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Below is a collection of important documents, required reading for students and professionals in the field of risk management. The list is divided into subjects and will be updated. Overview

Read the career guide posted here.

This article appears in QuantNet 2013-2014 International Guide to Programs in Financial Engineering. The job market for quants has changed inexorably. The “particle finance” trend of the last 20 years is on the wane. While funds will still be able to trade on a prop basis, banks’ ability to do...

I recently read that the average European bank is expected to hire 200 peopl to deal with Basel requirements. Many of those have a TS angle. The banking community may be your most fertile hunting ground.

I disagree strongly. FRM/PRM are very useful, but only once you have a job. They provide the institutional backdrop for much of the math being done by risk management groups. In fact, in this job market, FRM/PRM may be more valuable than an MS in QF.

I've been watching this thread with some interest. I tend to be pretty bearish on the quant job market. While in not quite as negative as Liam, I observe a) the used to be 3 QF programs; now there are around 150, b) bank trading risk is way down for a number of reasons, c) there are many...

Private equity is a completely different business. The skillset overlap is minimal.

The barrier between them is semi-permeable. I know stories of moving in both directions.

Quant auditors review pricing models (review the reviewers, actually) and often review the risk models (VaR, stress) themselves.

Alain, that kind of comment is beneath you.

Anyone. I'll get cost info out to people next week. I'll be covering the basics of crude oil (chemistry, extraction, transportation, refining) nat gas and power. I'll also spend time on the key analytical concepts involved, including the measurement of seasonality, mean reversion, and...

I'll be posting more details soon, but I wanted to get some brief introductory information out there. On November 16th, I'll be hosting a Commodities Boot Camp at Baruch. While the focus will be primarily on energy, I also hope to talk about metals and ags as well. The class will start with...

I work closely with dozens of quants. Some have Ph.Ds and some don't. I have no idea who has one and who doesn't.

Most traders aren't quants. Most quants aren't traders.

When credit spreads are high, small shifts in the credit spread can imply movement closer to the default "frontier," with its LGD assumption. You shouldn't see any difference in PV01 and CSPV01 for hi-grade bonds, but as quality gets lower, you should expect them to diverge. IRDV01 here is...

I disagree. If you already have a job and are going to grad school part-time only to learn the material, which school you attend probably won't matter much.

Going straight to grad school without going to work will result in your retaining less. Context is everything.

Start with ARIMA.

I think it varies by class and by school. I have taught classes as small as 15 and as large as 60 in quant finance programs. I'd imagine that mostvintro courses in MBA programs would have large class sizes. I was in a large corp fin class at NYU as part of my (abortive) attempt at an MBA in...

A touch melodramatic, no? I've seen people get emotional about a lot of things, but never about quantitative finance...

1) It's a buyers' market, as evidenced by the fact that the key marketing metric is placement 2) Some firms are reconsidering their recruiting strategies, having found that many MS students lack communication skills 3) The era of "particle finance" is over - regulation is restricting the...

look at whatever Pennwell Publishing has.

...but masters students without work experience are less interesting to employers.

It depends. IMM and IRB can be just as quantitative as anything you'll see in Market Risk.

Beg to differ. She could serve on a board someplace, but I'm not sure how employable she is. Can she code in R?

That job sounds perfectly fine. Keep track of the markets and hone your story.

Risk quants have tried many ways to make their models responsive to changes in the market. Some have kept their core VaR methodologies, shortening the historical "window". Others have used exponential smoothing to make more recent observations weigh more heavily on the final result. Still...

google equity portfolios principle components

Equity buy-side firms use eigensystem decomposition of random equity portfolios in search of alpha. How has this worked pre- and post-crash?

Commercial bank Analyst Sales and Trading Associate Research VP Trading VP Risk VP Risk MD (before the Director/Principal was used, back when dinosaurs walked the earth) Be aware that the movement to and from the front office is now impeded by the fear that people with back-office knowledge...

Better yet, get a job and have your employer pay for it. Then the return is infinite...

In a few years, after the faddish obsession with financial math programs has waned, I think you'll find the stat degree more useful.

Credit risk is much closer to equity research than market risk It is at least as in-depth any anyone in equity research would need it to be - probably deeper. There's a HUGE amount of financial modeling in credit risk. The credit risk models in the industry are at least as complex as...

Being an ABD is no sin. You should be prepared to explain why, but I've hired plenty. I personally don't distinguish between them (but then again, I'm merely a low-rent statistics MS).

