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Model validation vs market risk

holbond

Active Member
Hi guys,
I am a recent MFE graduate. I started as a model validation analyst in big4. I validated so far retail models for an investment bank for ccar submission. Mostly regression models. I recently got a job offer from an invesetment bank as market risk associate. Involves CVA calculations , crd4, cva volatility charge,stress testing for Basel iii. I m not sure if I should stay in my current role or should take up the cva role or try for a new one ? I am planning to move to FO in the near future. Which way is it easier to break to FO? Also I do part time trading with options on my own. Please help me here.
 
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pingu

Well-Known Member
Hi guys,
I am a recent MFE graduate. I started as a model validation analyst in big4. I validated so far retail models for an investment bank for ccar submission. Mostly regression models. I recently got a job offer from an invesetment bank as market risk associate. Involves CVA calculations , crd4, cva volatility charge,stress testing for Basel iii. I m not sure if I should stay in my current role or should take up the cva role or try for a new one ? I am planning to move to FO in the near future. Which way is it easier to break to FO? Also I do part time trading with options on my own. Please help me here.
if you want to keep doing your options on the side, don't take the job. Most big banks prohibit trading options (maybe covered calls). You will have to pre-clear all your trades and there is usually a holding period (30 days is the norm).
 

holbond

Active Member
if you want to keep doing your options on the side, don't take the job. Most big banks prohibit trading options (maybe covered calls). You will have to pre-clear all your trades and there is usually a holding period (30 days is the norm).
I told the interviewer I do option trading as a hobby. He did not say anything like u cannot do trading here etc. Even if they prohibit trading I can trade in my friend's account. I hope they are OK with this atleast
 

alain

Older and Wiser
I told the interviewer I do option trading as a hobby. He did not say anything like u cannot do trading here etc. Even if they prohibit trading I can trade in my friend's account. I hope they are OK with this atleast
Trading on your friend's account might be at unethical or illegal. You might be playing with fire. You will be breaking all sorts of compliance rules but it might depend on the bank. I might be wrong but I will be surprised if any of the big american banks will allow you to do this.
 
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Varun Dubey

Active Member
I told the interviewer I do option trading as a hobby. He did not say anything like u cannot do trading here etc. Even if they prohibit trading I can trade in my friend's account. I hope they are OK with this atleast
Illegal. (friend, wife, mother, father, dog... NOPE)
 

pingu

Well-Known Member
I disagree. The market risk role could be leveraged into many different areas.
I was referring to the trading. You can leverage the market risk role to the front office but forget about trading on the side without holding periods, pre-clearance, compliance, etc.
 

meadow

New Member
You might have more mobility in a bank (due to networking) than in one of the firms in the Big4. I know of someone who used to work in Model Validation in one of the Big4 and eventually moved on to become a manager at a bank for Model Validation. Meanwhile, I've heard of another person moving from Model Validation to Market Risk.

I'm not sure how easy it would be to break into FO jobs as both Model Validation and more generally Risk (including Market Risk) are the fastest-growing areas of of banks. Therefore, they are keen on retention (which can be difficult in model validation). Nevertheless, Market Risk is closer to the markets, while Model Validation is really far removed. Although you get exposure to a broad range of models in Model Validation I don't think you would be able to gain specialized knowledge to develop models.

Based on this, if I were in your position I would definitely take the Market Risk position.
 
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holbond

Active Member
Thank you guys for your replies :) I think l take the role. I l figure out a way for the trading thing :P
 
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