Quant Dev: Central risk book
Hello,
I work at a well known buy side firm as a trading developer (in Tech).
Recently, I was asked to move to a Quant dev role in a Central risk book team (in business).
The move is coming up in two months and I am told the new team uses Python/Java/KDB etc.
Would really appreciate any advise about what I should brush up on in Python/Statistics etc.
I have a master in financial engineering but I never did much with it, so really rusty.
(Also, the new team can't give me too much in-depth details till I join them.
However, I do know that their objective is to internalize flow as much as pos and increase execution efficiency)
Thanks
Not too sure about CRB for buyside but ur roughly right that CRB is about systematic MM at least for sellside. For what you should brush up, I think you could brush up some basic concepts about Linear Alg, Optimization, statistical testing for math concepts, and coding just tell them what you have done with Python/Java. Pretty sure they don't except you to know KDB already(if you know then its better though)
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They've already offered you the job, right? This is inside your firm and I assume you've already met your new manager, right? Just ask him. Send him a note asking to meet for coffe, and tell him you want to hit the ground running in the new role, so you're brushing up on your old textbooks but is there anything in particular that he thinks would be useful for you to study up.
He will probably say something generic like "brush up on your linear algebra" but he might say something specific that's useful...and even if he doesn't, it gives you a chance now to impress the guy with your enthusiasm that you're already proactively asking him where you can add value. Plus, there's a chance that conversation will reveal he wants you to have skills that aren't a fit for you, in which case it's better for you to discover that now before you quit your old team.
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