credit-spreads

  1. Nicole Seaman

    P2.T6.24.20 Evaluating Derivatives, Adjustments, Probability of Default, and Mitigation Strategies

    Learning Objectives: Assess the credit risks of derivatives. Define credit valuation adjustment (CVA) and debt valuation adjustment (DVA). Calculate the probability of default using credit spreads. Describe, compare, and contrast various credit risk mitigants and their role in credit analysis...
    • Nicole Seaman
    • Thread
    • credit-analysis credit-risk-mitigants credit-spreads credit-valuation-adjustment cva debt-valuation-adjustment derivatives dva probability-of-default
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Fran

    P2.T6.306. Credit spreads and spread '01 (DVCS; Malz section 7.1)

    AIMs: Define the different ways of representing spreads. Compare and differentiate between the different spread conventions and compute one spread given others when possible. Define and compute the Spread ‘01. Questions: 306.1. The following curves are applicable to a risky 2-year bond that...
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