FRM公式在考试中重要吗？需要记忆吗？

发布时间：2021-06-23 09:28编辑：融跃教育FRM

FRM考试有大量的计算题，因此也是用到相关的公式的。FRM公式在备考中是很重要的，需要考生重点掌握的，还是需要记忆的，因为在考试中是不提供任何相关公式的。

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Transforms the illiquid assets of a financial institution into a package of asset-backed securities (ABSs) or mortgage-backed securities (MBSs). A third party uses credit enhancements, liquidity enhancements, and structuring to issue securities backed by the pooled cash flows (of the same underlying assets).

• Credit enhancements include overcollateralization, subordinating note classes, margin step-up, and excess spread.

• The first-loss piece (equity piece) absorbs initial losses and is often held by the originator.

Credit Exposure Metrics：

Expected MtM: forward or expected value of a transaction at a given point in the future.

Expected exposure (EE): amount that is expected to be lost (positive MtM only) if the counterparty defaults.【资料下载】点击下载融跃教育FRM考试公式表

Potential future exposure (PFE): worst exposure that could occur at a given time in the future at a

given confidence level.

Expected positive exposure (EPE): average EE through time.

Effective EE: equal to non-decreasing EE.

Effective EPE: average of effective EE.

Maximum PFE: highest PFE value over a stated time frame.

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