Seeking Advice For Jobs In Finance Sector

Originally Posted by Unregistered

Glad to hear that, my background is R&D digital signal processing with masters from NUS-MIT alliance. I just finish reading the Stochastic Calculus for Finance book by Steven E. Shreve, a bit like quantum mechanics of mathematics which I studied for physics. I find it pretty easy for me - with my DSP knowledge, I can easily use fast-fourier transform to solve some excerise in the book.
My friend, a trader, is trying to arrange a job in a bank for me, but it is put on hold as there is no headcount. Not sure what the job entails but something to price and risk manage some counterparty otc contracts, but my friend jokingly says if I can smoke and talk cock very well e.g. prove that black-scholes equation wrong, I will get the job immediately.

Hate to break it to you, when I meant financial modeling, I’m not talking about stuff like Black Scholes, that’s just a simple calculator that any junior accountant can whack just by grabbing a few key assumptions from Bloomberg.

While I don’t have direct experience in modeling, the few I have examples I have seen constructed are very complicated and requires not only mathematical and programming skills, but also a deep understanding of the principles behind the bank’s assessment of VAR as well as compliance to the usual Basel stuff.

A lot of risk management guys are fully qualified actuaries and actuarial certification itself on average takes about 7 years to complete if you are studying while working. Deep stuff I wouldn’t want to go to. It is definitely not something you can smoke your way out with rudimentary Finance knowledge and throwing out a few sexy key words.

PS: All above refers to the "real" risk management job that pays the "real" money, normal BO jops under the risk department that are more tracking, reporting and compliance in nature is of course far easier to get.

Hi QXP,

Thanks for the insight, seems you really know risk management jobs well. I am in engineering and currently interviewing for a role in risk management, this is the description the recruiter agent sent me:

- Manual Adjustment Reviews: Assist in monthly review of adjustments including P&L and balance sheet substantiation with various PC areas

- Key Risk indicators: Prepare / Consolidate key risk reports

- Assess, monitor and track outstanding issues and action plans from audit reviews, control incidents, and other internal control reviews

- Site Review: Conduct site control reviews, identify control gaps, escalate and report on findings to management

- Risk and Control Assessments / SOX

- Control Pack: Assist in producing monthly PC control packages to highlight control / performance issues and solutions to management

- Balance Sheet review: Review, Coordinate, facilitate and report on findings by working with PCs to substantiate the balance sheet

- Remediation of control gaps / process re-engineering: Work with Product Controllers to develop solution and remediation to control gap identified

Base on your opinion will this be a real risk management job? I am hoping my technical and numerical skills can be put to good use and of course make more money in the process.

Thanks

Originally Posted by QXP

Hate to break it to you, when I meant financial modeling, I’m not talking about stuff like Black Scholes, that’s just a simple calculator that any junior accountant can whack just by grabbing a few key assumptions from Bloomberg.

While I don’t have direct experience in modeling, the few I have examples I have seen constructed are very complicated and requires not only mathematical and programming skills, but also a deep understanding of the principles behind the bank’s assessment of VAR as well as compliance to the usual Basel stuff.

A lot of risk management guys are fully qualified actuaries and actuarial certification itself on average takes about 7 years to complete if you are studying while working. Deep stuff I wouldn’t want to go to. It is definitely not something you can smoke your way out with rudimentary Finance knowledge and throwing out a few sexy key words.

PS: All above refers to the "real" risk management job that pays the "real" money, normal BO jops under the risk department that are more tracking, reporting and compliance in nature is of course far easier to get.

Originally Posted by QXP

Hate to break it to you, when I meant financial modeling, I’m not talking about stuff like Black Scholes, that’s just a simple calculator that any junior accountant can whack just by grabbing a few key assumptions from Bloomberg.

While I don’t have direct experience in modeling, the few I have examples I have seen constructed are very complicated and requires not only mathematical and programming skills, but also a deep understanding of the principles behind the bank’s assessment of VAR as well as compliance to the usual Basel stuff.

