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Vertical Integration and Regulation in the Securities Settlement Industry
Cherbonnier, Frédéric / Rochet, Jean-Charles
bankingResource overview

Vertical Integration and Regulation in the Securities Settlement Industry

Paper2010

by Cherbonnier, Frédéric, Rochet, Jean-Charles

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banking

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Suggested foundations for credit and counterparty risk. 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.

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.

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