Credit Spread Formula

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Hi David,

How many credit spread formula that the candidate is required to remember for FRM 2009 exam? Can we have a list of formula for FRM 2009 Level 2 also?

I noted the following formula:
1) Slide9 - Credit Risk Measurement & Management 6.f - Stulz

Credit Spread = -(1/T-t) X ln(D/F) - r

2) 2004 FRM exam
Credit spread = PD(1-fractional recovery rate)+risk premium
-------This formula still applicable?

Thanks

Regards
Learning

 

[David Harper CFA FRM]

Hi Learning,

Yes, I'll have an L2 formula up tomorrow (Sat)...

both of these spreads are in the cirriculum. Although instead of the latter, we have Hull's *approximation:*
default intensity (PD) ~= spread /(1-recovery)

David