by Carlo Menon, Eva Lefevere, Marieke Huysentruyt
Continue on SelfMadeQuant
Suggested foundations for credit and counterparty risk and probability and statistical reasoning. Specialist prerequisites vary by paper.
Separate default probability, loss severity and exposure.
Interpret expectations after information is observed.
Read the distributions and expectations used in probabilistic arguments.
Study dependence between defaults.
Connect exposure and counterparty losses to valuation adjustments.
Assess uncertainty rather than treating an estimate as a fact.
Move from conditioning and expected values to timed problems with a defensible solution.