by David Vines
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Suggested foundations for risk measurement and stress and credit and counterparty risk. 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.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Compare risk estimators and their assumptions.
Check forecasts against realised losses.
Study dependence between defaults.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.