Credit Value-at-Risk (VaR) | FRM Part 2 | Credit Risk
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- Опубликовано: 10 май 2024
- In this video from the FRM Part 2 curriculum, we take a look at the measure of Credit Value at Risk (Credit VaR). Credit VaR is the credit risk loss over a certain period that will not be exceeded at the chosen confidence level.
For more videos and preparation resources related to FRM Part 2 preparations, please head over to the course page below:
www.finRGB.com/courses/frm-pa...
Great video as usual ! Thank you so much for clarifying this concept.
Sir an example would be really helpful to grasp the concept better..
The aim was to present the concept in its most general sense (without resorting to any approach or technique to calculate Credit VaR). Will surely add a solved example in a video on CreditMetrics / Vasicek models.