FRM二级考试公式，备考中必备！

在FRM二级考试中，FRM公式是备考中必备的，下文是小编列举的，希望对你有所帮助！

Spread Conventions：

Yield spread: YTM risky bond–YTM benchmark government bond

i-spread:YTM risky bond–linearly interpolated YTM on benchmark government bond z-spread: basis points added to each spot rate on a benchmark curve

CDS spread: market premium of CDS of issuer bond

Hazard Rates ：

The hazard rate (default intensity) is represented by the (constant) parameterλand the probability of default over the next, small time interval, dt, isλdt.

Collateralized Debt Obligation (CDO)：

• General term for an asset-backed security that issues securities that pay principal and interest from a collateral pool of debt instruments.

• In order to create a CDO, the issuer packages a series of debt instruments and splits the package into several classes of securities called tranches.

• The largest part of a CDO is typically the senior tranche, which usually carries an AA or AAA credit rating, regardless of the quality of the underlying assets in the pool.

Synthetic CDO: originator retains reference assets on balance sheet but transfers credit risk to an SPV, which then creates the tradable synthetic CDO. This product bets on the default of a pool of assets, not on the assets themselves.

FRM考试的内容就分享这么多，考生如果对FRM考试还有更多的疑问，可以文章评论一起学习探讨！另外，有2022年全年备考日历，想要的私信或者评论哦！