Dr. Peter Carr works at Bloomberg L.P as the head of Quantitative Research and in 2003 was selected as Risk Magazine's prestigious Quant of the Year. He also directs the Masters in Mathematical Finance program at NYU's Courant Institute. QuantNetwork sits down with him on the eve of '08 Christmas as Wall Street is experiencing its biggest crisis in generations. Dr. Carr shares with us his thoughts on the current challenges and the future of quantitative finance.
Can you give us a brief bio?
Sort of - If you buy the book How I Became a Quant: Insights from 25 of Wall Street's Elite, you'll see that my bio is the briefest of the 25 covered.
What do you consider as your biggest accomplishments up to this point?
I honestly think I put together the strongest, most cohesive, quant group under the sun. I have no clue how.
What other projects and/or ventures are you involved in?
My biggest project is keeping my sanity, while others are busy losing their's
What would you want to do for a living if you weren't a researcher?
I don't know - let me research that.
Describe your typical workday schedule.
I do my research in the mornings, then walk my 7 year old daughter to school. At work, I have to confess that I mainly answer emails and attend meetings. I think the rout in financials is due to the belated realization that no one in finance really does any real work any more.
Which part of your job that you find most satisfying? Teaching or research?
I only teach about 10 nights a year. I like it, but research is more satisfying. Nothing beats wrapping your mind around a big problem..
What are the main factors that contribute to your successful career?
I've been lucky to collaborate with some of the best minds in the business.
What skills you believe are essential to being a successful financial engineer?
I think its being able to assimilate some deep ideas into the core of your being. One can reap financial rewards from a superficial understanding, but the real rewards lie deeper.
Given current market headlines, is demand for quants increasing, decreasing, or remaining the same? Are certain quantitative skill sets becoming more valuable?
Quantitative analysis is a tool that is still in short supply. For the first time, some of our students will actually have to graduate before they have a job. The ones who can figure out how to apply quantitative methods in the current environment won't have to look for very long.
If you were asked to design a curriculum for MS program in Financial Engineering which core courses would you pick?
As it happens, I have been asked to do this and the answers are on NYU Courant's website.
How do you think quantitative finance programs will evolve over the next decade?
Historically, quant finance program were geared to the sell side. At Courant, we've been adding courses geared to the buy side and I expect this trend to continue. We should also consider courses aimed at regulators like How to Spot a $50B Ponzi Scheme
What is your view on the combined MBA-MFE degree that many programs now offer?
It seems like the ideal comeback to the recent charge that quants don't know enough economics and finance.
What will be the next breakthrough in quantitative finance? Will we see any innovation that has the same impact as Black-Scholes in the near future?
This crisis forces pros to confront the cons in Black Scholes i.e. continuous trading and continuous sample paths. Obviously, illiquidity and counterparty credit risk will also receive more attention. I do think an innovation that addresses these issues is around the corner.
New York City has been the financial capital of the world for quite sometime. The City and many newer financial centers in the East have worked hard to overtake the lead. What needs to happen to maintain our competitive edge?
I know that the mayor and his advisors have given this issue a great deal of thought. They recognize that education has a major role in sustaining our financial edge. Next year, they need to be given the time to put their plans into action. So I guess you know how I plan to vote.
Where do NYC-based quantitative finance programs play a role in this?
I think NYC has the strongest quantitative finance programs in the world. Their strength emanates from the substantial investment in time and effort that many working professionals presently devote to these programs. As the pressures from work increase, mechanisms for preserving this precious commitment need to be enacted by far-sighted leaders.
Since late 2007, the global financial industry as a whole has gone through some tremendous changes. Many critics have denounced quants and their mathematical models as part of the problem. What is your respond to that?
I think it was the lack of quantitative training that was the major impetus for the crisis. Naïve borrowers were unable to assess both the lunacy of housing prices and their ability to finance the purchase. In contrast, I don't know of any quant that has lost heir house, even though many have lost their jobs .
Since the crisis, it's increasingly difficult for graduates of MFE programs to obtain internship and job. What is your advice to them?
There are plenty of jobs for quants in unfamiliar places and industries. The same drive that leads these students to obtain degrees will ultimately lead to satisfying jobs.
What do you know now that you wish you'd known 10 years ago?
Today SPX closed at 861.65. I do wish I knew that 10 years ago.
Tell us something about yourself that we don't already know.
I've already written my own epitaph:
More a jump process than a Brownian motion I suspect.
