SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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Gamal
Posts: 2362
Joined: February 26th, 2004, 8:41 am

Market Risk? Model Validation? Quant Business analyst?

March 19th, 2013, 5:43 pm

QuoteOriginally posted by: DevonFangsQuoteOriginally posted by: GamalExactly. And one of your compatriots published in Risk something very similar.Really? You used that? Woah! I like Brigo and Pallavicini, but I always had the feeling this was unimplementable mental masturbation.Little tricks making it work are the most important parts of a model.
 
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minimal00
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Joined: February 4th, 2011, 1:33 pm

Market Risk? Model Validation? Quant Business analyst?

April 5th, 2013, 9:33 am

QuoteOriginally posted by: bluetrinWhat is a quant business analyst ? Someone who collects the requirements of the business to prioritise tasks for the quant team ?Yes it is all about dealing with IS applied to finance, explain the calculations and sometimes debug.Nobody spoke about Market Risk, so this is not interesting for quantitative finance?And I see that MV is not the same for everyone.. maybe it is a problem of structure differences?
 
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bluetrin
Posts: 292
Joined: September 9th, 2005, 6:41 am

Market Risk? Model Validation? Quant Business analyst?

April 5th, 2013, 11:46 am

QuoteOriginally posted by: DevonFangsQuoteOriginally posted by: GamalYou mean you're the only qualified model validator in the whole word? So you agree - one model validator worldwide is statistically insignificant.I didn't mean that! I said I was rolling joints That does not mean you were not in model validation ... Were you rolling joints in 2008 ?
 
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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?

April 6th, 2013, 8:54 am

QuoteOriginally posted by: minimal00QuoteOriginally posted by: bluetrinWhat is a quant business analyst ? Someone who collects the requirements of the business to prioritise tasks for the quant team ?Yes it is all about dealing with IS applied to finance, explain the calculations and sometimes debug."I deal with the goddamn customers so the engineers don't have to! I have people skills! I am good at dealing with people!"
Last edited by katastrofa on April 5th, 2013, 10:00 pm, edited 1 time in total.
 
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DominicConnor
Posts: 11684
Joined: July 14th, 2002, 3:00 am

Market Risk? Model Validation? Quant Business analyst?

April 9th, 2013, 11:49 am

As katastrofa et al say, Model Validation is rarely the destination that many people aim for, it is either something you take when your negotiating position is weak, when you're new and uninformed (ie you're not on Wilmott.com) or when you want a steady job that leaves you where you are put, earning adequate money and going home at sensible hours.Market risk is clearly the best of the 3 options you have, all other things being even vaguely equal.Quant business analyst ought to be a good job, but rarely is. You're not IT enough to progress through the IT function and not quant enough to go up that way.Some QBAs are front office and an industry standard lie is to say you'll be working "with traders", which means you'll meet them. At IBM labs I bumped into Bill Gates, at the 3rd Secret Policeman's Ball John Cleese called me a dickhead, I've had lunch with Emanuel Derman at the Global Derivs conference, at the Royal Institution Terry Pratchett and Stephen Baxter laughed at my joke about Quantum Owls http://www.theregister.co.uk/2013/03/25 ... e_lectures, Tom Clancy once emailed me in thanks for an explanation of mission critical trading system tech, I once sorted the PSU of Sir Max Hastings PC whilst I was being interviewed at the BBC, Steve Balmer complained to me and my boss over my "obsessional behaviour" in preventing MS code from destroying the integrity of file systems, the leading Page 3 girl Peta Todd once washed my hair at my local ultra-trendy hair stylist and the Lord Commissioner for the Reduction of the National Debt once complained to me about an Excel macro I'd written for that purpose.Not one of those fine people have any bloody idea who I am, our encounters were fleeting and I was in no way important to their lives, I could say that I "worked with Emanuel Derman", because he did discuss volatility with me for nearly 5 minutes but that would be a lie, just as much as telling you that your work as QBA is really front office.
 
