by Consiglio, Andrea, Lotfi, Somayyeh, Zenios, Stavros A.
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Suggested foundations for portfolio construction and credit and counterparty risk. Specialist prerequisites vary by paper.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Construct allocations and examine sensitivity to estimated inputs.
Turn mathematical weights into feasible portfolio decisions.
Study dependence between defaults.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.