Kaplan, Inc., 2013. — 244 p. — ISBN 978-1-4277-4468-5The sixth in the eight books set designed to prepare for the GARP FRM Exam (2013)ContentsCredit and counterparty riskDefault Risk: Quantitative MethodologiesCredit risk and credit derivativesCredit derivatives and credit-linked notesThe structuring processCash collateralized debt obligationsSpread risk and default intensity modelsPortfolio credit riskStructured credit riskSecuritizationUnderstanding of securitization of subprime mortgage creditDefining counterparty credit riskMitigating counterparty credit riskQuantifying counterparty credit exposurePricing counterparty credit risk

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