recovery-rate

  1. David Harper CFA FRM

    P1.T3.23.2. Corporate bond features

    Learning objectives: Describe different characteristics of bonds such as issuer, maturity, interest rate, and collateral. Describe the mechanisms by which corporate bonds can be retired before maturity. Define recovery rate and default rate, and differentiate between an issue default rate and a...
    • David Harper CFA FRM
    • Thread
    • bond-investment collateral corporate-bonds default-rate dollar-default-rate expected-return interest-rate issue-default-rate issuer maturity recovery-rate
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P2.T6.915. The incorporation of netting into the credit value adjustment (CVA) calculation (Gregory Ch.14)

    Learning objectives: Evaluate the impact of changes in the credit spread and recovery rate assumptions on CVA. Explain how netting can be incorporated into the CVA calculation. Questions: 915.1. Strongcore Financial Corporation has purchased a long-term at-the-money (ATM) call option from a...
  3. L

    CALCULATE LOSS RATE

    Hi, How could you calculate LR(Loss Rate) from Unexpected Loss formula? UL= EA X ((PD X stand^2 LR) + (LR^2 x stand^2 PD))^1/2 Many thanks, Javier
  4. Nicole Seaman

    P2.T6.901. Credit exposure and valuation adjustments (Gregory, Ch.4)

    Learning objectives: Describe credit exposure, credit migration, recovery, mark-to-market, replacement cost, default probability, loss given default, and the recovery rate. Describe credit value adjustment (CVA) and compare the use of CVA and credit limits in evaluating and mitigating...
    • Nicole Seaman
    • Thread
    • counterparty-risk credit-exposure credit-migration credit-value-adjustment default-probability gregory loss-given-default market-to-market recovery recovery-rate replacement-cost
    • Replies: 0
    • Forum: FRM® Practice Questions
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