by Yuval Boneh
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Suggested foundations for rates and fixed income and risk measurement and stress. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Represent losses as a distribution rather than one forecast.
Distinguish a loss quantile from the average loss in the tail.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Compare risk estimators and their assumptions.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.