Any suggestions for a Junior Risk Quant?

[mame_is_me]

I've an opportunity to work as a Risk Quant Analyst in a team, which is responsible for market and counterparty credit risk modeling and measurement. There are two months before I start working and I want to make a good impression from the start. So I am wondering:

1) Is there any useful books or literature for Risk Quant, both in market risk space and counterparty risk space? Like some introduction to (stressed) VaR, (stressed) EEPE...?

2) Do I need to do the FRM or PRM certification?

I graduated this year from a financial engineering master program and only know some basic risk concepts like VaR and Expected Shortfall... Any other useful suggestions are much appreciated!!

 

[vertigo]

so many juniors think that they will better prepare by reading books... that really is not the way to go. most seniors in risk are clueless, they are complete morons, they know nothing. anyone who wastes years of their life to take a FRM/PRM qualification is accepting that they are a bureaucrat. those qualifications are bullshit, avoid them like the plague.

var may seem like a 'basic' risk concept, but to a risk manager it is much more. it is like a system. one part of that system tells you the var, but other parts tell you other things.

i would recommend carol alexander - market risk and john gregory - counterparty credit risk as the two main technical books to read. they have everything.

i would recommend books that explain the history of finance and risk - these are so much more valuable than the technical books, as they will build your working intuition. the book 'plight of the fortune tellers' by ricardo rebonato is fantastic.

work tips: good excel skills, keep an open mind, do some of the crap simple work at first to get used to working life, don't be too eager and don't be fooled by senior people.

the closer you are to the market, the more you understand about risk. for that reason, risk managers understand nothing about risk - always remember that. a risk manager is the only person who does not know risk yet has a job focused on quantifying risk.

 

[rajanS]

I would also recommend getting the book analysis of financial data using R by tsay. It's a great beginning book to practice on var modeling. Using time series. The chapter on var shows u a plethora of examples you can use using R as a software.

 

[mame_is_me]

so many juniors think that they will better prepare by reading books... that really is not the way to go. most seniors in risk are clueless, they are complete morons, they know nothing. anyone who wastes years of their life to take a FRM/PRM qualification is accepting that they are a bureaucrat. those qualifications are bullshit, avoid them like the plague.

var may seem like a 'basic' risk concept, but to a risk manager it is much more. it is like a system. one part of that system tells you the var, but other parts tell you other things.

i would recommend carol alexander - market risk and john gregory - counterparty credit risk as the two main technical books to read. they have everything.

i would recommend books that explain the history of finance and risk - these are so much more valuable than the technical books, as they will build your working intuition. the book 'plight of the fortune tellers' by ricardo rebonato is fantastic.

work tips: good excel skills, keep an open mind, do some of the crap simple work at first to get used to working life, don't be too eager and don't be fooled by senior people.

the closer you are to the market, the more you understand about risk. for that reason, risk managers understand nothing about risk - always remember that. a risk manager is the only person who does not know risk yet has a job focused on quantifying risk.

Thank you very much Vertigo!

 

[AlexanderMcFarlane]

so many juniors think that they will better prepare by reading books... that really is not the way to go. most seniors in risk are clueless, they are complete morons, they know nothing. anyone who wastes years of their life to take a FRM/PRM qualification is accepting that they are a bureaucrat. those qualifications are bullshit, avoid them like the plague.

var may seem like a 'basic' risk concept, but to a risk manager it is much more. it is like a system. one part of that system tells you the var, but other parts tell you other things.

i would recommend carol alexander - market risk and john gregory - counterparty credit risk as the two main technical books to read. they have everything.

i would recommend books that explain the history of finance and risk - these are so much more valuable than the technical books, as they will build your working intuition. the book 'plight of the fortune tellers' by ricardo rebonato is fantastic.

work tips: good excel skills, keep an open mind, do some of the crap simple work at first to get used to working life, don't be too eager and don't be fooled by senior people.

the closer you are to the market, the more you understand about risk. for that reason, risk managers understand nothing about risk - always remember that. a risk manager is the only person who does not know risk yet has a job focused on quantifying risk.

I did my dissertation on VaR and Carol Alexander's book series was like my bible. I actually left a tongue print somewhere in volume two over the EGARCH equation because I used it as a pillow one night.

Seriously though. Great books and some awesome high-res colourful demonstrations of copulas