Category: Credit Risk

In this video from the FRM Part 2 curriculum, we explain the mechanics of Synthetic CDOs using an example case study.

In this video from FRM Part 2 curriculum, we introduce this concept of Wrong Way Risk (WWR). A WWR situation is one in which there is a positive dependence between exposure and probability of default or equivalently, a negative dependence between exposure and credit quality.

In this video from the FRM Part 2 curriculum, we explore the differences between two broad categories of credit risk models: Structural Models and Reduced Form Models.

In this video from FRM Part 2 curriculum, we try and understand various metrics used to quantify credit exposure, specifically PFE, EE, EPE, ENE, EEE and EEPE.

In this video from FRM Part II curriculum, we take a look at various valuation adjustments that come under this umbrella of adjustments called “xVA”.

In this video from FRM Part II curriculum, we take a look at a solved example covering the LOS: “Calculate CVA and the CVA spread with no wrong-way risk, netting, or collateralization.”

In this short video from FRM Part 2, we explore this concept of netting factor – a number used to gauge the extent of netting related benefits that have been realised.

In this short video from FRM Part 2 (Credit Risk section), we explore the various interpretations of the hazard rate / default intensity – a construct that we encounter while studying reduced form models of credit risk.

In this short video from FRM Part II curriculum, we take a comparative look at two modes credit risk models fall in – the default mode and the migration mode.