FRM Part II Book 2: Credit risk Measurement and management (2014 SchweserNotes)

Kaplan, Inc., 2014. — 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 The Credit Decision The Credit Analyst Default Risk: Quantitative Methodologies Credit risk and credit derivatives Credit and counterparty risk Spread risk and default intensity models Portfolio credit risk Structured credit risk Defining Counterparty Credit Risk Netting, Compression, Resets, and Termination Features Collateral Credit Exposure Default Probability, Credit Spreads and Credit Derivatives Credit Value Adjustment Wrong-way Risk Credit derivatives and credit-linked notes The structuring process Securitization Cash collateralized debt obligations Understanding of securitization of subprime mortgage credit Self-Test Past FRM Exam Questions Formulas