Thank you for your time, Dr. Carr. On behalf of QuantNetwork members, we wish you and family a holidays season full of blessings. We hope the new year will bring to our quantitative finance field many positive changes - change we can believe in.
See also
Can you give us a brief bio?
Sort of - If you buy the book How I Became a Quant: Insights from 25 of Wall Street's Elite, you'll see that my bio is the briefest of the 25 covered.
What do you consider as your biggest accomplishments up to this point?
I honestly think I put together the strongest, most cohesive, quant group under the sun. I have no clue how.
What other projects and/or ventures are you involved in?
My biggest project is keeping my sanity, while others are busy losing their's
What would you want to do for a living if you weren't a researcher?
I don't know - let me research that.
Describe your typical workday schedule.
I do my research in the mornings, then walk my 7 year old daughter to school. At work, I have to confess that I mainly answer emails and attend meetings. I think the rout in financials is due to the belated realization that no one in finance really does any real work any more.
Which part of your job that you find most satisfying? Teaching or research?
I only teach about 10 nights a year. I like it, but research is more satisfying. Nothing beats wrapping your mind around a big problem..
What are the main factors that contribute to your successful career?
I've been lucky to collaborate with some of the best minds in the business.
What skills you believe are essential to being a successful financial engineer?
I think its being able to assimilate some deep ideas into the core of your being. One can reap financial rewards from a superficial understanding, but the real rewards lie deeper.
Given current market headlines, is demand for quants increasing, decreasing, or remaining the same? Are certain quantitative skill sets becoming more valuable?
Quantitative analysis is a tool that is still in short supply. For the first time, some of our students will actually have to graduate before they have a job. The ones who can figure out how to apply quantitative methods in the current environment won't have to look for very long.
If you were asked to design a curriculum for MS program in Financial Engineering which core courses would you pick?
As it happens, I have been asked to do this and the answers are on NYU Courant's website.
How do you think quantitative finance programs will evolve over the next decade?
Historically, quant finance program were geared to the sell side. At Courant, we've been adding courses geared to the buy side and I expect this trend to continue. We should also consider courses aimed at regulators like How to Spot a $50B Ponzi Scheme
What is your view on the combined MBA-MFE degree that many programs now offer?
It seems like the ideal comeback to the recent charge that quants don't know enough economics and finance.
What will be the next breakthrough in quantitative finance? Will we see any innovation that has the same impact as Black-Scholes in the near future?
This crisis forces pros to confront the cons in Black Scholes i.e. continuous trading and continuous sample paths. Obviously, illiquidity and counterparty credit risk will also receive more attention. I do think an innovation that addresses these issues is around the corner.
New York City has been the financial capital of the world for quite sometime. The City and many newer financial centers in the East have worked hard to overtake the lead. What needs to happen to maintain our competitive edge?
I know that the mayor and his advisors have given this issue a great deal of thought. They recognize that education has a major role in sustaining our financial edge. Next year, they need to be given the time to put their plans into action. So I guess you know how I plan to vote.
Where do NYC-based quantitative finance programs play a role in this?
I think NYC has the strongest quantitative finance programs in the world. Their strength emanates from the substantial investment in time and effort that many working professionals presently devote to these programs. As the pressures from work increase, mechanisms for preserving this precious commitment need to be enacted by far-sighted leaders.
Since late 2007, the global financial industry as a whole has gone through some tremendous changes. Many critics have denounced quants and their mathematical models as part of the problem. What is your respond to that?
I think it was the lack of quantitative training that was the major impetus for the crisis. Naïve borrowers were unable to assess both the lunacy of housing prices and their ability to finance the purchase. In contrast, I don't know of any quant that has lost heir house, even though many have lost their jobs .
Since the crisis, it's increasingly difficult for graduates of MFE programs to obtain internship and job. What is your advice to them?
There are plenty of jobs for quants in unfamiliar places and industries. The same drive that leads these students to obtain degrees will ultimately lead to satisfying jobs.
What do you know now that you wish you'd known 10 years ago?
Today SPX closed at 861.65. I do wish I knew that 10 years ago.
Tell us something about yourself that we don't already know.
I've already written my own epitaph:
What does the future hold for Peter Carr?I'm sorry but I'm not able to answer your email right now. I will respond to your email as soon as I am resurrected from this grave
More a jump process than a Brownian motion I suspect.
Thank you for your time, Dr. Carr. On behalf of QuantNetwork members, we wish you and family a holidays season full of blessings. We hope the new year will bring to our quantitative finance field many positive changes - change we can believe in.
See also