A lot of risk management guys are fully qualified actuaries and actuarial certification itself on average takes about 7 years to complete if you are studying while working. Deep stuff I wouldn’t want to go to. It is definitely not something you can smoke your way out with rudimentary Finance knowledge and throwing out a few sexy key words.

PS: All above refers to the "real" risk management job that pays the "real" money, normal BO jops under the risk department that are more tracking, reporting and compliance in nature is of course far easier to get.

Yeah, i live in ivory tower, know nuts about finance until i read abt stochastic mathematics book. Do you know counterparty valuation adjustment desk a good place to start risk management career? Need to price and risk manage correlation trades against retained credits risk in the bank? I derive some numerical methods for some these contracts, which my friend says my price is off by 100bps, and will be arb by goldman sachs, haha, so need to fine-tune my modelling with further price-vol relationship or need to consider 3 factor model(with more stochastic variables added?) when i have chance to log into nus shared bloomberg terminal. Hoping to get the role as heard some guys at vp level there getting 240k base, a jump from current digital signal processing job in lab.

Originally Posted by jonny

Hi QXP,

Thanks for the insight, seems you really know risk management jobs well. I am in engineering and currently interviewing for a role in risk management, this is the description the recruiter agent sent me:

- Manual Adjustment Reviews: Assist in monthly review of adjustments including P&L and balance sheet substantiation with various PC areas

- Key Risk indicators: Prepare / Consolidate key risk reports

- Assess, monitor and track outstanding issues and action plans from audit reviews, control incidents, and other internal control reviews

- Site Review: Conduct site control reviews, identify control gaps, escalate and report on findings to management

- Risk and Control Assessments / SOX

- Control Pack: Assist in producing monthly PC control packages to highlight control / performance issues and solutions to management

- Balance Sheet review: Review, Coordinate, facilitate and report on findings by working with PCs to substantiate the balance sheet

- Remediation of control gaps / process re-engineering: Work with Product Controllers to develop solution and remediation to control gap identified

Base on your opinion will this be a real risk management job? I am hoping my technical and numerical skills can be put to good use and of course make more money in the process.

Thanks

What you have here is a very typical reporting & compliance ops job in the risk department. From the description, it’s probably a junior VP role that supports a risk & compliance business partner supporting a particular business in the bank.

It’s a common enough BO job that pays decently compared to similar corporate functions in other companies, but one thing for certain is don’t kid yourself that you will be putting your engineering skills to good use doing complex financial modeling, taking part in committees to formulate risk policies or liaising with the FO guys.

At the end of the day, it's a straight forward and typical corporate support role just like IT, HR, Marketing etc.

[Anonymous]

Originally Posted by Unregistered

Glad to hear that, my background is R&D digital signal processing with masters from NUS-MIT alliance. I just finish reading the Stochastic Calculus for Finance book by Steven E. Shreve, a bit like quantum mechanics of mathematics which I studied for physics. I find it pretty easy for me - with my DSP knowledge, I can easily use fast-fourier transform to solve some excerise in the book.
My friend, a trader, is trying to arrange a job in a bank for me, but it is put on hold as there is no headcount. Not sure what the job entails but something to price and risk manage some counterparty otc contracts, but my friend jokingly says if I can smoke and talk cock very well e.g. prove that black-scholes equation wrong, I will get the job immediately.

Haha hey did you read Book 2 (continuous stochastic modelling) or book 1? book 1 is baby stuff btw.

[Anonymous]

Originally Posted by QXP

Hate to break it to you, when I meant financial modeling, I’m not talking about stuff like Black Scholes, that’s just a simple calculator that any junior accountant can whack just by grabbing a few key assumptions from Bloomberg.

While I don’t have direct experience in modeling, the few I have examples I have seen constructed are very complicated and requires not only mathematical and programming skills, but also a deep understanding of the principles behind the bank’s assessment of VAR as well as compliance to the usual Basel stuff.

