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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.

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.

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.

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!

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"

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.