by Deniz Sezer, Juan Dong, Lyudmila Korobenko
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Suggested foundations for credit and counterparty risk and rates and fixed income. Specialist prerequisites vary by paper.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Study dependence between defaults.
Connect exposure and counterparty losses to valuation adjustments.
Build a consistent discount curve.