在FRM二级考试中,FRM公式是备考中必备的,下文是小编列举的,希望对你有所帮助!
Spread Conventions:
Yield spread: YTM risky bond–YTM benchmark government bond》》》2021年新版FRM一二级内部资料免费领取!【精华版】
i-spread:YTM risky bond–linearly interpolated YTM on benchmark government bond z-spread: basis points added to each spot rate on a benchmark curve
CDS spread: market premium of CDS of issuer bond
Hazard Rates :
The hazard rate (default intensity) is represented by the (constant) parameterλand the probability of default over the next, small time interval, dt, isλdt.
Collateralized Debt Obligation (CDO):》》》想参加融跃FRM培训班点我咨询
• General term for an asset-backed security that issues securities that pay principal and interest from a collateral pool of debt instruments.
• In order to create a CDO, the issuer packages a series of debt instruments and splits the package into several classes of securities called tranches.
• The largest part of a CDO is typically the senior tranche, which usually carries an AA or AAA credit rating, regardless of the quality of the underlying assets in the pool.【资料下载】[融跃财经]FRM一级ya题-pdf版
Synthetic CDO: originator retains reference assets on balance sheet but transfers credit risk to an SPV, which then creates the tradable synthetic CDO. This product bets on the default of a pool of assets, not on the assets themselves.
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