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Improving Access to Banking: Evidence from Kenya
Elena Carletti / Franklin Allen / Jun QJ Qian / Lemma Senbet / Patricio Valenzuela / Robert Cull
bankingResource overview

Improving Access to Banking: Evidence from Kenya

Paper2018

by Elena Carletti, Franklin Allen, Jun QJ Qian, Lemma Senbet, Patricio Valenzuela, Robert Cull

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Suggested foundations for credit and counterparty risk and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

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  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

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