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g explain the determinants of the term structure of credit spreads; Flashcards Preview
L2 45 Credit Analysis Models
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L2 45 Credit Analysis Models
Class (9):
A Explain Probability Of Default, Loss Given Default, Expected Loss, And Present Value Of The Expected Loss, And Describe The Relative Importance Of Each Across The Credit Spectrum;
B Explain Credit Scoring And Credit Ratings, Including Why They Are Called Ordinal Rankings;
C Explain Strengths And Weaknesses Of Credit Ratings;
D Explain Structural Models Of Corporate Credit Risk, Including Why Equity Can Be Viewed As A Call Option On The Company’s Assets;
E Explain Reduced Form Models Of Corporate Credit Risk, Including Why Debt Can Be Valued As The Expected Discounted Cash Flows After Adjusting For Risk;
F Explain Assumptions, Strengths, And Weaknesses Of Both Structural And Reduced Form Models Of Corporate Credit Risk;
G Explain The Determinants Of The Term Structure Of Credit Spreads;
H Calculate And Interpret The Present Value Of The Expected Loss On A Bond Over A Given Time Horizon;
I Compare The Credit Analysis Required For Asset Backed Securities With Analysis Of Corporate Debt.