在FRM二級考試中，FRM公式是備考中必備的，下文是小編列舉的，希望對你有所幫助！

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.【資料下載】[融躍財經]FRM一級ya題-pdf版

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.

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