SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by riskguru
July 8th, 2013, 3:58 pm
Forum: Careers Forum
Topic: Hedge fund - low salary
Replies: 14
Views: 10748

Hedge fund - low salary

<t>Echoing Hansi's observations, in recent times I have noticed that HF base salaries tend to be lower than at IBs, in part driven by the ramp up in IB base salaries post the financial crisis. Ultimately it is about total comp and you can get screwed out of comp as easily at a bank as at a hedge fun...
by riskguru
July 17th, 2012, 3:13 pm
Forum: Student Forum
Topic: VaR Fund of Funds
Replies: 13
Views: 12536

VaR Fund of Funds

<t>I agree with Aaron. Given data limitations, I was going to respond saying you need to understand the risk/return characteristics of your underlying funds better (you have much more specific responses in Aaron's response). Separately, the link between a VaR calc and the fund's liquidity terms (par...
by riskguru
July 12th, 2012, 4:00 pm
Forum: Student Forum
Topic: VaR Fund of Funds
Replies: 13
Views: 12536

VaR Fund of Funds

What level of transparency do you have into the individual funds? Position level, aggregate greeks, only returns? Will help define the problem better!
by riskguru
July 11th, 2012, 2:58 pm
Forum: Careers Forum
Topic: SURVEY - WHY DO 50% OF QUANTS LEAVE QA AFTER 5 YEARS?
Replies: 45
Views: 20778

SURVEY - WHY DO 50% OF QUANTS LEAVE QA AFTER 5 YEARS?

QuoteOriginally posted by: finitudQuoteOriginally posted by: Gamal10Y ago it was possible, not any more these days, I'm afraid. You're late.It is still possible to make EUR 2m, just not as a quant.Two million euros in savings/net worth over 10 years or 2 million euros in annual comp??
by riskguru
July 10th, 2012, 3:38 pm
Forum: Careers Forum
Topic: SURVEY - WHY DO 50% OF QUANTS LEAVE QA AFTER 5 YEARS?
Replies: 45
Views: 20778

SURVEY - WHY DO 50% OF QUANTS LEAVE QA AFTER 5 YEARS?

<t>QuoteOriginally posted by: edouardQuoteOriginally posted by: DevonFangsQuoteOriginally posted by: mathematalef0 As far as money is concerned, with a few exceptions, quant finance is not the place to become rich.What is the place to become rich? Please advise.I'm getting old now, and i need to mak...
by riskguru
April 25th, 2012, 3:44 pm
Forum: Careers Forum
Topic: Returning to work after maternity break
Replies: 47
Views: 17983

Returning to work after maternity break

<t>In the current job environment I have heard virtually the same story from 40 something males looking for a job after getting laid off. Very tough, a lot of apparent discrimination, whether driven by concerns around commitment or attitude while working in a group where the average age is much lowe...
by riskguru
January 5th, 2012, 4:44 pm
Forum: Careers Forum
Topic: Is joining a proprietary trading firm a good idea?
Replies: 27
Views: 20023

Is joining a proprietary trading firm a good idea?

<t>QuoteOriginally posted by: katastrofaQuoteOriginally posted by: lexingtonIt generally works like this:You invest $10,000 with them and they will allow you trade up to $100K using their platform. If you make money you keep 80% and they keep 20%. If your losses reach $10K they will kick you out.So ...
by riskguru
November 2nd, 2011, 3:34 pm
Forum: Careers Forum
Topic: second PhD?
Replies: 72
Views: 30835

second PhD?

I agree with that, though every few years we used to go through a housecleaning of finance phds who had been in the program over five years! So in part all we were doing is backend loading things in finance vs. in economics!
by riskguru
November 2nd, 2011, 3:22 pm
Forum: Technical Forum
Topic: Dump Question to Calculate Beta
Replies: 3
Views: 16650

Dump Question to Calculate Beta

The first approach will pick up changes in portfolio composition over time, the second approach reflects the beta of the fund as of today (i.e. given today's portfolio weights). The two might not be that different from each other but the approaches are picking up two different things.
by riskguru
September 15th, 2011, 3:11 pm
Forum: Student Forum
Topic: A simple problem
Replies: 19
Views: 17806

A simple problem

<t>Your original conjecture of not enough information is right! Take two examples, given beta and total vol of the stock, case I has idiosyncratic vol at zero (with market vol being whatever it takes to get you there) and case II has idiosyncratic vol non zero. In case one there is zero probability ...
by riskguru
February 16th, 2011, 4:34 pm
Forum: General Forum
Topic: Multidimensional hedging
Replies: 21
Views: 26938

Multidimensional hedging

As an alternative to the suggestions given, take a look at the literature on convert arb, where hedging equities, credit, interest rates etc. is another example of multi dimensional hedging.
by riskguru
October 19th, 2010, 3:14 pm
Forum: Book And Research Paper Forum
Topic: top 10 authors in empirical finance
Replies: 4
Views: 27362

top 10 authors in empirical finance

As tops in empirical finance?? I don't think so! Perhaps Andy Lo, Rob Engle are better candidates......
by riskguru
August 26th, 2010, 3:34 pm
Forum: General Forum
Topic: Performance measurement & VaR utilization
Replies: 4
Views: 24861

Performance measurement & VaR utilization

<t>How about 95% VaR of $100mm=$60mm (or so) of daily sigma = $950mm of annualized sigma. So if you are expecting a 1 sharpe ratio (more power to you) you are expecting to make around $950mm of annual P&L? A lot of assumptions on the appropriate measures of risk but seems like a decent framework...
by riskguru
August 20th, 2010, 3:33 pm
Forum: Economics Forum
Topic: Expected Utility: Why people are so soft on this assumption?
Replies: 21
Views: 33836

Expected Utility: Why people are so soft on this assumption?

<t>Echoing DavidJN's point it is hard enough going from individual preferences to aggregate implications under an expected utility type paradigm (log, exponential and power utility, I don't recall too many other structures that "work", quadratic I guess!). It is even harder if you start trying to mo...
by riskguru
August 2nd, 2010, 4:28 pm
Forum: Careers Forum
Topic: Typical Day of a Typical Headhunter?
Replies: 16
Views: 27172

Typical Day of a Typical Headhunter?

<t>Retainer vs. contingency makes a big difference to how much a recruiter makes on the hire. Having a search put on retainer is the most obvious indicator of the "hard to find" nature of the search and/or generally a guarantee of closure to the hiring manager. The cost of these retained searches is...
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