by Marina Palaisti
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Suggested foundations for monte carlo and numerical simulation and credit and counterparty risk. Specialist prerequisites vary by paper.
Understand convergence, sampling error and confidence intervals.
Generate reproducible samples and distinguish randomness from model assumptions.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Turn a discounted payoff into an estimator.
Study dependence and alternatives to independent sampling.
Study dependence between defaults.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.