes
Nicole Seaman
P2.T6.900. Counterparty risk and xVA (Gregory Ch.4)
Replies
8
Views
382
enjofaes
enjofaes
Suzanne Evans
PQ-T6 P2.T6.211. Spread-based default probability (PD) (topic review)
2
Replies
33
Views
861
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
1K
gsarm1987
gsarm1987
Nicole Seaman
Quiz - T6 P2.T6.715. Credit derivatives and securitization
2
Replies
24
Views
596
yLam4028
Y
Nicole Seaman
P2.T6.414. Impacts of netting and collateral on exposure (Gregory)
2
Replies
31
Views
837
JLafr0337
J
Nicole Seaman
P2.T6.907. Collateral and the margin period of risk (Gregory Ch.6)
Replies
10
Views
592
JLafr0337
J
Nicole Seaman
P2.T6.703 Structural versus Reduced-form credit risk approaches (DeLaurentis)
2
Replies
24
Views
756
gsarm1987
gsarm1987
Nicole Seaman
P2.T6.333. Bilateral credit value adjustment (Gregory)
2
Replies
30
Views
725
yLam4028
Y
Nicole Seaman
P2.T6.910. Credit exposure profiles (Gregory Ch.7)
2
Replies
21
Views
483
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
603
enjofaes
enjofaes
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