Basic accounting will suffice.

Stop worrying about grad school. Get a job and see if you like what people do in finance.

Because without it you're just a quant with no understanding of the context.

Financial Products Financial Risk Management Optimization in Finance Stochastic Processes Time Series Analysis Advanced Time Series Analysis ACCOUNTING

Ideally, I'd imagine we would discuss basis trading, since that's where most of the action is: time spreads, product spreads, locational spreads, quality spreads, etc. "Valuation" usually means the price on the screen, but if there's enough interest, we could talk about structured transactions.

It's likely to take place on a Saturday.

It's likely we'll do this in November of December.

I disagree. Estimating speeds of mean reversion is easy. Profiting from said estimates is hard.

You're not "off keel", but you're several decades too late. People have been looking at things like this for a while - mean reversion, cointegration, all of it. Start with basic ARIMA models to get a feeling for the notion of "memory" in a time series. I also have some basic material on mean...

It's not likely I'll record it, unfortunately.

Sleep well.

Dan and I have been discussing the possibility of having a commodities Bootcamp at Baruch late in the fall. The Bootcamp would be a full day and would provide an overview of production/extraction, processing, transportation, storage and trading of commodities. If there is sufficient interest...

The head fixed income strat told me that the only real preparation is getting a good night's sleep.

From a BB recruiting standpoint, there's little difference between MFE, MSF, MQF, MSCF, etc. The question in a (quant) interviewer's mind is "can this person count to eleven with their shoes on or not?" Yes, programming skills can send one down a different path, but generally you're either...

I have found basic accounting to be extremely useful. I encourage all financial math students to take it.

Read the Careers in Financial Management paper Andy has posted here.

I have lectured at many quant finance programs. The NYU students I've seen are consistently among the best.

On a portfolio basis, it's generally ok to use the local pv01. While the price/yield line will kink at the strike, this impact is muted at the portfolio level. In addition, many risk systems wil report pv01 on a yield-to-worst basis, so the call effect will be captured.

Hard to do from scratch. First you need to understand Box-Jenkins analysis, then you need to comprehend the notion of time-varying volatility.

Busienss management and and an MS in quant finance aren't fully orthoganal, but are close. You need accounting, corporate finance, and similar general skills for business management. Most of the quants I see don't pursue that.

There are a couple of firms that have factor-based algorithms. Try APT (the company) and KMV.

You cannot "qualify" for a risk job by passing an exam. If you don't have the context, it will be empty information. Some risk jobs are as quantitative as those of desk quants - others less so.

I disagree. You either place all of your students or you don't. I'm not saying that CMU's program isn't excellent, but it's a real sign of the times if they can't boast 100% placement.

jo_joejoe, I'm a fairly senior guy at a very big firm. On a really, really good day, when I'm seeing things really clearly and everything makes sense, I consider myself a 4th-rate quant. It's not about how much math you've taken, unless you want to be a pure theoretician or how well you code...

Accounting Probability Inference Time Series SQL

It was a CMU guy, too.

I once hired a guy on a phone interview because he knew what [(X'X)^(-1)]X'Y

1. Know the technicals, know the contract specs, know what the locals are up to. 2. Very 3. I wasa fundamentals guy, but you need to know what the chart guys are thinking. 4. Futures are very liquid 5. You have to for FI 6. Good to know for ex-post analysys, but I don't know anyone who's made...

The value of an MBA has stood the test of time. Many senior people with real quant skills have MBAs and leverage their skills effectively. The long-term value of an MFE (or MS in Finance) has yet to be determined. Right now, there's oversupply, some of it of questionable quality. There's no...

Not just India, but that's a big part of "smartsourcing." Big firms have also established quant groups in Prague, Budapest, and Warsaw.

Some go to the buy side, some move to support functions, some go into management. One guy I know opened a hair salon.

A friend who was a retail credit card guy (as opposed to someone structuring ABS) became a senior methodology guy in risk. Another guy covering retail cap markets moved to the wholesale side.

dban, I've seen people make the jump and I've seen people cover both wholesale and retail. Were you doing analysis of deposit activity or loans?

Don't switch. If you need to scratch your finance itch, do it with your own portfolio.

Don't look under Basel III. Look under Dodd-Frank Title VII. That's where the beef is. There's a lot of material available form EY, PwC, Morrison Foerster, Davis Polk, and others. ISDA also has some stuff.

