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CFA Level 2
Topic: Fixed Income
Reading: Credit Analysis Models
When valuing a risky bond (e.g. corporate bond), we will have to calculate:
- the value of the bond assuming no default (VND)
- the credit valuation adjustment (CVA).
Throughout the whole video, calculations involve:
- Expected exposure
- Recovery amount
- Loss given default (LGD)
- Probability of default (POD)
- Expected loss (EL)
- PV of expected loss (PVoEL)
Visit www.noesis.edu.sg/programme/cfa for more information on CFA Program prep courses offered by Noesis Exed (Noesis Academy)