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Bilateral international investments: The big sur?
Fernando Broner / Goetz von Peter / Sergio L. Schmukler / Tatiana Didier
bankingResource overview

Bilateral international investments: The big sur?

Paper2023

by Fernando Broner, Goetz von Peter, Sergio L. Schmukler, Tatiana Didier

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banking

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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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