by François-Seck Fall, Ousmane Birba
Continue on SelfMadeQuant
Suggested foundations for probability and statistical reasoning and credit and counterparty risk. Specialist prerequisites vary by paper.
Read the distributions and expectations used in probabilistic arguments.
Read conditional default and exposure quantities.
Separate default probability, loss severity and exposure.
Assess uncertainty rather than treating an estimate as a fact.
Study dependence between defaults.
Connect exposure and counterparty losses to valuation adjustments.
Move from conditioning and expected values to timed problems with a defensible solution.