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Credit Value-at-Risk (VaR) | FRM Part 2 | Credit Risk 

finRGB
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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...

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10 май 2024

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Комментарии : 3   
@haythemtilouch1191
@haythemtilouch1191 2 месяца назад
Great video as usual ! Thank you so much for clarifying this concept.
@sujoyghosh2420
@sujoyghosh2420 2 месяца назад
Sir an example would be really helpful to grasp the concept better..
@finRGB
@finRGB 2 месяца назад
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.
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