A lot of risk management guys are fully qualified actuaries and actuarial certification itself on average takes about 7 years to complete if you are studying while working. Deep stuff I wouldn’t want to go to. It is definitely not something you can smoke your way out with rudimentary Finance knowledge and throwing out a few sexy key words.

PS: All above refers to the "real" risk management job that pays the "real" money, normal BO jops under the risk department that are more tracking, reporting and compliance in nature is of course far easier to get.

Hmm... my friend who is working on his actuarial certification told me stochastic calculus (continuous) is more difficult.

Originally Posted by Anonymous

Haha hey did you read Book 2 (continuous stochastic modelling) or book 1? book 1 is baby stuff btw.

i read the book 2 continuous stochastic modelling - for a engineer/scientist, it seems so intuitive to think asset prices as a stochastic variable - just like white noise with added drift in my DSP processing... well honestly it quite heavy stuff to me towards the end when it talks abt the fwd libor model - and also trying to extend it to american expiry pricing with poisson jump process for credit event - seems eventually a numerical method is required mm... a bit blur not sure how to solve real finance problem given by my friend.... hehe

anyway, i think i still lack market knowledge especially on the implied vol stochastic modelling.. it seems quite to voodoo science to me, prob might be some serious money making strategies for hedge funds i guess...

Well bloomberg machine not within my 200m radius doesnt help

[Anonymous]

Originally Posted by Unregistered

i read the book 2 continuous stochastic modelling - for a engineer/scientist, it seems so intuitive to think asset prices as a stochastic variable - just like white noise with added drift in my DSP processing... well honestly it quite heavy stuff to me towards the end when it talks abt the fwd libor model - and also trying to extend it to american expiry pricing with poisson jump process for credit event - seems eventually a numerical method is required mm... a bit blur not sure how to solve real finance problem given by my friend.... hehe

anyway, i think i still lack market knowledge especially on the implied vol stochastic modelling.. it seems quite to voodoo science to me, prob might be some serious money making strategies for hedge funds i guess...

Well bloomberg machine not within my 200m radius doesnt help

forward libor - use change of numeraire. jumps are too complicated to solve analytically without making ridiculous assumptions so probably numerical.

During interview they said it’s a strategic role where I am required to engage numerous senior stakeholders and influence them on key business decisions.

Interviewer told me they require someone technically very strong with innovative thinking, that’s why willing to consider people outside of banking.

Now you say until like that, really sian 50%.

Originally Posted by QXP

What you have here is a very typical reporting & compliance ops job in the risk department. From the description, it’s probably a junior VP role that supports a risk & compliance business partner supporting a particular business in the bank.

It’s a common enough BO job that pays decently compared to similar corporate functions in other companies, but one thing for certain is don’t kid yourself that you will be putting your engineering skills to good use doing complex financial modeling, taking part in committees to formulate risk policies or liaising with the FO guys.

At the end of the day, it's a straight forward and typical corporate support role just like IT, HR, Marketing etc.

Originally Posted by Unregistered

i read the book 2 continuous stochastic modelling - for a engineer/scientist, it seems so intuitive to think asset prices as a stochastic variable - just like white noise with added drift in my DSP processing... well honestly it quite heavy stuff to me towards the end when it talks abt the fwd libor model - and also trying to extend it to american expiry pricing with poisson jump process for credit event - seems eventually a numerical method is required mm... a bit blur not sure how to solve real finance problem given by my friend.... hehe

anyway, i think i still lack market knowledge especially on the implied vol stochastic modelling.. it seems quite to voodoo science to me, prob might be some serious money making strategies for hedge funds i guess...

Well bloomberg machine not within my 200m radius doesnt help

There are few roles in singapore for your caliber as all top tier banks run credit portfolio desk in london or ny, there are no local banks who are actively managing cva risk, not even stan char i think, suggest u seek employment in london

Based on your profile, you might try to join algorithmic hedge funds, met few guys with similar background running their own shop after a stint in renassiance tech hedge fund. Your karman filter will come in useful for alpha generation, and potentially more lucrative.