Which distribution for what? Returns? The GARCH will look at the variance. Why not start with ACF/PACF?. Look for seasonality or some kind of AR/MA pattern. Check your priors on the stock returns using an AIC or a KS.

It's a bit early to be thinking about exit opportunities when you haven't yet started, don't you think?

See QN article from late 2011 on this topic.

Gaurav, there are lots of roles described on QuantNet. In addition, Andy has posted some excellent reference material.

I can only speak to Risk. If you're doing model review, you need to know stochastic calc and PDEs. For desk coverage, statistics (especially TS, multivariate) is helpful. For risk modeling, stat and Monte Carlo. SQL is helpful for all. The challenge is that classroom knowledge of many of...

Yes. Mean, variance, etc. Efficient frontier.

My fear is that people are flooding into quant finance like they did into mortgages in 2003-2005, like they did into Internet startups in 1995-1999, like they did into IR derivatives in 1994, and like they did into tulips in Holland in the 17th century. It's very late in the game...

Consider the evolution of compensation kind of like a Gaussian random walk, starting at, for arguments's sake 100k, with each person's trajectory a single path. There is drift, as most will make more over time, but the dispersion after a few years is huge. People go into different...

Some thoughts: MC as a concept covers a very, very broad range of topics. To wit: Outcomes simulation for one-step events (eg VaR) Outcomes simulation for capital additions (eg Basel IRC) Time series simulation for pricing Time series simulation for risk (counterparty credit as in Canabarro...

Start with Markowitz. Then move on to QP.

I don't know what looks better on an application, but I think that sql is more useful in the workplace. I think that econometrics (beyond the basics) are best learned on the job, with real-world problems.

The market is tough. Either one would be a fine place to start.

Morgan Stanley started calling quants "strats" after a senior Goldman guy moved to Morgan and reorganized the function.

1. There are plenty of physicists, but there are more econometricians, statisticians, and finance people. 2. You might have a hard time convincing a senior risk person that your interest is genuine.

1. MUCH more stressful. You have no idea. 2. I think "might as well try my luck" is a very, very bad reason for going into the glutted field of quant finance.

This is tantamount to saying "If I want to play drums for the Rolling Stones, does it make sense to be their manager for a few years and then move to drums or should I perhaps tour with Prince on keyboards for a few years?" Entry-level trading jobs are few and are getting scarcer. If you're...

It's a buyers market for quants at big firms. This is especially challenging for PhDs, who often have minimal experience. The FRM certification, on the other hand, is something people find useful after they get a job. It encourages focused study in particular areas. (Full disclosure: I'm on...

Stay away from Cholesky. It only works on PD matrices. Stick with eigensystem.

Start with the career guide that Andy (and several others) have posted here.

Good point. Expected Shortfall is part of Basle's Fundamental Review of the Trading Book. It's worth a look. (I had some of my stdents explore its properties as part of their final project last semester..)

How about quantitative techniques utilized by regulators as part of the Basle rules? These would include: VaR Models (HS, V/CV, Monte Carlo) The specific risk component of VaR models Gaussian copula-based techniques for counterparty credit risk measurement the Incremental Risk Calculation that...

As an employer of quants, I think I can safely state that big banks don't distinguish between the different finance masters programs. In risk, there are two basic paths, the PDE derivative pricing path and the statistics/econometrics path. That distinction is of more interest to me. An MBA...

Those are very different degrees that will take you in different directions. If you want to do risk, consider the MFE. If you want to focus on transactions, the MBA is probably more useful. It's hard to say which which will ultimately pay better. The quant finance party is over with respect...

As I recall, someone wrote an article on QN a few years ago about the coming glut of financial engineers...

Look at the Baruch Pre-MFE program

Poly was once Brooklyn Polytechnic. It was absorbed by NYU a few years ago.

CFA is a great qualification, but not necessarily for risk management. The FRM is much better for risk, but I think it's pointless to get it before you actually have a job. Unless you understand the applications, it's simply a massive reading list. You'll have no context at all. When I...

Garbade has the last word in this subject area.

I just put your question to the head strat at Morgan Stanley, who is a friend. His response: "It's a very hard test. You really can't prepare for it. Get a good night's sleep."

I think you're planning way too far in advance. It sound similar to "I want to be a tax attorney specializing in cross-border financial flows between Bhutan and Nepal that are denominated in EUR, but only on alternate Tuesdays." Focus on getting your foot in the door in Finance. Then think...

eager_to_learn, you need to do some fundamental research on how these markets function. Andy Nguyen has assembled a weath of resources on this site. What areas are you interested in?

