FRM Part II Book 2: Credit risk Measurement and management (2013 SchweserNotes)
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Description
Kaplan, Inc., 2013. — 244 p. — ISBN 978-1-4277-4468-5The sixth in the eight books set designed to prepare for the GARP FRM Exam (2013)Contents Credit and counterparty risk Default Risk: Quantitative Methodologies Credit risk and credit derivatives Credit derivatives and credit-linked notes The structuring process Cash collateralized debt obligations Spread risk and default intensity models Portfolio credit risk Structured credit risk Securitization Understanding of securitization of subprime mortgage credit Defining counterparty credit risk Mitigating counterparty credit risk Quantifying counterparty credit exposure Pricing counterparty credit risk
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