loss-given-default

  1. Nicole Seaman

    P2.T6.901. Credit exposure and valuation adjustments (Gregory, Ch.4)

    Learning objectives: Describe credit exposure, credit migration, recovery, mark-to-market, replacement cost, default probability, loss given default, and the recovery rate. Describe credit value adjustment (CVA) and compare the use of CVA and credit limits in evaluating and mitigating...
    • Nicole Seaman
    • Thread
    • counterparty-risk credit-exposure credit-migration credit-value-adjustment default-probability gregory loss-given-default market-to-market recovery recovery-rate replacement-cost
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P2.T6.709. Credit risk components

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
    • Nicole Seaman
    • Thread
    • credit-risk default-correlation default-probability expected-loss exposure-at-default loss-given-default pre-settlement-credit-risk time-horizon
    • Replies: 2
    • Forum: FRM® Practice Questions
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