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Financial Engineering Course: Interest Rates and xVA
Video
by Lech Grzelak
Tags
cvafvaquantitative financeratesvalue at riskyield curvesyoutube playlist
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Build the foundations
Suggested foundations for risk measurement and stress and credit and counterparty risk. Specialist prerequisites vary by resource.
Before you read
- Random Variables and Distributions
Represent losses as a distribution rather than one forecast.
- Expected Shortfall and Other Tail Risk Measures
Distinguish a loss quantile from the average loss in the tail.
- Credit Instruments, PD/LGD/EAD, and Rating Migration
Separate default probability, loss severity and exposure.
- Conditional Expectation
Read conditional default and exposure quantities.
Go further
- VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo
Compare risk estimators and their assumptions.
- Backtesting VaR and ES: Coverage Tests and Model Validation
Check forecasts against realised losses.
- Threshold Models and the Gaussian Copula for Portfolio Default
Study dependence between defaults.
Explore a related reading path
- Portfolio construction and risk
Connect diversification, common risk factors, investor views, and the properties of a risk measure.