credit-portfolio

  1. Nicole Seaman

    P2.T6.24.11. Correlation-based credit, credit portfolio framework, and Credit VaR

    Learning Objectives: Define and calculate default correlation for credit portfolios. Identify drawbacks in using the correlation-based credit portfolio framework. Assess the impact of correlation on a credit portfolio and its Credit VaR. Describe the use of a single-factor model to measure...
  2. Nicole Seaman

    P2.T6.711. Credit portfolios and structured credit risk

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
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