loan-portfolio

  1. Nicole Seaman

    P1.T4.24.14. Economic & Regulatory Capital, Degree of Dependence, and Credit Losses

    Learning Objectives: Explain the distinctions between economic capital and regulatory capital and describe how economic capital is derived. Describe the degree of dependence typically observed among the loan defaults in a bank’s loan portfolio and explain the implications for the portfolio’s...
    • Nicole Seaman
    • Thread
    • binomial-distribution credit-losses default-rate degree-of-dependence economic-capital loan-portfolio regulatory-capital
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P2.T6.707. Stress testing counterparty exposures

    Learning objectives: Differentiate among current exposure, peak exposure, expected exposure, and expected positive exposure. Explain the treatment of counterparty credit risk (CCR) both as a credit risk and as a market risk and describe its implications for trading activities and risk management...
    • Nicole Seaman
    • Thread
    • counterparty-credit-risk counterparty-exposures current-exposure derivative-portfolio expected-exposure expected-positive-exposure loan-portfolio peak-exposure stress-testing stressed-expected-loss
    • Replies: 0
    • Forum: FRM® Practice Questions
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