FRM Part II Book 2: Credit risk Measurement and management (2013 SchweserNotes)

Kaplan, Inc., 2013. — 244 p. — ISBN 978-1-4277-4468-5 The sixth in the eight books set designed to prepare for the GARP FRM Exam (2013) Contents Credit and counterparty risk Default Risk: Quantitative Methodologies Credit risk and credit derivatives Credit derivatives and credit-linked notes The structuring process Cash collateralized debt obligations Spread risk and default intensity models Portfolio credit risk Structured credit risk Securitization Understanding of securitization of subprime mortgage credit Defining counterparty credit risk Mitigating counterparty credit risk Quantifying counterparty credit exposure Pricing counterparty credit risk Kaplan, Inc., 2013. — 244 p. — ISBN 978-1-4277-4468-5The sixth in the eight books set designed to prepare for the GARP FRM Exam (2013) __Contents__Credit and counterparty riskDefault Risk: Quantitative MethodologiesCredit risk and credit derivativesCredit derivatives and credit-linked notesThe structuring processCash collateralized debt obligationsSpread risk and default intensity modelsPortfolio credit riskStructured credit riskSecuritizationUnderstanding of securitization of subprime mortgage creditDefining counterparty credit riskMitigating counterparty credit riskQuantifying counterparty credit exposurePricing counterparty credit risk