- CFA Exams
- 2023 Level II
- Topic 6. Fixed Income
- Learning Module 31. Credit Analysis Models
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Learning Outcome Statements PDF Download
|1. Modeling Credit Risk and the Credit Valuation Adjustment|
explain expected exposure, the loss given default, the probability of default, and the credit valuation adjustment;
|2. Credit Scores and Credit Ratings|
explain credit scores and credit ratings;
calculate the expected return on a bond given transition in its credit rating;
|3. Structural and Reduced Form Credit Models|
explain structural and reduced-form models of corporate credit risk, including assumptions, strengths, and weaknesses;
|4. Valuing Risky Bonds in an Arbitrage-Free Framework|
calculate the value of a bond and its credit spread, given assumptions about the credit risk parameters;
|5. Interpreting Changes in Credit Spreads|
interpret changes in a credit spread;
|6. The Term Structure of Credit Spreads|
explain the determinants of the term structure of credit spreads and interpret a term structure of credit spreads;
|7. Credit Analysis for Securitized Debt|
compare the credit analysis required for securitized debt to the credit analysis of corporate debt.
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