Moody's Analytics - Quantitative Research Internship interview?

[Tonyreg]

Anyone has any idea what will come? Thanks.

 

[Ken Abbott]

1. Read their study on corporate bankruptcy. They update it every year. They show one year and cumulative probabilities of default across all corporate issuance by issuance cohort.
2. Do some reading on credit scorecards.
3. Understand how a Merton model of credit default works.
4. Understand something about the KMV approach to credit risk.
5. Read about credit cycles.
6. Understand the linkage between CDS spread and probability of default.
7. Read the Canabarro and Dudfie paper on CVA and counterparty risk.

That should give you a good start.

 

[Tonyreg]

1. Read their study on corporate bankruptcy. They update it every year. They show one year and cumulative probabilities of default across all corporate issuance by issuance cohort.
2. Do some reading on credit scorecards.
3. Understand how a Merton model of credit default works.
4. Understand something about the KMV approach to credit risk.
5. Read about credit cycles.
6. Understand the linkage between CDS spread and probability of default.
7. Read the Canabarro and Dudfie paper on CVA and counterparty risk.

That should give you a good start.

Thanks a lot!