by Alexander Lipton, Christoph Reisinger, Vadim Kaushansky
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Suggested foundations for credit and counterparty risk and optimisation and numerical methods. Specialist prerequisites vary by paper.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Study dependence between defaults.
Connect exposure and counterparty losses to valuation adjustments.
Understand identifiability and fitted model parameters.