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Paper / 2022SMQ / 255985300978929
An investor-led framework of pilot indicators to assess banks on the transition to net zero
Bienkowska, Beata / Dietz, Simon / Hastreiter, Nikolaus / Jamaleddine, Issam / Sokol-Sachs, Tess
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An investor-led framework of pilot indicators to assess banks on the transition to net zero

Paper2022

by Bienkowska, Beata, Dietz, Simon, Hastreiter, Nikolaus, Jamaleddine, Issam, Sokol-Sachs, Tess

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banking

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Suggested foundations for credit and counterparty risk and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

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