Seeking Advice on Key Skills & Courses for Market Risk Career

quantboxing

quantboxing

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1/30/25
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Hi everyone,

I'm currently pursuing a Master's in Quantitative Finance at a university in Sydney and aiming for a career in risk management, particularly in market risk or interest rate risk (non-traded market risk).

I often hear that strong knowledge of probability and statistics is essential, but given the broad scope of these fields, I’m unsure where to focus. For example, would Bayesian statistics be particularly relevant in market risk?

Additionally, I've seen mixed opinions on the role of machine learning in market risk. Some say it’s unnecessary, while others suggest it’s becoming more important. What’s your experience? Do you think machine learning is gaining traction in market risk?

I’m selecting courses for my degree and considering the following as potentially relevant to market risk:
  • Statistics & Data Science: Advanced Inference, Bayesian Computational Statistics, Statistical Machine Learning, Stochastic Processes, Time Series.
  • Mathematics & Applied Mathematics: Measure Theory & Fourier Analysis, Probability & Martingale Theory, Stochastic Analysis, Stochastics & Finance, Optimal Control & Game Theory.
Would you say these courses align well with a market risk role, or are there other areas I should focus on? Any insights from those in the industry would be greatly appreciated!

Thanks in advance for your thoughts.
 
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