Quantitative Risk Management

[Angel BJ]

Hi all,

It seems that most MFE graduate work as quant/trader after graduation. I am curious about the work of quantitative risk analyst. Would you please introduce me some information about quantitative risk management? What do they do everyday? Do the work involve with financial modeling heavily?

Thank you for spending time in answering my questions.

 

[Ken Abbott]

Most risk people fall on the time series/econometrics side of their great quant PDE/econometrics divide. Most pricing analysis involved model sensitivities to different inputs. Stress testing is a big focus as well.

Another major focus is quant stuff associated with reg requirements. Think couplae, Merton-type analyses, expected shortfall, etc.

The only exception is for model review people, who might look at pricing models and would thus focus on PDEs.

 

[zyz]

Sell side vs Buy side.

On the sell side day to day tasks of the quantitative risk managers hugely depends on the covered products, such as FX, Fixed Income, Equities, and derivatives on these instruments. They are expected to utilize various analysis tools (VBA, R, Matlab, C++, Java etc.) in identifying, measuring, hedging, and subsequent monitoring of the risks.

On the other hand, most AM/HF do not usually have desk specific risk analysts (I might be wrong here due to limited sample size as an input) and a team of risk analysts perform the risk management. They usually do lots of portfolio simulations, performance analysis, cross-asset correlation, develop hedging strategies etc.

You can just google Quant Risk positions and see the requirements. Also, check out Quant Risk analyst profiles in linkedin.

 

[Dave Lee]

do I need to get a FRM to start a career in quant risk

 

[Ken Abbott]

do I need to get a FRM to start a career in quant risk

No It would be. A waste of time before you have any institutional context.

 

[Chao Liu]

so what is the value of FRM for quants?

No It would be. A waste of time before you have any institutional context.

 

[Ken Abbott]

so what is the value of FRM for quants?

Once you're working, the material upon which it is based provides an excellent framework for understanding the technical, institutional, and regulatory structures in which we work.

If you do it without any work experience, I'd see it as a waste of time.