FRM_II_Book 2_Credit Risk Measurement and Management

Module 16.1: Credit Risk Evaluation......Page 13
Module 16.2: Credit Analysis, Quantitative Measures, and Failure vs. Insolvency......Page 18
Key Concepts......Page 23
Answer Key for Module Quizzes......Page 25
Module 17.1: Credit Analyst Roles......Page 26
Module 17.2: Banking Credit Analysts......Page 31
Key Concepts......Page 36
Answer Key for Module Quizzes......Page 37
Module 18.1: Credit Risk......Page 39
Module 18.2: Credit Risk Measurement......Page 41
Key Concepts......Page 46
Answer Key for Module Quizzes......Page 48
Module 19.1: Rating Systems......Page 49
Module 19.2: Structural and Reduced Form Approaches......Page 54
Module 19.3: Logistic Regression Models, Cluster Analysis, and Principal Component Analysis......Page 59
Module 19.4: Cash Flow Simulation Model, Heuristic and Numerical Approaches, and Applying Qualitative Information......Page 63
Key Concepts......Page 69
Answer Key for Module Quizzes......Page 72
Module 20.1: The Merton Model......Page 73
Module 20.2: Credit Spreads, Time to Maturity, Interest Rates, and Subordinate Debt......Page 77
Module 20.3: Credit Risk Portfolio Models......Page 84
Module 20.4: Credit Derivatives......Page 88
Key Concepts......Page 92
Answer Key for Module Quizzes......Page 94
Module 21.1: Spread Risk......Page 96
Module 21.2: Hazard Rates......Page 99
Module 21.3: CDS Estimates of Hazard Rates......Page 102
Key Concepts......Page 107
Answer Key for Module Quizzes......Page 109
Module 22.1: Credit Portfolios and Credit VaR......Page 110
Module 22.2: Conditional Default Probabilities and Credit VaR With Copulas......Page 114
Key Concepts......Page 120
Answer Key for Module Quizzes......Page 121
Module 23.1: Structured Products......Page 122
Module 23.2: Securitization......Page 128
Module 23.3: Simulation, Probability of Default, and Default Correlation, Default Sensitivities, and Structured Products......Page 133
Key Concepts......Page 139
Answer Key for Module Quizzes......Page 141
Module 24.1: Counterparty Risk......Page 142
Module 24.2: Managing, Mitigating, and Quantifying Counterparty Risk......Page 146
Key Concepts......Page 150
Answer Key for Module Quizzes......Page 151
Module 25.1: Mitigating Counterparty Risk and Credit Exposure......Page 152
Key Concepts......Page 158
Answer Key for Module Quiz......Page 159
Module 26.1: Collateral......Page 160
Module 26.2: Collateral Agreements......Page 163
Key Concepts......Page 168
Answer Key for Module Quizzes......Page 170
Module 27.1: Credit Exposure......Page 171
Module 27.2: Security Exposure Profiles......Page 175
Module 27.3: Collateral and Credit Exposure......Page 181
Key Concepts......Page 186
Answer Key for Module Quizzes......Page 188
Module 28.1: Counterparty Risk Intermediaries......Page 189
Module 28.2: Central Counterparties......Page 192
Key Concepts......Page 198
Answer Key for Module Quizzes......Page 199
Module 29.1: Default Profitability, Estimation Approaches, and Recovery Rates......Page 200
Module 29.2: Credit Derivatives......Page 205
Key Concepts......Page 209
Answer Key for Module Quizzes......Page 211
Module 30.1: Credit Value Adjustment......Page 212
Module 30.2: Incremental and Marginal CVA, and CVA for a Bilateral Contract......Page 215
Key Concepts......Page 219
Answer Key for Module Quizzes......Page 221
Module 31.1: Wrong-Way Risk......Page 222
Key Concepts......Page 230
Answer Key for Module Quiz......Page 231
Module 32.1: Counterparty Credit Risk......Page 232
Module 32.2: Stress Testing......Page 234
Key Concepts......Page 240
Answer Key for Module Quizzes......Page 242
Module 33.1: Credit Risk......Page 243
Module 33.2: Creditworthiness......Page 246
Key Concepts......Page 251
Answer Key for Module Quizzes......Page 253
Module 34.1: Securitization and Credit Risk Mitigation......Page 254
Module 34.2: Credit Derivatives......Page 258
Module 34.3: Credit Risk Securitization, CLOs, and CDOs......Page 262
Key Concepts......Page 267
Answer Key for Module Quizzes......Page 269
Module 35.1: Securitization Process......Page 270
Module 35.2: Cash Waterfall, SPV Structures, Securitization Benefits, Credit Enhancements, and Performance Analysis Tools......Page 272
Module 35.3: Securitized Structure Ratios......Page 279
Module 35.4: Prepayment Forecasting and Securitization After the Credit Crunch......Page 283
Key Concepts......Page 287
Answer Key for Module Quizzes......Page 289
Module 36.1: Subprime Mortgage Securitization......Page 290
Module 36.2: Subprime Mortgage Market......Page 292
Key Concepts......Page 296
Answer Key for Module Quizzes......Page 297
Topic Assessment: Credit Risk Measurement and Management......Page 298
Topic Assessment Answers: Credit Risk Measurement and Management......Page 301
Formulas......Page 303
Appendix......Page 307