FRM二级公式，有必要记忆吗？

FRM二级公式，有必要记忆吗？这是在备考中考生咨询zui多的问题。在这里小编提醒广大考生，FRM公式是很重要的，备考中一定要记住并且会熟练应用！下文是小编列举的相关公式，一起了解一下！

Credit Risk Portfolio Models：>>>点击领取2021年FRM备考资料大礼包（戳我免·费领取）

These models attempt to estimate a portfolio’s credit value at risk. Credit VaR differs from market VaR in that it measures losses that are due specifically to default risk and credit deterioration risk.

CreditRisk+: determines default probability

correlations and default probabilities by using a set of common risk factors for each obligor. CreditMetrics: uses historical data to estimate the probability of a bond being upgraded or downgraded using historical transition matrices.

KMV Portfolio Manager: default probability is a function of firm asset growth and the level of debt. The higher the growth and lower the debt level, the lower the default probability. CreditPortfolioView: multifactor model for simulating joint conditional distributions of credit migration and default probabilities that incorporates macroeconomic factors.

Expected Loss (EL)：

Expected value of a credit loss: EL = EA × PD × LR

Exposure amount (EA): amount of money the lender can lose in the event of a borrower’s default.

Probability of default (PD): likelihood that a borrower will default within a specified time horizon.

Loss rate (LR) or loss given default (LGD): amount of creditor loss in the event of a default. In percent terms, it is equal to 1 minus the recovery rate (i.e., 1 – RR).

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