I've worked with several students from Karlsruhe and they were all excellent, including one who is now a senior risk manager at a major firm. I think quant trading is a fad and is likely to be severely restricted by regulation in the coming years. That said, I think that valuable insights may...

I've worked with many people educated in Germany and have been uniformly impressed. The question is why would you want to waste a fine engineering degree on something as pointless as finance?

That is not entirely true. US Treasury, FX and several other categories of trading are exempt from DF Title 6. Take a look at 619 very carefully. Davis Polk and several other law firms have done nice summaries of what's permitted and what's not.

You had better reconsider your choice of career. First, you're interviewer will have seen many candidates. It's usually pretty easy to spot those who are only interested in the money. Second, trading isn't what it used to be. It will be very hard to make big bucks trading at a financial...

1. Yes, but with many variations 2. There's a lot of material available on this. Google it.

Read about the linkers markets in Europe. There's a lot of material published by the big banks about instruments and trading strategies. The math is not complex. The institutions are complex. Read about pension funds while you're at it. They're a big piece of the picture.

That's hard to say. The is a fundamental shift taking place in the industry. Big banks are doing less and less due to regulatory restrictions. Many people have moved to the buy side. The dust hasn't settled.

It's not about complexity - all the packages mentioned above can do it. It's about plumbing and throughput. Truth be told, the analytical part simply isn't that difficult - it usually takes much more time to write out the results than it does to do the calculations. I think most big firms...

Operations, Risk Management, Portfolio Management, various industry utilities, to name a few.

It happens frequently.

I was doing corp fin type work and the stat degree helped me transition, but that was 20 years ago. I must say that it was the second smartest move I ever made (after getting married). I did it at night and my company at the time (Bankers Trust) paid for the degree. Best of all, I was able to...

Stop obsessing about becoming and MD. Worry about making it to Associate.

Movements in yields and yield spreads are usually (but not always) measured in basis points. That, however, is not necessarily indicative of any stationarity assumption. Rates can be normal (absolute changes gaussian) or log-normal (relative changes gaussian) or anything in-between. Think of...

This is very true. That said, I got to know a young woman through my college's alumni program who was also a music major and quite numerate. I recommended her to a few people for interviews and she's been with my firm for almost two years. People, however, are more likely to accept a career...

Maybe that's it. I'm ultimately of Polish descent. I was actually trying to think of a way to get them to invite me over for a guest lecture...;)

There are good opportunities within Europe. Morgan Stanley currently employs over 700 people in Budapest. Eastern Europe has great universities with many talented, technically skilled, English-speaking students. I've worked with these people. They are excellent and they provide real value.

I swear by my iPad, but it's not a PC substitute.

1. More QP than PDE stuff 2. I don't know 3. This is a much longer discussion. I'd ask the questions separately in the forum. Stat is used in risk a lot.

Your question is not naive at all. Right now, there are many people chasing few plum jobs. All firms are under cost cutting pressure. I'm afraid that many people who think that finance is the ticket to easy money will be very, very disappointed. Trading will be migrating increasingly to...

They ditched the MS program when the started the math finance edge at Courant. I was disappointed when they did so. Ironically, I teach in the NYU Courant program now.

I got an MS in Stat at NYU in 1994. It may be one of the smartest things I ever did.

Easy...

The standard texts are usually adequate. The problem with time series is that it isn't a spectator sport. You need live data and projects to make sens of it (IMO). Similar story with SQL.

Probability Inference Time Series SQL

No offense taken. I've done 7:30 AM - 6:30 PM for years. It's not unusual. Not that I haven't seen 9:00 PM or 10:00PM a few times - I have. I'm also on-call, 27/7. I've put a few weekend hours in and responded to late-night issues as well from home.

Talk to me in 30 years.

As an undergrad alumnus of one of those institutions in your "top 5" who has 2 NYU masters degrees and as a hiring manager at a big firm, I can tell you that no one considers NYU to be a step down.

Read this first to get background: http://www.occ.gov/news-issuances/bulletins/2011/bulletin-2011-12a.pdf

Talk to Joy Pathak, who frequents this forum. He's the world champion of job serach.

Take accounting. Take time series. Take economics.

