probability-of-default

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...

Hi, I was wondering how E[PD^2] = p = E[PD] holds true, is it by definition? Thanks in advance! I could not find a thread related to this when searching for one.

Hi, in book 2, chapter 4 (or the BT study notes), the following definitions are presented: I do not understand how to read the second definition. [t, t+k) is a continuous set. Therefore, I do not see how the numerator is supposed to be defined here. Even if I assume that we simply iterate...

@David Harper CFA FRM I completed my FRM Part 1 on may 18th, and I am glad to inform you that I have faired well in the exam all thanks to your material and question sets. I was just reading the notes on Economic capital in banks, and I was wondering how the probability of default is...

Learning objectives: Evaluate a bank’s economic capital relative to its level of credit risk. Identify and describe important factors used to calculate economic capital for credit risk: probability of default, exposure, and loss rate. Questions: 920.1. A bank's asset value has an expected...

Hello Can anybody help to guide how to answer these questions? Thank you. Edited by Nicole to include questions (please include questions in text format instead of an attachment): 1 What is the probability that a firm rated A will default in 1 year? 2 What is the...

Learning outcomes: Describe rating agencies’ assignment methodologies for issue and issuer ratings. Describe the relationship between borrower rating and probability of default. Compare agencies’ ratings to internal experts-based rating systems. Distinguish between the structural approaches and...

Learning objectives: Explain the key features of a good rating system. Describe the experts-based approaches, statistical-based models, and numerical approaches to predicting default. Describe a rating migration matrix and calculate the probability of default, cumulative probability of default...