portfolio-credit-risk
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P2.T6.24.11. Correlation-based credit, credit portfolio framework, and Credit VaR
Learning Objectives: Define and calculate default correlation for credit portfolios. Identify drawbacks in using the correlation-based credit portfolio framework. Assess the impact of correlation on a credit portfolio and its Credit VaR. Describe the use of a single-factor model to measure...- Nicole Seaman
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- correlation credit-portfolio credit-portfolio-framework default-correlation portfolio-credit-risk single-factor-model
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- Forum: FRM® Practice Questions
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Example 7.2 Portfolio Credit Risk
Don't get example 7.2 in the books: Consider a portfolio containing five positions: A five-year senior secured bond issued by Ford Motor Company A five-year subordinatte unsecured bond issued by Ford Motor Company Long protection in a five-year CDS on Ford Motor Credit Company A five-year...- enjofaes
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- portfolio-credit-risk
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- Forum: P2.T6. Credit Risk (25%)
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K
Malz Chapter 8:Portfolio Credit Risk
Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine- kik92
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- credit-var cvar malz malz-8.1 portfolio-credit-risk
- Replies: 13
- Forum: P2.T6. Credit Risk (25%)