credit risk

  1. S

    Credit Valuation Adjustment vs Expected Loss

    Hello David! I have noticed that formula for both expected loss and CVA is the same. CVA is the present value of future exposure. Isn't expected loss the same thing? I am aware that EL is used for both credit risk and counterparty credit risk. So, why CVA if we can measure CCR with EL? Would be...
    • Sameera
    • Thread
    • basel iii counterparty credit risk credit risk credit valuation adjusment cva expected loss
    • Replies: 6
    • Forum: P2.T6. Credit Risk (25%)
  2. L

    Capital Adequacy Ratio Calculation

    I know this isn't about the FRM exam itself but is there any excel sheets about the calculation for CAR and it's risk weighted assets under Basel III? I have paper to write about it and I can't seem to find a good simple explanation on how to calculate for it, sorry but the words confuse me on...
  3. A

    FRM Part 2 Examination preparation tips

    This thread has been created to provide information and tips about FRM part 2 examination preparation to the present and future candidates .I seek participation and feedback from the registered candidates for Part 2 examination, successful candidates of part 2 examination from the past periods...
    • ag0511
    • Thread
    • credit risk credit risk measurement & management current issues market risk market risk measurement & management operational &integrated risk management part 2 part 2 exam part 2 study tips risk management and investment management
    • Replies: 23
    • Forum: About FRM®
  4. U

    z-score calibration (adjustment)

    Hi @David Harper CFA FRM , One formula I am struggling to understand is the adjustment to the z-score to account for the costs involved with the type I and type II errors ( => opportunity cost vs. LGD) in De Laurentis - Ch3 (Ratings Assignment Methodologies) pp 59 and 60. ln(q(solvent) *...
  5. Rohit

    Calculate the probability of default, cumulative probability of default, marginal probability of def

    Hi @David Harper CFA FRM , This is a new topic added in 2017 - are there any practice questions for the calculations? GARP tends to test more on new topics per my experience. Thanks!
  6. N

    GARP.FRM.PQ.P2 question in derivation process of merton model credit spread

    above is an interim procedure from rearranging following equation: Dt * e^yτ = D Dt = current value of debt at time "t" y = yield to maturity of debt τ = remaining maturity of debt D = debt's face value rearranging this equation leads to the first equation in the above pic, and taking...
  7. Nicole Seaman

    P1.T1.604. Credit risk (Topic review)

    Questions: 604.1. A $1,000 face value corporate bond with ten years to maturity and a 3.0% annual coupon (i.e., assume annual compounding) has a current price of $918.89. If the market's recovery rate (ie, one minus loss given default) consensus estimate is 20.0% and the risk-free yield is flat...
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