Credit Suisse, market risk analyst in risk management department

Question:

How what you calculate VaR? What are the steps in the calculation and where does the data come from? Are you aware of advanced tools to calculate VaR, like Monte Carlo simulations, stress tests and sensitivity analysis?

Answer:

In order to calculate Market risk using the Montecarlo Method, first run as many simulations as possible. Then, since Monte Carlo uses normal distribution, you can calculate 5% (1% confidence level) confidence level, and calculate VaR.

Question:

With regards to credit risk, what do PD, LGD and EAD stand for?

Question

What are the three pillars of Basel?

Answer

1) Minimum capital Adequacy

2) Supervisory capital

3) Market discipline.

Question

What are you salary expectations?

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