Wholesale credit risk quant

[jameshenderson]

Hi guys
I have interviews for quant positions in wholesale credit risk.
The work is on PD, LGD, EAD modelling, stress testing, logistic regression etc.
Most of the programming is in SAS.
How is the work in general and future prospects?
It doesn't seem like a traditional credit quant role, no C++ required, that practically rules out any future front office quant positions.
Thanks,
James

 

[Ken Abbott]

This is all linked to Basel IMM and IRB calculations. Knowing this stuff well effectively guarantees full employment for the forseeable future.

 

[jameshenderson]

This is all linked to Basel IMM and IRB calculations. Knowing this stuff well effectively guarantees full employment for the forseeable future.

Thanks! I'm just a bit concerned with the SAS requirement, I have never seen a quant role not wanting C++. This role is at HSBC, the other credit risk quant roles at eg:JP, CS all require C++. And why the emphasis on "wholesale", don't want to be stuck in some niche area?

 

[Ken Abbott]

Thanks! I'm just a bit concerned with the SAS requirement, I have never seen a quant role not wanting C++. This role is at HSBC, the other credit risk quant roles at eg:JP, CS all require C++. And why the emphasis on "wholesale", don't want to be stuck in some niche area?

The term "wholesale" is linked to the Basel model taxonomy.