Hi All.

To give a bit of background - I have a bachelor's degree in engineering and I recently completed a master's degree in computational fluid dynamics where I wrote a thesis on designing and optimizing new numerical non-linear PDE discretizations (energy/entropy-stable methods). During my master's I coded mostly in MATLAB, FORTRAN, bash, and some C++.

After I graduated I obtained a position in enterprise risk for a large bank in Toronto, Canada doing model implementation for regulatory stress-testing credit risk models i.e. estimating PD, LGD, EAD (been here for about 10 months). This doesn't intersect with the front-office at all and is primarily about the bank's loan/credit portfolios - I spend most of my day doing model testing, UAT, coding in SAS and bash, ad-hoc stress-testing runs with our platform, investigating bugs, looking through the models and communicating with model development. Most of the models are statistical models: linear/nonlinear regression, Markov chains, Gaussian copulas, hazard models etc.

I'd like to transition to a front-office quant role in capital markets or market risk at one of the large Canadian banks (my current bank for example) doing model development. In my current role I found I'm more interested in something which is a bit more mathematical and related to my Master's research. I've already found some groups in my bank that are doing exactly what I want to do i.e. developing models for pricing exotics, IR derivatives, XVA etc. or working with these groups to develop risk models. However, I realize that I'm lacking some skills (mostly in stochastic calculus) so have the following tentative plan for the next year:

Thanks.

To give a bit of background - I have a bachelor's degree in engineering and I recently completed a master's degree in computational fluid dynamics where I wrote a thesis on designing and optimizing new numerical non-linear PDE discretizations (energy/entropy-stable methods). During my master's I coded mostly in MATLAB, FORTRAN, bash, and some C++.

After I graduated I obtained a position in enterprise risk for a large bank in Toronto, Canada doing model implementation for regulatory stress-testing credit risk models i.e. estimating PD, LGD, EAD (been here for about 10 months). This doesn't intersect with the front-office at all and is primarily about the bank's loan/credit portfolios - I spend most of my day doing model testing, UAT, coding in SAS and bash, ad-hoc stress-testing runs with our platform, investigating bugs, looking through the models and communicating with model development. Most of the models are statistical models: linear/nonlinear regression, Markov chains, Gaussian copulas, hazard models etc.

I'd like to transition to a front-office quant role in capital markets or market risk at one of the large Canadian banks (my current bank for example) doing model development. In my current role I found I'm more interested in something which is a bit more mathematical and related to my Master's research. I've already found some groups in my bank that are doing exactly what I want to do i.e. developing models for pricing exotics, IR derivatives, XVA etc. or working with these groups to develop risk models. However, I realize that I'm lacking some skills (mostly in stochastic calculus) so have the following tentative plan for the next year:

- Refresh linear algebra (since I've forgotten a lot since undergrad and only used basic numerical linear algebra during my master's research)
- Refresh probability: Introduction to Probability by Blitzstein and Hwang
- Options, Futures, and Other Derivatives by Hull
- Financial Calculus by Baxter and Rennie
- Stochastic Calculus for Finance II by Shreve
- Code up some derivative pricing models in C++/Python

Thanks.

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