by Heider, F., Hoerova, M., Holthausen, C.
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Suggested foundations for credit and counterparty risk and market microstructure and execution. Specialist prerequisites vary by paper.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Study dependence between defaults.
Connect exposure and counterparty losses to valuation adjustments.
Connect trading speed and size to execution cost.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.