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