by Emmanuel Gobet, Florian Bourgey, Ying Jiao
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Suggested foundations for credit and counterparty risk and asset pricing and factor research. Specialist prerequisites vary by paper.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Study dependence between defaults.
Connect exposure and counterparty losses to valuation adjustments.
Connect factor definitions to portfolio construction.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.