by Adrien Matray, Anne-Laure Delatte, Noémie Pinardon-Touati
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Suggested foundations for asset pricing and factor research and credit and counterparty risk. Specialist prerequisites vary by paper.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Connect factor definitions to portfolio construction.
Distinguish exposure estimation from tests of expected returns.
Study dependence between defaults.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.