Hello. Quick background on myself: PhD in physics, Level III June candidate for CFA, 2 years experience as financial analyst. Current job is not providing much opportunity for quantitative modeling (what I wanted to do, given physics background) and so I am looking for other opportunities.
Potential employer asked me to comment on the following:
-Credit risk models (PD, EAD, and LGD), SAS and R modeling, Basel capital requirements, and banking retail business.
-Construction of spline-transformed variables and about the impact on multicollinearity.
-Retail capital model building and model validation (audit)
-Retail products/ market risk/operational risk models.
-Capital models / Basel/regulatory capital rules.
Obviously, I plan to do a thorough search online and pull papers, etc., but if anyone can provide some insights - especially into the basics of Basel requirements or the what I should know about retail capital models. I’ve got some exposure to this but want to be as prepared as possible.
Help is MUCH appreciated. Thanks to all in advance.