- Joined
- 7/22/13
- Messages
- 43
- Points
- 18
Hi,
I am writing to listen to the pros and cons of credit risk modelling and structured finance.
I currently have a quantitative role in the former field above for developing risk models (e.g. PD, LGD, EAD) in an advisory firm and am considering the transition in the structured finance department as I am seeking a role closer to the markets.
My understanding is that working in structured finance is strongly related with pricing models (e.g. bond pricing models) along with the assessment of the prevailing macro-economic conditions and stress testing of the risk drivers of structured products. As I still want to have a technical role, I see that this field combines a bunch of technical aspects (e.g. pricing after considering the appropriate discount margin, MC simulation to estimate expected losses of the tranches thus the bond investors return) and also offers the chance to work on deals of different nature depending on the type of collateral.
On the other hand, I am happy with the technical part of my job but I always preferred a role closer to the market; the transition to structured finance is more doable in my case than moving to a quant role in pricing models. I see that structured finance is a field in which I can apply the knowledge acquired via the development of risk models and expand on the instrument pricing. Moreover, I believe that the experience to be gained will increase my chances to get a job in the buy side of the market after a couple of years.
Just spoke out my mind and I am willing to listen to your thoughts.
Any advice is welcome.
Thanks in advance.
I am writing to listen to the pros and cons of credit risk modelling and structured finance.
I currently have a quantitative role in the former field above for developing risk models (e.g. PD, LGD, EAD) in an advisory firm and am considering the transition in the structured finance department as I am seeking a role closer to the markets.
My understanding is that working in structured finance is strongly related with pricing models (e.g. bond pricing models) along with the assessment of the prevailing macro-economic conditions and stress testing of the risk drivers of structured products. As I still want to have a technical role, I see that this field combines a bunch of technical aspects (e.g. pricing after considering the appropriate discount margin, MC simulation to estimate expected losses of the tranches thus the bond investors return) and also offers the chance to work on deals of different nature depending on the type of collateral.
On the other hand, I am happy with the technical part of my job but I always preferred a role closer to the market; the transition to structured finance is more doable in my case than moving to a quant role in pricing models. I see that structured finance is a field in which I can apply the knowledge acquired via the development of risk models and expand on the instrument pricing. Moreover, I believe that the experience to be gained will increase my chances to get a job in the buy side of the market after a couple of years.
Just spoke out my mind and I am willing to listen to your thoughts.
Any advice is welcome.
Thanks in advance.
