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FRM EXAM TRAINING

(2008) Module 3: Credit Risk Measurement & Management (25%)


Bankruptcy and default; probability of default; loss given default and recovery rates


Credit scores; external and internal credit ratings


Credit spreads; expected and unexpected loss


Default and default-time correlations


Portfolio credit risk; contingent claim approach and the KMV Model; and credit risk management models


Counterparty risk; risk mitigation techniques (including netting, rating triggers and collateral)


Credit default swaps; collateralized default obligations (pricing and risk management)


Special purpose vehicles and securitzation

Module 4: Operational & Integrated Risk Management & Legal