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Paper / 2019SMQ / 120771532092502
The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks
Mathias S. Kruttli / Phillip J. Monin / Sumudu W. Watugala
causal identification / credit riskResource overview

The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks

Paper2019

by Mathias S. Kruttli, Phillip J. Monin, Sumudu W. Watugala

Tags
causal identificationcredit riskfinancial networkshedge fundsliquidity risk

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Suggested foundations for credit and counterparty risk and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Counterparty Credit Risk and CVA Explore Quantitative Risk Management

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