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ThinkDifferent
Posts: 659
Joined: March 14th, 2007, 1:09 pm

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 3:08 am

Speaking of Emanuel Derman, I wonder if he was in model val (more precisely, Quantitative Risk Management) at GS because he was uninformed or had a weak negotiating position.Many (most) FO quants are essentially IT monkeys who implement and support 1-2 models a year and have rather limited knowledge of modeling. Interviewing them goes wrong once you start discussing models that they didn't work on...I find it amusing that some people tend to prefer this type of job especially given the hours, stress level, and marginally better payoff these days than the model val positions.
 
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Gamal
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Joined: February 26th, 2004, 8:41 am

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 6:23 am

QuoteOriginally posted by: ThinkDifferentMany (most) FO quants are essentially IT monkeys who implement and support 1-2 models a year and have rather limited knowledge of modeling.True. But they choose the model to implement and the way it is done. They interact with traders and know their needs. MV quant don't have that freedom, they just reimplement models from the front office dreaming to get there one day. It's their incentive and what's the incentive of the bank to keep and pay such people? I have no slightest idea, it's probably a regulatory demand.FO quants do much more (real) model validation than the MV quants.
Last edited by Gamal on April 10th, 2013, 10:00 pm, edited 1 time in total.
 
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Cuchulainn
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Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
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Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 6:29 am

Quoteat the 3rd Secret Policeman's Ball John Cleese called me a dickheadWas that a five-minute argument or the full half hour?
 
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DevonFangs
Posts: 3004
Joined: November 9th, 2009, 1:49 pm

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 10:23 am

QuoteOriginally posted by: GamalQuoteOriginally posted by: ThinkDifferentMany (most) FO quants are essentially IT monkeys who implement and support 1-2 models a year and have rather limited knowledge of modeling.True. But they choose the model to implement and the way it is done. They interact with traders and know their needs. MV quant don't have that freedom, they just reimplement models from the front office dreaming to get there one day. It's their incentive and what's the incentive of the bank to keep and pay such people? I have no slightest idea, it's probably a regulatory demand.FO quants do much more (real) model validation than the MV quants.Again, I'm not saying MV is my dream job in finance, but this is just arrogant nonsense (like I've said many times before). Problem is that you seem to never have worked with decent, value-adding MV, and hence assume it doesn't exist. They are actually meant to both spot issues (which is what you call "reimplementing models from the FO", and is the very dull part of the thing) but also to find solutions to possible shortcomings or identify sensible restrictions. Like a thin (and admittedly often nonexisting) extra layer on top of model development. In this sense, part of MV is less a risk management function and more another step in the model development process.ThinkDifferent might be your perfect nemesis here on this, as he thinks instead that actually most desk quants have limited knowledge of modelling. I hope you guys keep getting along this well.
 
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DevonFangs
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Joined: November 9th, 2009, 1:49 pm

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 10:24 am

QuoteOriginally posted by: GamalQuoteOriginally posted by: ThinkDifferentMany (most) FO quants are essentially IT monkeys who implement and support 1-2 models a year and have rather limited knowledge of modeling.True. But they choose the model to implement and the way it is done. They interact with traders and know their needs. MV quant don't have that freedom, they just reimplement models from the front office dreaming to get there one day. It's their incentive and what's the incentive of the bank to keep and pay such people? I have no slightest idea, it's probably a regulatory demand.FO quants do much more (real) model validation than the MV quants.Yes, it is.
 
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DevonFangs
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Joined: November 9th, 2009, 1:49 pm

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 10:27 am

QuoteOriginally posted by: DominicConnorAs katastrofa et al say, Model Validation is rarely the destination that many people aim for, it is either something you take when your negotiating position is weak, when you're new and uninformed (ie you're not on Wilmott.com) or when you want a steady job that leaves you where you are put, earning adequate money and going home at sensible hours.Flexible hours are great, but the dealbreaker is the lower level of stress on average. I find that most of the stress comes from when you have to be the middleman between regulators and the business.
 
