Credit Value @ Risk
- Thread starter EIA
- Start date
EIA, the videos go in sequence, so if i treated your concept, it would be in the 6a, 6b, 6c, or 6d. Not that i necessarily treated your AIM, i do skip some.
Which AIM, and I will look it up (they appear on every page)?
Which AIM, and I will look it up (they appear on every page)?
Hi David,
Thanks for your quick response.
Even me I can find it in any Aim but this is where it is found below.
CREDIT RISK MEASUREMENT AND MANAGEMENT—Part II Exam Weight | 25%
• Subprime mortgages and securitization
• Counterparty risk and OTC derivatives
• Credit risk concentration
• Credit derivatives
• Types and uses
• Mechanics and structure
• Valuation
• Structured finance and securitization
• The structuring and securitization process
• Agency problems and moral hazard in the securitization process
• Tranching, subordination, and support
• Default risk
• Quantitative methodologies
• Loss given default and recovery rates
• Estimating defaults and recoveries from market prices and spreads
• The use of historical default rates and credit risk migration
• Expected and unexpected losses
• Credit VaR
Like I said before no specific AIM but it was listed and I think there was a question on it last November.
BR
EIA
Thanks for your quick response.
Even me I can find it in any Aim but this is where it is found below.
CREDIT RISK MEASUREMENT AND MANAGEMENT—Part II Exam Weight | 25%
• Subprime mortgages and securitization
• Counterparty risk and OTC derivatives
• Credit risk concentration
• Credit derivatives
• Types and uses
• Mechanics and structure
• Valuation
• Structured finance and securitization
• The structuring and securitization process
• Agency problems and moral hazard in the securitization process
• Tranching, subordination, and support
• Default risk
• Quantitative methodologies
• Loss given default and recovery rates
• Estimating defaults and recoveries from market prices and spreads
• The use of historical default rates and credit risk migration
• Expected and unexpected losses
• Credit VaR
Like I said before no specific AIM but it was listed and I think there was a question on it last November.
BR
EIA
Hi EIA,
thanks, if there is no AIM, I probably did not directly cover.
actually, the nearest and best concept to Credit VaR is probably Basel's IRB, which is a sophisticated but fully formed Credit VaR. It would be in 7c or 7d, but actually, I am recording fresh 2012 7c and 7d this week, so i will ensure to parse it out formally as an instance of CVaR (in previous years, i actually did spent quite a bit of time on CVaR, but the last revision of AIMs really does almost yank it out .... For second half of 2012, I am planning on some concept videos, as a remedy to the granularity of AIMs ... but that won't help for May). Thanks,
thanks, if there is no AIM, I probably did not directly cover.
actually, the nearest and best concept to Credit VaR is probably Basel's IRB, which is a sophisticated but fully formed Credit VaR. It would be in 7c or 7d, but actually, I am recording fresh 2012 7c and 7d this week, so i will ensure to parse it out formally as an instance of CVaR (in previous years, i actually did spent quite a bit of time on CVaR, but the last revision of AIMs really does almost yank it out .... For second half of 2012, I am planning on some concept videos, as a remedy to the granularity of AIMs ... but that won't help for May). Thanks,
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