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Peerless


Total Posts: 111
Joined: Aug 2012
 
Posted: 2021-01-15 15:48
Hello everyone,

I have a couple of questions and apologise for the wall of text.

About me
Education:
Bachelor in Law, Bachelor in Business Management, and Masters in Statistics (with focus
on Machine Learning and Quant Finance), all from a Belgian university and cum laude
except for the Ba in Law (just pass).

Experience:
I have been mostly a 'quantish' market risk guy for a big4 for 4/5 years. Then, I spent two
years as a contractor at the French-Belgian Lehman equivalent [FBL] as direct report to
head of market risk until I could not do it anymore for fiscal/personal reasons.

I was repeatedly offered by the FBL to be head of a market risk team that comprises about
15 people today and have always been a top performer during my time at a big4.

I consider myself quantish but not a quant because it never felt that what I have been doing
was that advanced (e.g. pricing of vanilla products, developed parametric SVaR model and
Market Risk Stress Test Framework, FRTB, CVA for mostly IRS, and FRTB-CVA BA & SA).
The lack of use of my quantitative skills has certainly made me less quantitative over time
than I was out of university.

I have also cofounded a bootstrapped b2b tech saas late 2019 where I oversee the non-
technical side. It is structured so that the cofounders do not have to be involved in daily
operations. It is profitable but it will be probably stagnate or die because of issues with the
CTO.

Skills:
I can code proficiently in python (but need more practice with pandas/numpy/scipy) and VBA.
I am familiar with (My)SQL(ilte), R and have exposure to C# and C++. I code as a hobby and
use Vim, Git(hub), and Linux command line on daily basis and have read a couple of text books.
Allegedly, my "hidden" talents are that I am very effective and that I can think creatively and
critically. Unfortunately, this hidden talents are hard to convey during interviews. Another one
that has been less helpful professionally is that I have a good financial culture (gathered from
books mostly or the breadth of experience during my time as a consultant).

My situation:
I have been out of work since end of March 2020 (end of my contract). I wanted to take time off
to do things that I had been postponing but have been opened to opportunities that could interest
me. Since last November, I have decided to look more actively at roles because it gets tiring
to be stuck at home all-day without a chance to talk different people and also because I miss finance.
Therefore, I have applied to a number of roles that I found interesting (mostly XVA "trading") and never
got an interview even when I was willing to go the junior route (read earn much less than what I was
earning before).
I have to turn you people because my professional network in the UK is very limited and almost non-
existing in the quant space.

My questions:
1. Does it become an issue at some point that I have been, though voluntarily, without a job?

2. Should I mention the tech-company on my CV?

3. Job-wise I am interested in roles that are somehow quantitative, involve coding, and finance. However,
I would not like to work as a model validator or quant that does pricing or consultant. Yet, I am trying to be
open minded and would appreciate if you could suggest roles that I should look into and where you think I
have a chance of at least getting an interview.

4. I wonder if doing a MSc in Data Science & Machine Learning from Imperial College (provided that I am
accepted) makes sense. With that, I'd hope to reintegrate finance in a role closer to markets and that
involves some maths and coding.
4.a) Would that be a sensible path?
4.b) If so, should I then apply as a graduate or an experienced professional? Would my past experience be
considered detrimental?
4.c) Also, what are you thoughts wrt online certifications in data science vs a MSc vs PhD?

5) Any additional constructive suggestions and feedback would appreciated.


Many thanks for reading.
















silverside


Total Posts: 1440
Joined: Jun 2004
 
Posted: 2021-01-15 17:50
You seem to be ruling yourself out of a large % of the job market when you say "3. Job-wise I am interested in roles that are somehow quantitative, involve coding, and finance. However,
I would not like to work as a model validator or quant that does pricing or consultant."

otherwise I could think of a half dozen companies in my city that would probably call you for interview

I've no constructive advice except to suggest that working on your network (linkedIn, local PRM / CFA chapter, talking to recruiters) would be worthwhile not just for contacts but also to broaden your horizons in terms of the sort of roles that may be possible.

deeds


Total Posts: 514
Joined: Dec 2008
 
Posted: 2021-01-15 20:47

Hi @silverside,

are you saying that there is observable hiring for a rap sheet like Peerless'?

silverside


Total Posts: 1440
Joined: Jun 2004
 
Posted: 2021-01-16 20:51
@deeds - in general terms, yes
(although best to speak to a recruiter to confirm) -

with Brexit, some big banks are moving model validation / middle office risk roles here. Then you have big 4 consultancies and software providers, as well as some of the large US hedge funds.

