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Paper / 2011SMQ / 168886139143380

The relationship between trade credit, bank credit and financial structure: from firm-level non-linearities to financial development heterogeneity. A study on MENA firm-level data

Jéröme Héricourt / Jézabel Couppey-Soubeyran

banking / corporate financeResource overview

The relationship between trade credit, bank credit and financial structure: from firm-level non-linearities to financial development heterogeneity. A study on MENA firm-level data

Paper2011

by Jéröme Héricourt, Jézabel Couppey-Soubeyran

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

Before you read

Credit Instruments, PD/LGD/EAD, and Rating Migration
Separate default probability, loss severity and exposure.
Conditional Expectation
Read conditional default and exposure quantities.
Random Variables and Distributions
Represent losses as a distribution rather than one forecast.
Expected Shortfall and Other Tail Risk Measures
Distinguish a loss quantile from the average loss in the tail.

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Threshold Models and the Gaussian Copula for Portfolio Default
Study dependence between defaults.
CVA and DVA
Connect exposure and counterparty losses to valuation adjustments.
VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo
Compare risk estimators and their assumptions.

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Portfolio construction and risk
Connect diversification, common risk factors, investor views, and the properties of a risk measure.

The relationship between trade credit, bank credit and financial structure: from firm-level non-linearities to financial development heterogeneity. A study on MENA firm-level data

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