I agree,mJoy. Theres a lot of value here. I've known Ellen since before many of those posting here were born (in deference to Ms. reeves, I won't say exactly how long. She is one of the best connected people I know and I can assure you she knows whence she speaks.

Garbade, "Fixed Income Analytics" Garbade, "Pricing Corporate Securities as Contingent Claims"

Harkkam, I think that's the wise choice and I'm glad you came to that conclusion yourself. I often say there are only 3 core skills in finance: understanding bond math, pricing an option, and understanding how cash flows through a company. Best to focus on one and take more courses as you need...

I can't speak to the application process. I teach at several programs, but I 'm not involved in the admitting process. I doubt they would have much impact, though. These programs a good ways to focus you attention on material that is useful for work. I certainly don't use them as a screen...

Ellen, as classes start and people get distracted by their academic responsibilities, how can they keep sharp for the interview process? Is there anything you'd recommend?

I believe that amanda.jayne has some well-formed thoughts here...

Several things: 1) Who says Joe Bank is bad? The salespeople are not nearly as attentive as those at BB, but I can assure you that their suits are worn by many senior people at major firms. 2) Brooks Brothers often sells suits for under $1000. They're having their summer sale right now (I just...

Ask Joy Pathak. He's the leading expert on internships.

You should ask this question in sci.stat.math in Google Groups. This kind of thing is frequently addressed there.

And do you really believe that we live in the best of all possible worlds?

HF traders are more likely to be quant-oriented. Most quants in sales and trading develop and manage models and the associated risk. In our current regulatory environment, there's much more of this required than you might think..

Most traders are not quants. Most quants are not traders.

Once again, I fond myself in violent agreement with Ms. Amanda.

The problem is that paper trading is always and everwhere COMPLETELY different from real trading. Think of it like the difference between playing Madden NFL Football 2012 and suiting up and going onto the field. Your loss tolerance when it's your own money is nothing like what it is on paper.

try Darrell Duffie, How Big Banks Fail and What to Do About It

Start here: http://fcic-static.law.stanford.edu/cdn_media/fcic-reports/fcic_final_report_full.pdf

Folks: I agree with MRoss here. You will get few opportunities like this one for free advice from a true expert.

I'd start with the fundamentals of equity quant trading strategies at http://www.sungard.com/apt/learnmore and Barra.

Vociferous? No. But I do have a slightly different take. Economics - any economics (mercantilism, neoclassical, socialist) - provide models of behavior. Those models may be crappy, but they're models nonetheless. I have found the study of economics to be an excellent framework for...

I encourage people to check out other material Morrison Foerster has on their website regarding Dodd-Frank. They have done some very good work. Also, take a look at the Davis Polk site and the material from the Congressional Research Service for a title-by-title review of DF.

Read the career guide that has been posted here and Joy Pathak's guide to internships.

Stick with UM. Name counts and accounting is more marketable. Take as much math as you can there and some programming if you can.

Well said. I agree. I often use it to summarize quickly and efficiently a system of equations.

Linear algebra is a must.

www.fcic.gov

Some do well. Others less so. The ones that do well tend to be the ones with a genuine interest in finance and/or economics, not the ones chasing the $. For too many, the business ends up being something to which they devote their waking hours in a passionless pursuit of earnings.

Where do you get 70 hours per week? While many junior investment bankers work those kinds of hours (not necessarily engaged in productive pursuits during that time), I have 29 years of empirical data at five firms that suggests that 50-60 is more realistic.

EBrand, I think Connor is providing some excellent wisdom here. Heed him.

I disagree with you, my friend. I've reviewed thousands of backtests over the last 20 years. There are some trading business for which VaR provided very reasonable backtests, even through the crisis. Also, between crisis periods, VaR has been a decent, if far from perfect, tool. It passes...

There are plenty of entry-level positions at or below this level, depending on the type and size of firm.

That's fine when you're in your 20s. Later on, your priorities change.

Live closer, have much less space, pay much more, have less peace and quiet.

Declaration of Independence: 1 page Magna Carta: 1 page Declaration of the Rights of Man: 1 page your resume: 1 page

Very few traders are quants. Very few quants are traders.

The FRM material might help you. Most risk courses teach the basics - not the technically-driven reg calculations like IRC and AMA.

What time series? I can't think of how this can be.

Both will introduce you to large bodies of knowledge. I encourage people to consider them after they have a job.

Operational Risk capital MC relies on frequency and severity estimates. VaR estimates can be built on gaussian copulae. Derivatives are prices using time series MC. Often, when doing a VaR Monte Carlo one will superimpose "events" on the gaussian outcomes. These can be poisson.

