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FV
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what exactly is a desk quant?

February 21st, 2008, 7:10 pm

What's the difference between a normal quant and a desk quant? Is the title desk quant a euphemism for spreadsheet monkey?
 
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cryptic26
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what exactly is a desk quant?

February 21st, 2008, 9:34 pm

QuoteOriginally posted by: FVWhat's the difference between a normal quant and a desk quant? Is the title desk quant a euphemism for spreadsheet monkey?A quant tied to a trading desk is desk quant. Responsibilities could involve from day to day pricing/hedging, etc problems as posed by traders or PM along with long term model building/operational work. If it is equity shop with lower frequency, then mostly it would be an excel based work. If it is high frequency data, then it might involve C/C++ or even Matlab along with some advanced level of econometrics.
 
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AvatarPh
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what exactly is a desk quant?

February 21st, 2008, 9:45 pm

Desk quant can do trade as well from time to time. You will work out from the ground, calibrate/calculate models, backtesting strategy and may have an opportunity to trade directly with your results and see how your calculation work in real life.
 
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Hinstings
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what exactly is a desk quant?

February 22nd, 2008, 1:01 am

QuoteOriginally posted by: FVWhat's the difference between a normal quant and a desk quant? Is the title desk quant a euphemism for spreadsheet monkey?There is no "normal" quant. Below is an exempt from Mark Joshi(1) Front office/desk quant(2) Model validating quant(3) Research quant(4) Quant developer(5) Statistical arbitrage quant(6) Capital quantA desk quant implements pricing models directly used by traders. Main plusses close to the money and opportunities to move into trading. Minuses can be stressful and depending on the outfit may not involve much research.A model validation quant independently implements pricing models in order to check that front office models are correct. Plusses more relaxed, less stressful. Minusses model validation teams can be uninspired and far from the money.Research quant tries to invent new pricing approaches and sometimes carries out blue-sky research. Plusses it’s interesting and you learn a lot more. Minusses sometimes hard to justify your existence.Quant developer – a glorified programmer but well-paid and easier to find a job. This sort of job can vary a lot. It could be coding scripts quickly all the time, or working on a large system debugging someone else’s code.Statistical arbitrage quant, works on finding patterns in data to suggest automated trades. The techniques are quite different from those in derivatives pricing. This sort of job is most commonly found in hedge funds. The return on this type of position is highly volatile!A capital quant works on modelling the bank’s credit exposures and capital requirements. This is less sexy than derivatives pricing but is becoming more and more important with the advent of the Basel II banking accord. You can expect decent (but not great) pay, less stress and more sensible hours. There is currently a drive to mathematicallymodel the chance of operational losses through fraud etc, with mixed degrees of success.
 
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AndyNguyen
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what exactly is a desk quant?