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Gamal
Posts: 2362
Joined: February 26th, 2004, 8:41 am

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 11:00 am

QuoteOriginally posted by: DevonFangsProblem is that you seem to never have worked with decent, value-adding MV.I did. It was in 2000 when there was no standard of the profession and we all followed common sense. These days the MV I know (and it's not in one single company) looks like in my previous posts. If your case is different, I can express only my deepest envy. Of course I wish you were right and not me.
 
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ArthurDent
Posts: 1166
Joined: July 2nd, 2005, 4:38 pm

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 1:24 pm

QuoteOriginally posted by: DevonFangs to GamalProblem is that you seem to never have worked with decent, value-adding MV, and hence assume it doesn't exist. They are actually meant to both spot issues (which is what you call "reimplementing models from the FO", and is the very dull part of the thing) but also to find solutions to possible shortcomings or identify sensible restrictions. Like a thin (and admittedly often nonexisting) extra layer on top of model development. In this sense, part of MV is less a risk management function and more another step in the model development process.Call up Microsoft. Ask who gets paid more - the developer on the Windows/Office/XBOX teams or the QA guy.All Gamal is saying is that it is the former.
Last edited by ArthurDent on April 10th, 2013, 10:00 pm, edited 1 time in total.
 
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DevonFangs
Posts: 3004
Joined: November 9th, 2009, 1:49 pm

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 1:33 pm

QuoteOriginally posted by: ArthurDentQuoteOriginally posted by: DevonFangs to GamalProblem is that you seem to never have worked with decent, value-adding MV, and hence assume it doesn't exist. They are actually meant to both spot issues (which is what you call "reimplementing models from the FO", and is the very dull part of the thing) but also to find solutions to possible shortcomings or identify sensible restrictions. Like a thin (and admittedly often nonexisting) extra layer on top of model development. In this sense, part of MV is less a risk management function and more another step in the model development process.Call up Microsoft. Ask who gets paid more - the developer on the Windows/Office/XBOX teams or the QA guy.All Gamal is saying is that it is the former.He's also saying that the QA guy (whatever QA is) doesn't do his QA job, and that he wants to be in any of the Windows/Office/XBOX teams, and that it's not clear why exactly he's even paid.If the argument were: the actual development of production system (EDIT and models) is only done in FO and they are also paid more, then I would agree, end of story. It's all the surrounding absurdity around the total uselessness of MV that I don't agree on.
Last edited by DevonFangs on April 10th, 2013, 10:00 pm, edited 1 time in total.
 
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capafan2
Posts: 924
Joined: June 20th, 2009, 11:26 am

Market Risk? Model Validation? Quant Business analyst?

April 11th, 2013, 1:47 pm

QuoteOriginally posted by: ArthurDentQuoteOriginally posted by: DevonFangs to GamalProblem is that you seem to never have worked with decent, value-adding MV, and hence assume it doesn't exist. They are actually meant to both spot issues (which is what you call "reimplementing models from the FO", and is the very dull part of the thing) but also to find solutions to possible shortcomings or identify sensible restrictions. Like a thin (and admittedly often nonexisting) extra layer on top of model development. In this sense, part of MV is less a risk management function and more another step in the model development process.Call up Microsoft. Ask who gets paid more - the developer on the Windows/Office/XBOX teams or the QA guy.All Gamal is saying is that it is the former.Even if paid less, good QA guys are worth their weight in gold. But the bad ones take their Business Analyst role more seriously than the QA roles. They manufacture requirements by putting words in the users mouths. But that is not the fault of the function, it is the fault of the practitioner. I respect good QA guys for the role they perform. And the good ones should be able to graduate to a good project manager as they understand the systems and business underlying it very well.Also societally we respect more well paid jobs more than less paid jobs. Part of high pay is demand-supply and part perception that job deserve more money. Which is why SAS programmers and statisticians which got paid lot less typically are now suddenly in demand because their job has more appeal when they are called "Data Scientists". If demand-supply was no critical to being paid well, the FO jobs should have been worth peanuts now as so many people are clamoring for them and so little growth exists. But that never happens which means the market is not functioning as it should be. But I digress.
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