by Bec, Frédérique, Gollier, Christian
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Suggested foundations for risk measurement and stress and rates and fixed income. Specialist prerequisites vary by paper.
Represent losses as a distribution rather than one forecast.
Distinguish a loss quantile from the average loss in the tail.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Compare risk estimators and their assumptions.
Check forecasts against realised losses.
Build a consistent discount curve.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.