Not all of these roles would be as technical as some might want but there are definitely opportunities.


deeds


Total Posts: 514
Joined: Dec 2008
 
Posted: 2021-01-17 09:34
thanks for the color

nikol


Total Posts: 1352
Joined: Jun 2005
 
Posted: 2021-01-17 11:37
@Peerless

Important how do you spend your free time. As risk man you have to stay relevant, because:

YourRelevance ~ 1/Period without job

CBs and Market regulators continuously issue papers and recommendations, so you have to know what is currently important for banks and be ready to deliver smart opinion at the interview. Also quant market moves. Adopt.

Risk Quant positions get replaced by Risk Data Scientists.

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

Peerless


Total Posts: 111
Joined: Aug 2012
 
Posted: 2021-01-17 15:06
@silverside
Thank you for the replies and your time.

Wrt "I would not like to work as a model validator or quant that does pricing
or consultant.
", if you care for me to explain:
- Model validation: My issue with is that it seems too theoretical. Therefore, I
assume I would probably not be good at it because I am rather wired to do things
than criticise things done be others.
- Consulting: My experience (including when I have interviewed for some boutique
quant firms) has been that almost everyone (very rare exceptions) is not that
competent (and so, across many dimensions) or not more knowledgeable than me
when it comes to quantish finance. Therefore, I'd be ending working mostly by
myself like before and not learning much because most of the work is mundane
when higher management is not that good.
- Pricing quant: First, I do not think my maths skills are that good (in France
I was sitting with the pricing quants so I have pretty good idea of the level).
Second, when I have applied for roles where I think actually know the topic
(such as XVA pricing) I was quickly rejected. So it's both a mix of I do not
think I would be taken/make it to interviews and that I am qualified.

Wrt "large US hedge funds" and "software providers", what would be the titles I
should be looking at? "Quantitative risk analyst"?

I'll definitely try to have a better views from recruiters for roles that could
potentially interest me. If anyone has any recommendation of good recruiters in
London, it would be appreciated.

@nikol
Thanks for your thoughts and time.

What's the unit of period without a job? :)
My free time has been a mixed of coding, maths (not high level stuff - I just
want to refresh my memory), and a bit of reading financial textbooks (e.g. XVA
by Andrew Green, The Concepts and Practice of Mathematical Finance by Joshi,
Option Market Making by Baird).
I'll definitely check more regularly and carefully papers/recommendations by
market reg and CBs.

@deeds
Did/do you think otherwise? If so, why? Don't hold back, I do not mind.

nikol


Total Posts: 1352
Joined: Jun 2005
 
Posted: 2021-01-17 16:52
I used proportionality, so the expression is unitless.

Consulting is ok.
Freelancing in risk is hunted down everywhere: Brexit, IR35 (and similar proxies in EU) are disastrous. Only some special/rare skill roles are in demand and well-paid. Plus, banks turn to ML.AI, therefore, data scientists are n demand. And crypto Pro is coming - risk, regulations. Watch out.

... What is a man
If his chief good and market of his time
Be but to sleep and feed? (c)

Peerless


Total Posts: 111
Joined: Aug 2012
 
Posted: 2021-01-17 18:53
Wrt "Freelancing in risk is hunted down everywhere: Brexit, IR35 (and similar
proxies in EU) are disastrous":
My experience is quite limited. However, I had two contracts competing each
other after my last one but they fell through because of COVID (they implied
onsite). Since August 2020, I have been occasionally contacted for contracts
inside IR35. The pay was quite good considering that time-off was paid. Of
course, one would not get the opportunity to optimise taxes.
Personally, worst case, and if COVID/Brexit allows, I'll go back to "FBL" or to
my previous Belgian employer as a contractor in September if COVID allows ...
but, except the money, I do not see the fun in that.

Points duly noted for ML/AI and crypto pro (the latter in which I have been
involved since 2013: general understanding of the differences between
blockchains, and the market).
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