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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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Quiz - T6
P2.T6.710. Merton, survival time, and z-spread
Nicole Seaman
Jul 25, 2017
2
Replies
26
Views
1K
Nov 15, 2023
Chris
C
P2.T6.403. Stulz on Merton model: credit risk as an option
Nicole Seaman
Mar 25, 2014
2
Replies
39
Views
2K
Oct 26, 2023
David Harper CFA FRM
P2.T6.605. Risk-based pricing in financial services (Crouhy)
Nicole Seaman
Jan 21, 2016
Replies
6
Views
360
Oct 22, 2023
yLam4028
Y
P2.T6.332. Incremental and marginal credit value adjustment (CVA) (Gregory)
Nicole Seaman
Sep 3, 2013
2
Replies
34
Views
1K
Oct 16, 2023
JKim7870
J
P2.T6.331. Credit value adjustment (CVA), Gregory 7.1
Nicole Seaman
Aug 29, 2013
Replies
15
Views
681
Oct 15, 2023
JKim7870
J
P2.T6.404. Valuation of subordinated debt (Stulz applying Merton model)
Nicole Seaman
Mar 27, 2014
2
3
Replies
41
Views
2K
Sep 24, 2023
gsarm1987
P2.T6.306. Credit spreads and spread '01 (DVCS; Malz section 7.1)
Fran
Apr 16, 2013
2
Replies
32
Views
1K
Aug 29, 2023
David Harper CFA FRM
P2.T6.611. Securitization performance indicators (Choudhry)
David Harper CFA FRM
Feb 11, 2016
Replies
9
Views
337
Aug 2, 2023
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
9
Views
389
Jul 28, 2023
dla00
D
P2.T6.914. Pricing counterparty risk with the credit value adjustment (CVA) (Gregory Ch.14)
Nicole Seaman
Nov 14, 2019
Replies
9
Views
379
Jul 23, 2023
Chris
C
P2.T6.417. Credit value adjustment (CVA) (Gregory)
Nicole Seaman
May 13, 2014
2
Replies
29
Views
1K
Jun 4, 2023
David Harper CFA FRM
P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis)
Nicole Seaman
Jan 5, 2017
2
Replies
28
Views
943
May 29, 2023
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
1K
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
415
May 24, 2023
enjofaes
Quiz - T6
P2.T6.709. Credit risk components
Nicole Seaman
Jul 20, 2017
Replies
12
Views
525
May 24, 2023
enjofaes
P2.T6.911. Impact of netting on exposure (Gregory, Ch.7)
Nicole Seaman
May 22, 2019
Replies
7
Views
296
May 24, 2023
enjofaes
P2.T6.900. Counterparty risk and xVA (Gregory Ch.4)
Nicole Seaman
Mar 6, 2019
Replies
8
Views
382
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
861
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
1K
May 18, 2023
gsarm1987
Quiz - T6
P2.T6.715. Credit derivatives and securitization
Nicole Seaman
Aug 10, 2017
2
Replies
24
Views
596
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
837
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
592
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
756
May 5, 2023
gsarm1987
P2.T6.333. Bilateral credit value adjustment (Gregory)
Nicole Seaman
Sep 5, 2013
2
Replies
30
Views
725
Apr 29, 2023
yLam4028
Y
P2.T6.910. Credit exposure profiles (Gregory Ch.7)
Nicole Seaman
May 15, 2019
2
Replies
21
Views
483
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
603
Apr 16, 2023
enjofaes
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