credit-portfolio-framework

  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...
    • Nicole Seaman
    • Thread
    • correlation credit-portfolio credit-portfolio-framework default-correlation portfolio-credit-risk single-factor-model
    • Replies: 0
    • Forum: FRM® Practice Questions
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