Serving the Quantitative Finance Community
Credit Risk Modeler
What math, statistics and econometrics topics are very important for credit risk modeling and model validation?What analytical level is demanded for Basel II compliance work?Thank you.
Credit Risk Modeler
Basel II - I guess the crucial thing is to know the regulations well. The thing which usually turns out to be important is operational risk quantification.For credit risk modeling, discrimination analysis and logit/probit models are probably a good starting point.
Credit Risk Modeler
I more or less know that I will be working on credit risk. The position is quantitative modeler so the details of the regulation would be less important at this point, I guess. I will be interviewed by two guys, one has math phd, other with physics phd+quant finance master. I guess it is gonna be technical.Should I expect any sde, pde discussion? I am coming from corporate finance background, and have limited exposure to mathematical finance. Few courses from math department and a project on base correlation for CDOs. that is it.
Credit Risk Modeler
Have a look here http://www.defaultrisk.com and check out some of the most popular papers - if You don't know this website already. I don't really have time to write anything more right now, but I'll try to get back here later. Good luck!
Credit Risk Modeler
QuoteOriginally posted by: Tadragh1Have a look here http://www.defaultrisk.com and check out some of the most popular papers - if You don't know this website already. I don't really have time to write anything more right now, but I'll try to get back here later. Good luck!google the handbook by CFSB"credit portfolio modelling handbook"
Credit Risk Modeler
The position is for a regional retail bank. I guess they are mostly dealing with Basel II accord and regulatory calculation. And I guess they trade CDS for hedging. I guess they are planning to implement advanced IRB for calculation of regulatory capital, they will develop their models for PD, LGD, EAD for RWA calculation.Maybe I should give this information earlier.