AMA - Quant with 2 yrs exp in Europe both buy/sell side

DrSnake's picture
Rank: Baboon | 140

Hi guys,

My background:

I have a MSc in Quantitative Finance obtained in Italy and have been a Quant Researcher for approx 1 year in the Netherlands for a buy-side boutique. Now I am in Quant Risk modelling in a sell-side major investment bank in Zurich, Switzerland.

Ask me anything:

I am happy to answer any question - from the technical to the daily life, including career tips if I can bring some!

WSO Podcast: Quant out of Water

Member @DrSnake shares stories along his path from a masters in quantitative finance in Italy, to landing a Quant research role at an asset manager in the Netherlands. His struggles with the cultural differences, how he transitioned to a bulge bracket bank in Zurich and one key piece of advice he would have given his younger self...

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Comments (40)

Jul 2, 2019

I appreciate you doing this, mate.

Due to an injury, I had to make a late, and abrupt, pivot from pursuing a career as an athlete to one in finance. As such, I didn't have much time to figure out precisely what I wanted to do with my life. I'm still not certain to be quite honest. I graduated, took the GMAT, and applied to grad schools. Everything happened a bit quickly. Right now, I'm kinda torn between the corporate finance path and the quantitative finance path.

I have four main questions. What led you to pursue a career as a quant researcher? Were you always certain, or did you have to - at some point - make a decision? What's a typical day like for you? And, what would you say are the most important skills a quant researcher should possess?

Most Helpful
Jul 2, 2019

Hi blondxd, I'll answer firstly your questions:

Career as quant researcher: I believe this is one of the most interesting. You are always challenged, entertained (if you like it) and need to squeeze your brain to obtain results, solve problems, and so. I think this is far from a lot of other careers in finance as your intuition, insight and knowledge are the core of what you do every single day.

Was I certain?: actually I was certain and did not have doubts. I knew finance from University and things are fun also in corporate finance, but when talking about strategies, investments and how to obtain alpha, to neutralize beta and so on, that was really much more than evaluating companies or managing your business for me.

Typical day: well, in the buy-side, you don't really have a typical day, but periods in which you work on a project. I worked on something like finding regimes in the benchmarks, and that took two months roughly, then worked on a project to use signals for benchmark prediction and that was totally different as an approach. In the sell-side (risk) things are slightly more regular. But in general, as a quant you may code, read some papers to find some interesting strategies or approaches to problems you have, spend hours and hours on google trying to figure out if Python/R/Matlab/... has the function you need, have calls explaining in Layman terms what are you doing or what did you find out...

Most important skills: I would say, from a technical perspective, the main skills you need are programming in R and Python (but if you work in a big company you may need C#, especially for risk, although here I did not know it before entering and now I'm still a beginner with it), some maths of course (but University is enough IMHO), knowledge of the markets (derivatives for back-office is quite beneficial, since some people are physicists or mathematicians and have no clue about the derivatives, even after some years...), portfolio management (broadly) and just get involved in understanding some strategies, like liquid alts, fixed income strategies, etc.
But the most important to me are soft skills: flexibility, open mindset, always questioning, never being absolute about something ("this will never work" is a wrong sentence if you did not test thoroughly). And please always be kind with people. This helps A LOT.

Don't worry about taking decisions. You may think this is fast and you did not think enough about it before. But actually your brain is faster than you, and it's considering two rewarding opportunities because it also likes them. Relax, if you miss something, I am sure you may still have the opportunity to get back to the other decision (from quant to corp fin is easier, maybe, than the opposite, but nothing is impossible if you work in the best way you can!)

Jul 2, 2019

Hi DrSnake,

Thanks for doing this.

Couple of questions:
1. how was the recruiting process like across different firms? Would appreciate if you could cite concrete technical questions or at least the nature of these questions. WSO has a lot of people talking about superdays and was wondering if you had a similar experience.
2. similar to one question by @blondxd, what are you responsible on a daily basis as a quant risk modeller and what are the hours like?

Cheers

    • 1
Jul 2, 2019

Hi Mnlquant,

  1. Recruiting: in my experience this has always been very "light" (no superdays, even in the BB in Switzerland). This may be more common in the US (I am not sure). For my internship in the buy-side there wasn't really a technical round, but because we spoke openly about my thesis and that was already a bit technical (Neural networks for portfolio management), so (I guess) the quant in the interview saw that I had enough knowledge (and still that was an internship). But in general in my experience they ask you a lot of technical questions of course. In this company I am, for example, I had to answer some brainteasers (number of fish in the world, probability of selecting two dogs in the world with the same number of hair, and similar) and some coding (how would you code a program to select the maximum in an array, stuff like this) but never something like "let's come to the Kalman Filter, what is it and for which purpose would you use it". Sometimes (not commonly) the properties of a random walk and the meaning of a GARCH model parameters, the latter just because I mentioned it in the CV, and usually this is kind of a buy-side question.
  2. Hours: as I said in the podcast, usually 45 hours per week in Switzerland. It depends on the country and company: with bigger companies like the one I am in, public laws and policies are terribly important here, so they limit their freedom in terms of hours for workers (even though I know FO quants could stay a bit more here). Typical day, as I said in the other reply, coding, researching papers and understanding models, meetings to explain stuff... I could add the project managers meetings, in which they ask you the stage you are and what you need to proceed in case you're late/experiencing issues.
Jul 2, 2019

Hello Dr. Snake,

Thank you for this AMA.

