發(fā)布時間:2021-06-23 09:28編輯:融躍教育FRM
FRM考試有大量的計算題,因此也是用到相關(guān)的公式的。FRM公式在備考中是很重要的,需要考生重點掌握的,還是需要記憶的,因為在考試中是不提供任何相關(guān)公式的。
Securitization:》》》2021年新版FRM一二級內(nèi)部資料免費領(lǐng)?。 揪A版】
Transforms the illiquid assets of a financial institution into a package of asset-backed securities (ABSs) or mortgage-backed securities (MBSs). A third party uses credit enhancements, liquidity enhancements, and structuring to issue securities backed by the pooled cash flows (of the same underlying assets).
? Credit enhancements include overcollateralization, subordinating note classes, margin step-up, and excess spread.
? The first-loss piece (equity piece) absorbs initial losses and is often held by the originator.
Credit Exposure Metrics:
Expected MtM: forward or expected value of a transaction at a given point in the future.
Expected exposure (EE): amount that is expected to be lost (positive MtM only) if the counterparty defaults.【資料下載】點擊下載融躍教育FRM考試公式表
Potential future exposure (PFE): worst exposure that could occur at a given time in the future at a
given confidence level.
Expected positive exposure (EPE): average EE through time.
Effective EE: equal to non-decreasing EE.
Effective EPE: average of effective EE.
Maximum PFE: highest PFE value over a stated time frame.
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