Economic Capital Model Interview

[snowwoman]

Hello All,

I have an interview coming for Internal Economic Capital Model Developer role with Deutsche Bank. Can you please tell me what mathematics topics should i prepare for this? Any help or other info would be greatly appreciated!

 

[Ken Abbott]

I could be wrong, but I'd be ready to talk about
a) risk metrics (VaR, stress)
b) return-on-capital measures
c) EVA
d) portfolio strategies (QP, possibly)
e) extreme value theory (remember, places look at the 99.99 tail)
f) regulatory capital
i) T1C, AT1, T2
ii) RWA
iii) leverage