Credit Risk Models: Default Mode vs Migration Mode
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.
Category: Credit Risk
Credit Value Adjustment (CVA) for a Zero Coupon Bond (ZCB)
In this short video, we explore various routes to arrive at the relation for computing the Credit Value Adjustment (CVA) for a Zero Coupon Bond (ZCB).
Default Probabilities from Observed Rates and Spreads
In this short video, we play around with observed yields (for risk-free and risky securities), and imply from them default probabilities for the risky security.
Potential Future Exposure and Expected Exposure: A Derivation
In this swatch, for candidates who are interested in venturing into the math behind the formulas, we present a derivation of the Potential Future Exposure (PFE) and Expected Exposure (EE) formulas.