smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2022SMQ / 48831471350034
Bond funds and credit risk
Choi, Jaewon / Dasgupta, Amil / Oh, Ji
credit markets / credit riskResource overview

Bond funds and credit risk

Paper2022

by Choi, Jaewon, Dasgupta, Amil, Oh, Ji

Tags
credit marketscredit riskmutual funds

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

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.

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.

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

    Compare risk estimators and their assumptions.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Counterparty Credit Risk and CVA Explore Quantitative Risk Management

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Choi, Jaewon, Dasgupta, Amil, Oh, Ji

5