by Joachim Voth, Peter Temin
Continue on SelfMadeQuant
Suggested foundations for credit and counterparty risk and risk measurement and stress. Specialist prerequisites vary by paper.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Represent losses as a distribution rather than one forecast.
Distinguish a loss quantile from the average loss in the tail.
Study dependence between defaults.
Connect exposure and counterparty losses to valuation adjustments.
Compare risk estimators and their assumptions.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.