Last Updated: Jul 26, 2026
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| Section | Objectives |
|---|---|
| Topic 1: Credit Derivatives and Securitization | - Securitization structures and process - Credit derivatives instruments |
| Topic 2: Modern Credit Risk Modeling | - PD/LGD modeling frameworks - Credit VaR and loss distribution simulation |
| Topic 3: Counterparty Risk | - Definition and sources of counterparty risk - Mitigation techniques (netting, collateral) |
| Topic 4: SA-CCR and Regulatory Frameworks | - Standardized Approach for Counterparty Credit Risk |
| Topic 5: Classic Credit Risk | - Credit products and lifecycle
|
| Topic 6: CVA and DVA | - Measurement and interpretation - Valuation adjustments |
| Topic 7: Credit Portfolio Management | - Portfolio credit risk measurement - Risk concentration and diversification |
1. Which loss event type is the failure to timely deliver collateral classified as under the Basel II framework?
A) Information security
B) Execution, Delivery & Process Management
C) Clients, products and business practices
D) External fraud
2. A portfolio's 1-day VaR at the 99% confidence level is $250m. What is the annual volatility of the portfolio?
(assuming 250 days in the year)
A) $107.5m
B) $3,952.8m
C) $2,410.3m
D) $1,699.4m
3. Pick underlying risk factors for a position in an equity index option:
I. Spot value for the index
II. Risk free interest rate
III. Volatility of the underlying
IV. Strike price for the option
A) I, II and III
B) II and II
C) All of the above
D) I and IV
4. There are three bonds in a diversified bond portfolio, whose default probabilities are independent of each other and equal to 1%, 2% and 3% respectively over a 1 year time horizon. Calculate the probability that none of the three bonds will default.
A) 0.11%
B) 94%
C) 2%
D) 0.0006%
5. A zero coupon corporate bond maturing in an year has a probability of default of 5% and yields12%. The recovery rate is zero. What is the risk free rate?
A) 6.40%
B) 7.00%
C) 5.00%
D) 5.26%
Solutions:
| Question # 1 Answer: B | Question # 2 Answer: D | Question # 3 Answer: A | Question # 4 Answer: B | Question # 5 Answer: A |
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