Credit Risk Measurement and Management - FRM Part 2

Learn essential concepts of credit risk management in this comprehensive FRM exam preparation video covering Chapter 12 of Book 2. Master key topics including credit risk assessment for derivatives, understanding credit and debt valuation adjustments (CVA/DVA), calculating default probabilities using credit spreads, and evaluating various credit risk mitigants. Explore the importance of default correlation in credit portfolios, differentiate between reduced form and structural default correlation models, and gain proficiency in the Gaussian copula model for time to default calculations. Develop practical skills in estimating credit VaR through both Gaussian copula and CreditMetrics approaches, preparing thoroughly for the FRM Part 2 examination.