I have a masters degree in Econometrics and a undergraduate in Finance I am going soon to start an internship at a bank where I will evaluate risk models and possibly possibly create them aswell and I would like to to know what is the common knowledge to have in this area and what I should know about mathematics and software.

Thank you in advance.

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    $\begingroup$ As for languages, most headhunters ask for MATLAB and C++. However, I'd rather the combo R + Python + C++. In conclusion, practice hard with C++ and any other language will feel comfortable :-p $\endgroup$ – Lisa Ann Dec 18 '17 at 15:22

I would start with reading Jorion's book on VAR. A statistical look at a range of returns seems to be the prevailing methodology of looking at risk these days. Of course the work has advanced significantly since Jorion wrote his first edition. The curriculum for the FRM presented by GARP is also a good start.

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What Model will you be working on Market Risk or Credit Risk? As suggested above FRM1 will have part of Credit Risk.

For Market Risk

Guidelines of FRTB; Basel 3; TimeSeries;

For Credit Risk

BASEL 2 (IRB Models) BASEL 3 IRFS and CCL Logistic Regressions/Regressions

For evaluating credit Risks Logit models such as PD or Scorecard: Monitoring:

AUC, KS/Gini; Population Stability Index(PSI) Logs odd


Validating Data preparation; Validating Methodology; Creation of Challenger Model; Comparision with Champion model; Stress Testing

Software: SAS, R, Python *My POV, every firm has its own reservation on software Usage

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