University of Waterloo - FINANCE 11FRM 2020 SchweserNotes Part II Book 2

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Book 2: Credit Risk Measurement and Management SchweserNotes™ 2020 FRM Part II 2021新版CFAFRM 一二三级视频课程 需要加微信 cfafrm007©2020 Kaplan, Inc. All rights reserved. Publi... shed in 2019 by Kaplan, Inc. Printed in the United States of America. FRM 2020 PART II BOOK 2: CREDIT RISK MEASUREMENT AND MANAGEMENT ISBN: 978-1-07-880184-3 Required Disclaimer: GARP® does not endorse, promote, review, or warrant the accuracy of the products or services offered by Kaplan Schweser of FRM® related information, nor does it endorse any pass rates claimed by the provider. Further, GARP® is not responsible for any fees or costs paid by the user to Kaplan Schweser, nor is GARP® responsible for any fees or costs of any person or entity providing any services to Kaplan Schweser. FRM®, GARP®, and Global Association of Risk ProfessionalsTM are trademarks owned by the Global Association of Risk Professionals, Inc. These materials may not be copied without written permission from the author. The unauthorized duplication of these notes is a violation of global copyright laws. Your assistance in pursuing potential violators of this law is greatly appreciated. Disclaimer: The SchweserNotes should be used in conjunction with the original readings as set forth by GARP®. The information contained in these books is based on the original readings and is believed to be accurate. However, their accuracy cannot be guaranteed nor is any warranty conveyed as to your ultimate exam success.©2020 Kaplan, Inc. Page iii CONTENTS Learning Objectives and Reading Assignments ............................................................vii READING 17 The Credit Decision.....................................................................................1 Exam Focus .............................................................................................................................1 Module 17.1: Credit Risk Evaluation.................................................................................. 1 Module 17.2: Credit Analysis, Quantitative Measures, and Failure        vs. Insolvency................................................................................................ 7 Key Concepts ........................................................................................................................13 Answer Key for Module Quizzes ......................................................................................15 READING 18 The Credit Analyst.....................................................................................17 Exam Focus ...........................................................................................................................17 Warm-Up: Credit Analyst Roles ........................................................................................17 Module 18.1: Banking Credit Analysts ............................................................................23 Key Concepts ........................................................................................................................29 Answer Key for Module Quizzes ......................................................................................30 READING 19 Capital Structure in Banks .......................................................................31 Exam Focus ...........................................................................................................................31 Module 19.1: Expected and Unexpected Loss.............................................................31 Module 19.2: Economic Capital for Credit Risk ............................................................38 Key Concepts ........................................................................................................................40 Answer Key for Module Quizzes ......................................................................................42 READING 20 Rating Assignment Methodologies.........................................................43 Exam Focus ...........................................................................................................................43 Module 20.1: Rating Systems............................................................................................43 Module 20.2: Structural and Reduced Form Approaches.........................................49 Module 20.3: Logistic Regression Models, Cluster Analysis, and Principal        Component Analysis..................................................................................54 Module 20.4: Cash Flow Simulation Model, Heuristic and Numerical        Approaches, and Applying Qualitative Information ..........................59 Key Concepts ........................................................................................................................65 Answer Key for Module Quizzes ......................................................................................68 READING 21 Credit Risks and Credit Derivatives ........................................................69 Exam Focus ...........................................................................................................................69 Module 21.1: The Merton Model .....................................................................................69 Module 21.2: Credit Spreads, Time to Maturity, Interest Rates, and         Subordinate Debt ......................................................................................74 2021新版CFAFRM 一二三级视频课程 需要加微信 cfafrm007Page iv ©2020 Kaplan, Inc. Contents Module 21.3: Credit Risk Portfolio Models ....................................................................82 Module 21.4: Credit Derivatives.......................................................................................86 Key Concepts ........................................................................................................................91 Answer Key for Module Quizzes ......................................................................................93 READING 22 Spread Risk and Default Intensity Models.............................................95 Exam Focus ...........................................................................................................................95 Module 22.1: Spread Risk ..................................................................................................95 Module 22.2: Hazard Rates ...............................................................................................99 Module 22.3: CDS Estimates of Hazard Rates........................................................... 102 Key Concepts ..................................................................................................................... 107 Answer Key for Module Quizzes ................................................................................... 109 READING 23 Portfolio Credit Risk................................................................................111 Exam Focus ........................................................................................................................ 111 Module 23.1: Credit Portfolios and Credit VaR.......................................................... 111 Module 23.2: Conditional Default Probabilities and Credit VaR With        Copulas...................................................................................................... 116 Key Concepts ..................................................................................................................... 123 Answer Key for Module Quizzes ................................................................................... 124 READING 24 Structured Credit Risk ............................................................................125 Exam Focus ........................................................................................................................ 125 Module 24.1: Structured Products............................................................................... 125 Module 24.2: Securitization............................................................................................ 131 Module 24.3: Simulation, Probability of Default, and Default Correlation,        Default Sensitivities, and Structured Products ................................ 135 Key Concepts ..................................................................................................................... 142 Answer Key for Module Quizzes ................................................................................... 145 READING 25 Counterparty Risk ...................................................................................147 Exam Focus ........................................................................................................................ 147 Module 25.1: Counterparty Risk.................................................................................... 147 Module 25.2: Managing, Mitigating, and Quantifying Counterparty Risk............ 152 Key Concepts ..................................................................................................................... 156 Answer Key for Module Quizzes ................................................................................... 158 READING 26 Netting, Close-out, and Related Aspects..............................................159 Exam Focus ........................................................................................................................ 159 Module 26.1: Mitigating Counterparty Risk and Credit Exposure ........................ 159 Key Concepts ..................................................................................................................... 166 Answer Key for Module Quiz.......................................................................................... 167 2021新版CFAFRM 一二三级视频 [Show More]

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