The most OR-oriented jobs I can imagine involving queueing and scheduling. Airlines, for example have many variables involved in their objective functions. Power companies have even more and work to similar standards (i.e. very, very low failure rates). Read about locational marginal pricing...

This is what's been published: http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20120313a1.pdf

Number 3 is most topical now, but you'll have a hard time getting companies to tell you what they actually do. You could explore GARCH-based approaches (Carol Alexander was looking at this a few years ago) as well as exponential decay techniques. A seasonal add-on might be interesting -...

From a practical (i.e. hiring manager) standpoint, there is no difference.

Yike Lu, there are opportunities and plenty of them, but there not where people expect or want them to be. This notion of people making big bucks "quant trading" - it's a pipe dream. Most traders aren't quants and most traders don't make a killing. For those that really want quant finance...

I'm likely to have some opinions on that...

It's a US bank. www.mofo.com/files/Uploads/Images/110707-Volcker-Rule.pdf

In that case, Steve Keen is simply a better, smarter, and undoubtedly better-looking human than I, who simply rely on simple, intuitive notions. I tremble before his awesomeness.

You use it all the time to provide intuition to the innumerate. It's certainly the way I learned this stuff.

Y = [(C + I + G) + (X - M)] and MR = MC Become one with those.

Disagree. That's like saying that English isn't about literature, it's about grammar and syntax. That's technically true, but without context it's much less meaningful. You can learn all about OLS and GLS, but yo really need to understand how those tools have been used to be effective.

LAN Chile has a flight that leaves SCL @ 20:50, arrives JFK 07:40. Just sayin'...

Exactly. This is a perfect example of "quant corporate finance." The challenge I think, however, is that people arrely recruit for these positions. The people that get them happen to be in the right place at the right time, yes?

Andy, I'd have a hard time distinguishing between an undergrad and an MS student if neither had experience. It's easy to imagine both having similar exposure to math, statistics, programming, and finance concepts. As far as risk management is concerned, experience makes a big difference. As...

Sorry, Minsuk Chang, I'm with Joe Ross on this one. You'd be surprised at the extent to which this site is monitored. I know for a fact that Carla is well aware of this site, having discussed it with her

It used to be said that with undergrads, you got 90% of the skills with half the attitude at half the price. That's a bit hyperbolic, but a) there is an oversupply of MS in finance people, b) knowing how to solve a PDE is of very limited use in most areas of finance and c) experience is the...

Many quant finance students know a lot about PDEs, but very little about the fundamentals of bond pricing. I even had one draw a price/yield line concave wrt the origin. take the actuarial path. It's a safer bet.

MSMF in addition to MS in Stats seem like overkill. You'd be better off getting some experience instead. Now is the worst time to be expecting program admins to be responsive. Wait a few days for the admissions crunch to be over with and try again.

I've seen references to degree programs in Singapore, but haven't come across any candidates in my travels. What can anyone tell me about these programs?

Amit Gupta, they're teasing you. Vikram Pandit is the Chairman of Citi. It's unlikely you'll be able to get in touch with him. You'll need to job hunt the old-fashioned way, with cold calls and cover letters. Contact Joy Pathak to ask about networking. He's the champ in that arena.

Any good corporate finance text will suffice.

The risk team at my firm is several times the size it was a few years ago. Experience trumps graduate study, every time. I tell people it's always better to go to graduate school after getting experience. You'll find your motivation to be much, much different. I had the good fortune of...

Statistics worked for me. Although (full disclosure) I'm pretty far from being a real quant. On a really, really good day when I'm thinking very clearly, I might generously be considered a 4th or 5th rate quant.

I agree. If you're a very good student, get an education first. Learn a trade later. If your education is good, learning a trade won't be that hard (provided, of course that you take some preparatory courses, like those in math). Also: be forewarned. Quant Finance programs in 2012 (notice...

The quants I know in corp fin are typically deal guys with PhDs in the sciences. Think tech venture cap. I suppose you could also make an argument for some aspects of structuring wrt WACC, etc.

I'm afraid I've got some bad, bad news for you - it's 29 years later and I STILL do grunt work. Even my boss, one of the most senior guys in my firm, just asked me to send him a file with 10,000 lines of data so he could work on it.

GARCH is often used to proxy implied vol time series where they don't exist or are of poor quality.