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Bankruptcy Law and Bank Financing
Emanuele Tarantino / Giacomo Rodano / Nicolas Serrano-Velarde
banking / causal identificationResource overview

Bankruptcy Law and Bank Financing

Paper2015

by Emanuele Tarantino, Giacomo Rodano, Nicolas Serrano-Velarde

Tags
bankingcausal identificationcorporate finance

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Suggested foundations for credit and counterparty risk. 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.

Go further

  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.

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Explore Counterparty Credit Risk and CVA

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