FRM二级知识点总结

这是一篇关于FRM二级知识点总结的思维导图，主要讲述的是collateral和counterparty risk等内容。

Credit risk measurement and management

• CounterParty Risk
  • transactions
    • securities financing
    • interest rate swap
    • foreign exchage forward
    • CDS
    • charactor : bilateral(双向的)
  • method to manage
    • high quality
    • cross-pruduct netting
    • collateral
    • additional termination events
    • hedging
    • CCP(中央清算)
    • credit limit
  • method to quantify
    • credit value adjustment(CVA)
      • CVA关注交易和对手，适用少量的交易
      • credit limit 设置多个limit，防止集中性风险，适用多个交易
    • debt value adjustment(DVA)
      • 我给对手造成的损失
    • funding value adjustment(FVA)
    • collateral value adjustment(ColVA)
    • capital/margin value adjustment(MVA)
  • ISDA 主协议
  • netting&close out
    • 双边或者多边清算
    • advanttage
      • offset exposure
      • reduce system risk
    • disadvatage
    • trade compression(交易压缩)
      • break clause(终止条款)
      • reset agreement(重置合约，在最初就要设置触发时间和条件)
      • walkaway clauses(若对手违约，有权直接取消交易)
• collateral
  • 管理担保品的动机
    • 降低信用敞口
    • 进入被限制的无抵押交易
    • 降低资本金要求
    • 获得更好的交易价格
  • credit support annex(CSA,附加协议)
    • one-way CSA
      • 单方给担保物
    • two-way CSA
  • feature of collateralization aggrement
    • threshold(阈值)
    • initial margin
    • minimaum transfer amount (MTA)
    • rounding(取整)
    • haircut(折扣)
    • credit support amount
      • max(MTM-给对手社的阈值)-max(MTM-对手设置的阈值)-已从对手方拿到的担保品
  • valuation agent & types of collateral used & reconciliation of collateral disputes(抵押品争议的协商)
  • other collateral
    • rehypothecation(再抵押)
      • re-pledged(再抵押)
    • segregation(隔离):降低交易对手风险
  • other risk in collateralization agreement
    • market risk:时差导致的价值波动
    • operational risk
    • liquidity risk
    • fund liquidity risk : frequent collateral calls
• credit exposure and funding
  • credit exposure metrics
  • credit expore vs VaR
  • credit exposure of derivatives
  • netting factors
• counterparty risk intermediation
  • special purpose vehicles(SPV)破产隔离制
  • derivative product companies(DPC)
  • monoline insurance companies
  • central counterparty(CCP)降低了系统性风险
    • risk management of CCP
    • bilateral markets vs CCP
    • loss waterfall structure 处理损失流程
      • 1、margin
      • 2、default fund
      • 3、auction
      • 4、CCP equity
      • 5、other survivring member default fund
      • 6、CCP要求surviving 再交additional support,上限不能超过之前的default fund
    • advantages
      • transparency
      • multilateral netting
      • loss mutualization损失共担
      • legal and operational efficiency
      • liquidity
      • default management
    • disadvantages
      • moral hazard道德风险
      • adverse selection逆向选择:知道风险但不报，通过CCP分担自己的风险
      • bifurcation 分歧
      • procylicality顺周期性
  • impact of CCP
    • credit value adjustment(CVA)下降
    • FVA上升\KVA下降\MVA上升