SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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minimal00
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Posts: 12
Joined: February 4th, 2011, 1:33 pm

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 9:10 am

Hi,I am wondering about roles that are "around" the front office (it depends of the structure, but often it is considered middle office or compliance). In fact I would like to know which would be the most interesting in terms of learning and experience or ability to switch/move/evolve.- Model Validation (I have heard it depends of the structure, but this is my first choice)- Market Risk (I have heard it is becoming more and more compliance, with less and less charming aspects for quant finance lovers)- Quant Business Analyst (half quant half IS specialist) (Some people say it is not possible to move from it, even if you are on the trading floor)Thx
 
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katastrofa
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Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 9:27 am

Model Validation is where quants go to die.
 
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DevonFangs
Posts: 3004
Joined: November 9th, 2009, 1:49 pm

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 9:50 am

QuoteOriginally posted by: katastrofaModel Validation is where quants go to die.Or where they start to work if they graduated in the middle of the crunch.
 
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bluetrin
Posts: 292
Joined: September 9th, 2005, 6:41 am

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 9:52 am

What is a quant business analyst ? Someone who collects the requirements of the business to prioritise tasks for the quant team ?
 
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DevonFangs
Posts: 3004
Joined: November 9th, 2009, 1:49 pm

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 9:54 am

QuoteOriginally posted by: minimal00Hi,I am wondering about roles that are "around" the front office (it depends of the structure, but often it is considered middle office or compliance). In fact I would like to know which would be the most interesting in terms of learning and experience or ability to switch/move/evolve.- Model Validation (I have heard it depends of the structure, but this is my first choice)- Market Risk (I have heard it is becoming more and more compliance, with less and less charming aspects for quant finance lovers)- Quant Business Analyst (half quant half IS specialist) (Some people say it is not possible to move from it, even if you are on the trading floor)ThxUh. Problem with Model Val is that it can a shithole in which you don't do anything useful (ask Gamal). It depends on the firm.Market Risk is a big area. I think research is quite interesting. But you could also end up crunching some numbers and running backtesting/ calibration routines written by someone else, so be careful.Quant business analyst sounds like a nightmare to me!
 
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deimanteR
Posts: 48
Joined: February 5th, 2013, 11:26 am

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 10:14 am

QuoteOriginally posted by: katastrofaModel Validation is where quants go to die.Agree. My impression is Model Validation can be particularly dull in big banks - you will be pressing Shift-F9 mainly. In smaller places you might be developing alternative models that no one uses. Still the best you can hope for. Moving out might be difficult - the longer you stay there the harder is to get out.
 
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Gamal
Posts: 2362
Joined: February 26th, 2004, 8:41 am

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 10:39 am

QuoteOriginally posted by: katastrofaModel Validation is where quants go to die.Why? If you like browsing net 8 hours per day, it's a perfect place. A hint for minimal00 - you don't validate any models in a unit called 'Model Validation.'
Last edited by Gamal on March 17th, 2013, 11:00 pm, edited 1 time in total.
 
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bluetrin
Posts: 292
Joined: September 9th, 2005, 6:41 am

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 10:54 am

QuoteOriginally posted by: GamalQuoteOriginally posted by: katastrofaModel Validation is where quants go to die.Why? If you like browsing net 8 hours per day, it's a perfect place.Gamal, I think you are exaggerating greatly....You have to browse at least 9 hours a day ...
 
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Gamal
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Joined: February 26th, 2004, 8:41 am

Market Risk? Model Validation? Quant Business analyst?

March 18th, 2013, 11:04 am

The remaing hour is to compare numbers in Excel sheets and for lunch.
 
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ThinkDifferent
Posts: 659
Joined: March 14th, 2007, 1:09 pm

Market Risk? Model Validation? Quant Business analyst?

March 19th, 2013, 1:53 am

QuoteOriginally posted by: katastrofaModel Validation is where quants go to die.sure. and being a desk quant in FO, implementing and supporting 1-2 models a year under the pressure of deadlines and surrounded by dickhead traders, is a life full of joy ) not to mention that FO quants' pay is marginally better these days
 
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Gamal
Posts: 2362
Joined: February 26th, 2004, 8:41 am

Market Risk? Model Validation? Quant Business analyst?

March 19th, 2013, 8:48 am

QuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: katastrofaModel Validation is where quants go to die.sure. and being a desk quant in FO, implementing and supporting 1-2 models a year under the pressure of deadlines and surrounded by dickhead traders, is a life full of joy It's the difference between death and life, which is not always full of joy.But the slow environment isn't the main problem in MV, some people really don't like yelling traders. The main problem is that you don't validate models in MV.
 
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katastrofa
Posts: 9326
Joined: August 16th, 2007, 5:36 am
Location: Alpha Centauri

Market Risk? Model Validation? Quant Business analyst?

March 19th, 2013, 9:23 am

The difference between FO and MV is that the cognitive dissonance in FO is much lower than in MV. In FO you're supposed to quickly develop broken models for traders, and that's what you do. In MV you're supposed to force the FO to develop robust clean models and reject the dirty broken ones, but you have zero leverage to do that.
 
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DevonFangs
Posts: 3004
Joined: November 9th, 2009, 1:49 pm

Market Risk? Model Validation? Quant Business analyst?

March 19th, 2013, 9:24 am

QuoteOriginally posted by: GamalQuoteOriginally posted by: ThinkDifferentQuoteOriginally posted by: katastrofaModel Validation is where quants go to die.sure. and being a desk quant in FO, implementing and supporting 1-2 models a year under the pressure of deadlines and surrounded by dickhead traders, is a life full of joy It's the difference between death and life, which is not always full of joy.But the slow environment isn't the main problem in MV, some people really don't like yelling traders. The main problem is that you don't validate models in MV.It's nice that I never know what the fuck you are talking about. That always puts me in a good mood because I feel like in my team (in a big bank, BTW) things work consistently better than in equivalent teams with our competitors.
 
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DevonFangs
Posts: 3004
Joined: November 9th, 2009, 1:49 pm

Market Risk? Model Validation? Quant Business analyst?

March 19th, 2013, 9:27 am

QuoteOriginally posted by: katastrofabut you have zero leverage to do that.That is actually not true either. You can't of course impose to use your "alternative" model instead of theirs, but if you say reasonable things in a clear way people tend to listen and adjust their models. Also, I'm a very positive person but if I'm not happy I have the power to be a real pain in the ass.
 
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Gamal
Posts: 2362
Joined: February 26th, 2004, 8:41 am

Market Risk? Model Validation? Quant Business analyst?

March 19th, 2013, 9:53 am

DevonFangs, how many quants work in model validation wordwide? Probably thousands. How many warnings did the industry get from MV about the infamous Gaussian copula before the crisis? Not a single one.And quite many people knew that the Gaussian copula was full of shit, I can show you the articles. I didn't price a single deal with the Gaussian copula, so my model validation was correct. But I was in FO then.No MV unit did validate the Gaussian copula correctly, ergo - MV doesn't validate models.
Last edited by Gamal on March 18th, 2013, 11:00 pm, edited 1 time in total.
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