February 22nd, 2008, 1:47 am

while we are at this, here is one interesting explanation taken from Interview with Tim Grant (UBS) on Quantnet.orgWell there are two main themes here. The first – what does the term “quant” actually mean? The second – what roles actually exist in sales and trading on the modern trading floor today and what type of skills are required to execute them? Focusing on the first part for now, I think that there is generally a misunderstanding as to what a “quant” actually does and I think it harks back to the 80s and 90s and the age of the “rocket scientist.” The impressive characters were invariably PhDs who were transferring their experience in applied physical sciences or mathematics into the finance area. They tended to be segregated for the most part from the traditional sales and trading roles and there’s some notion that they’d be hunched in front of a computer in a dark corner of the bank putting together intricate and intractable models to support the trading desk.The idea that a quant might actually speak to a client was almost laughable. Though obviously a caricature that image was rooted in reality. This issue now is that this particular reality no longer applies. The so called “quants” have come out of the dark rooms and are now running trading desks and managing and growing huge businesses and those sorts of quants actually don’t exist to the same extent that they did. I’m not saying we don’t need highly qualified and gifted PhDs to build our models or in any way implying that our universe has become less quantitative. What I’m saying is that people think that banks need lots of quants in the old-school framework and are labouring under the mistaken assumption that there is a significantly increased need for those people when there isn’t. But also they assume that completing an MFE somehow qualifies you for that role when it doesn’t. If you speak to prominent quants in our industry, some of whom have gone back into academia, they will all tell you that the landscape for quants has changed dramatically and it’s not like it used to be (almost always relayed with a nostalgic tone!)To be a true “quant” in our business you still need to be highly academically literate and probably have a PhD (and be up against the stiffest competition ever), so what exactly is left for our MFE graduates? This brings me to my second theme regarding the roles that exist in sales and trading in today’s reality (and I mean sales and trading specifically over investment banking/corporate finance). There are stereotypes that currently exist about what kind of personality and background a salesperson or trader has. The salesperson is a slick, fast talking relationship person who makes a living off wining and dining clients and having long business meetings on the golf course. They have market views, but when it comes to the quant aspects of finance, well, they leave that to the quants. Traders are loud mouthed and aggressive gun slinging risk takers with variable tempers and limited attention spans who trade on instinct (the masters of the universe that Michael Lewis describes in Liar’s Poker). I’ve already covered the stereotyping surrounding quants. There also seems to be a belief that an MBA is the generally accepted pre-requisite for a position in sales and trading. Or perhaps also that playing varsity sports like football and lacrosse at certain schools is a guaranteed route to the trading desk (in British parlance the “old boy network”).Now let’s be clear here: you not having these pre-requisites in any way shape or form exclude you from being incredibly effective on the trading floor. The times have changed. Just look across the range of complex assets that now trade on our trading floors. The level of financial engineering/modelling that has fueled the growth in trading volumes and the widespread use of derivatives across not only the institutional but also retail investment communities is incredible. Certainly simple building blocks of more complex instruments (e.g. interest rate swaps and credit default swaps) are now massively commoditised and this trend continues as the natural cycle of product evolution in financial markets we’ve seen for decades continues apace. The buy side investment community has had to become more comfortable with financial engineering in order to understand their more complex investments. In any given situation there are now a number of different ways to express the same view across different markets and that theme is becoming more prevalent – Black and Scholes/Merton recognized in the 70s that credit and equities are somehow fundamentally related and now we’re really starting to see capital structure arbitrage move from being the preserve of specialist hedge funds to being a strategy for large established institutional players. So basically everything is becoming more complex with more variables and more intellectual bandwidth over and above the traditional sales and trading skillset is required to get the job done. Also investment banks in particular are much larger and more labyrinthine institutions than they were even 10 years ago such that the qualities of leadership and entrepreneurialism are more highly prized in terms of being able to drive and grow businesses.Note also that the traditional role silos of trader, salesperson, researcher and quant are no longer clear cut. There are a myriad of roles on the modern trading floor that blur the boundaries and that combine some or all of those individual elements. Salespeople need to be more quantitative than before as they need to be able to understand and sell the complex securities created by structuring desks (and in this day and age of regulatory and public scrutiny that need has only increased in its importance). Traders need to be able to think and act like salespeople. Structurers are often equal parts marketers. The true professional should be able to do anything well and be outstanding at their specialism.
Last edited by AndyNguyen on February 21st, 2008, 11:00 pm, edited 1 time in total.
 
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cryptic26
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what exactly is a desk quant?

February 22nd, 2008, 7:22 pm

QuoteOriginally posted by: CDQNwhile we are at this, here is one interesting explanation taken from Interview with Tim Grant (UBS) on Quantnet.orgTo be a true “quant” in our business you still need to be highly academically literate and probably have a PhD (and be up against the stiffest competition ever), so what exactly is left for our MFE graduates? Just like MFEs, there are dozens of Phds in physics and mathematics from good schools who do not know how to price an option or interpret simple regression or time series analysis. They are probably smart in understanding but don't know how to work in team, how to think about big picture or are just cocky because they have Phd. So, they spend understanding the statistics or the finance when an MFE with previous background in Math/trading gets an edge. Eventually, it boils down to making money and as long as you have rigour in your model to stand the market, you are valued. Anything other than that is purely useless.
 
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spice
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what exactly is a desk quant?

February 23rd, 2008, 12:21 pm

QuoteNote also that the traditional role silos of trader, salesperson, researcher and quant are no longer clear cut. This is very true. Although HR will assign the set "label", the nature of work is such that everyone of these is working on a scale along these lines.