FRM考試有大量的計算題，因此也是用到相關的公式的。FRM公式在備考中是很重要的，需要考生重點掌握的，還是需要記憶的，因為在考試中是不提供任何相關公式的。

Securitization：

Transforms the illiquid assets of a financial institution into a package of asset-backed securities (ABSs) or mortgage-backed securities (MBSs). A third party uses credit enhancements, liquidity enhancements, and structuring to issue securities backed by the pooled cash flows (of the same underlying assets).

? Credit enhancements include overcollateralization, subordinating note classes, margin step-up, and excess spread.

? The first-loss piece (equity piece) absorbs initial losses and is often held by the originator.

Credit Exposure Metrics：

Expected MtM: forward or expected value of a transaction at a given point in the future.

Expected exposure (EE): amount that is expected to be lost (positive MtM only) if the counterparty defaults.【資料下載】點擊下載融躍教育FRM考試公式表

Potential future exposure (PFE): worst exposure that could occur at a given time in the future at a

given confidence level.

Expected positive exposure (EPE): average EE through time.

Effective EE: equal to non-decreasing EE.

Effective EPE: average of effective EE.

Maximum PFE: highest PFE value over a stated time frame.

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