Risk Manager must-know list

Question

What are the products, concepts, and models a risk manager must know? I'm not looking for an exhaustive list, but rather a general list as the one in Paul & Dominic's Guide To Quant Careers:

Products: Fixed income, bonds, swaps; Equity, dividends, derivatives; Currencies, role of foreign and domestic interest rates; Commodities, convinience yield et.; Exotics, main types; Credit derivatives.

Concepts: Risk, return and efficient frontiers; Delta hedging; Risk neutrality; The no-arbitrage argument; Market price of risk for non-traded quantities; Calibration; Static hedging using exchange-traded vanillas.

Models: Binomial model; Lognormal; Jump diffusion; Stochastic volatility; Interest rate model (single, multi-factor, HJM, BGM); Credit models (hazard rate, structural); Transition matrices; Numerical methods; Monte Carlo simulation techniques; Binomial scheme; Finite-difference methods; Numerical quadrature; Which method to use for which type of contract.

A list that "will ensure that you don't make an idiot of yourself by having major gaps in your knowledge".

Can you please provide some for introduction? – Gordon Dec 08 '15 at 14:37 — Gordon, Dec 08 '15 at 14:37

score 1 · Answer 1 · answered Dec 08 '15 at 15:05

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Assuming that you are totally new to the field, Columbia's Risk Management and Financial Engineering course on Coursera is an excellent introduction. It focuses on discrete time models and you will need only a bare minimum knowledge of the revel ant mathematics.

Otherwise, I've never seen a useful intro RM text.

answered Dec 08 '15 at 15:05

Bob

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I'm not looking for an introductory list, but for a general list covering all the topics that a person trying to get a job in risk management should know. – Egodym Dec 08 '15 at 15:28
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Have you tried the CFA books? – phdstudent Dec 08 '15 at 16:22
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Also check out the PRMIA and FRM curriculum. – nbbo2 Dec 08 '15 at 18:36
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I think PRMIA and FRM curriculum could work. Not so sure about CFA. – Egodym Dec 08 '15 at 20:18
also see previous related post: quant.stackexchange.com/questions/2391/ – owner Dec 09 '15 at 12:34

Risk Manager must-know list

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