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13

Asking questions like "what is your sharpe ratio" is, IMO, not a good idea. Ask questions that demonstrate your interest in making their firm a success. What markets do you trade? (you listed this one) Describe the firm's high-level process for taking an idea, developing a model, and moving it into production. What constraints do you place on new models? ...


4

CVA desks are not front office as they have no dealings with external clients. They can be considered "smart middle office" as they are a necessary part of the plumbing to facilitate the core activity of the bank, which is to trade as many derivatives as possible with clients, all of whom have varying levels of credit risk. Essentially, it allows traders in ...


4

In principle you could say they mainly do risk management on bank level, but also make $ on the way trading out the counterparty risks. Quoting a post in Willmott: "here's how you make profits on a CVA desk. 1) you get paid by an internal desk to cover their c/p risk. you stay long and the credit tightens... you make money (similar to #2 below) 2) Prop ...


3

Quantnet provided a rankings of MS in Financial Engineering programs, which can be used for reference. More generally, this really depends on what area of quantitative finance that interests you: If you want to work in developing valuation and pricing models, than one of these programs will be very useful. If you want to work in quantitative trading, it's ...


3

"Individual Craftsmanship"...I am not sure how you want to apply this skill set later. Craftsman to me means someone who simply applies a tool set, it does not imply (according to the dictionary definition) whether professionally to earn money or in order to teach or treat it as a personal hobby. So please let me comment on all three: Professionally in the ...


2

The above posts are incorrect in that it has nothing to do with a distinction between prop trading or client facing trading. Flow trading simply means that the underlying products are "commodity products" in the sense that they are easy to value, high turnover products. Thus rates flow trading involves the trading of cash sovereign government bonds, ...


2

You want to know about their recent staff turnover and hiring rates. You want to be at a place that is both stable and growing slowly, and doesn't hire and fire employees (overlapping but distinct criteria). On the first point, I would avoid new and fast growth firms unless you don't mind being fired in a year since you were hired liberally and the growth ...


2

It's often hard to give a definite answer to such "what is top programs" questions. When we did the Quantnet MFE ranking in 2009, it was more or less as a guide for people new to this field since it's hard to find information on these MFE programs. A lot of your choice will come down to personal preferences such as location, tuition, length, program ...


1

In some banks the CVA desk is not expected to make profits (or losses). If they are having profit it is because they are overcharging CVA from other internal desks (and hence making those desks less competitive to external clients). If they are making losses it is because they are not pricing correctly the CVA (and therefore not able to buy enough hedges ...



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