I am a European student interested in becoming a quant. I lived in Italy when I was young and knowing you proud Italians, it doesn't surprise me you struggle with cultural differences with us in the north haha!

Anyways, in spite of having a heavy STEM background, I'm pretty decent with people and I'm a strong communicator. Hence, I really want to take on some type of leadership position later in my career. You're still at the start of your career but do you have any insight into how that could work out? Basically, what's the hierarchy like in the quant world?

Grazie per aiutarmi e in bocca al lupo :)

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Jul 2, 2019

Hey, good luck with your career! No, actually I did not struggle with northern Europeans at all, but it's not easy sometimes to get into the clubs :) it's more about people than ethnicity! Anyway, to get in an MD position is "quite easy" if you are in a Quant Risk position, while a bit harder if you are in front office. But of course you would need some networking and commitment to the company and its views and targets.

Jul 2, 2019

Hi sir,
I am planning to pursue my studies in quantitative finance MSc from Europe. I have a slight Idea of how the job of quant is. However, I would like to know about the work-life balance of a quant job. Is it as bad a Wall Street stock broker or is it sufficiently satisfying in the life side of it?

Jul 2, 2019

Hi soccerian463,
I believe that the work life balance is faaaaar better than a broker in Wall Street. I can only talk about what I experienced, but in Switzerland I work 45 hours per week for 5 days per week. It is very flexible in this case: I can come and go away a bit earlier or later as far as I keep a balance during the year.
In my internship it was the same, and of course I am not speaking only for me which was an intern but about the other quant (almost 10 years of experience) which was coming and going with a lot of flexibility (often working less than me!)

Jul 2, 2019

Thanks for doing this AMA.
What advice would you give to someone who's iffy on taking higher level math courses and such (Fear of failure I guess?)? It just seems to me like quants is too difficult and technical a path sometimes.

Jul 2, 2019

Hi Rothsadult, your worries are understandable. From my perspective everything can be done with good teachers and a step-by-step approach - you won't understand Partial Differential Equations if you don't know derivatives, and so on! Walking, never running, you will find a way to understand everything. And the maths to become a successful quant is rarely complicated! The best approaches are the easy ones. This can differ if you are in a HF with a quantitative approach maybe, but for AM companies it is not about complexity but about effectiveness.

Jul 2, 2019

Thanks for the reply. One more quick question, based on your experience would you recommend windows or Mac for ease of use for learning programming R/python? I understand most companies use windows but I've heard heard Linux/developer stuff is easier with macs.

Jul 2, 2019

Hi, I'm an italian undergrad studying finance at a non-target (considering that Bocconi is probably the only target school in Italy).
Where did you get your MSc in quantitative finance? Bologna is the only italian uni I know having a quantitative finance program.

Thanks in advance

Jul 2, 2019

Ciao ilpanza,
I would avoid giving the name of the city or university to not be exposed (even if I didn't do anything wrong hehe) but it wasn't Bocconi and not even Bologna. Let's say a "non target" but forget about it, here in Europe at least the university is seldom relevant. You have to show that you are good, that is key.

Jul 2, 2019

Thanks a lot,
I have one more question:
what did you study before starting the MSc in quantitative finance? Did you have a strong mathematical and/or programming background?

Jul 2, 2019

Hello Dr.snake,

I am phani and had been working as developer in retail indistry in usa.i want to switch my career to quant finance.do i need to do masters in quant finance, or with my previous experience, can i apply to quant jobs.i am 34 years old now

Jul 3, 2019

Hi phani, I would recommend a masters in quant finance. It's never too late. Otherwise you could find some Quant Developer jobs which require mainly programming and far less knowledge of the industry, maybe just getting informed and showing a keen interest could be enough!

Jul 2, 2019

do you work with any manual trader/PMs? In my previous career, the traders were autonomous, but would ask quants for different types of work based on a hunch from things they witnessed in the market.

just google it...you're welcome

Jul 3, 2019

Hi, I worked mainly with Credit Analysts and Strategists, but some PMs need some stuff from quants like Performance Attribution stuff and similar. That was it in the FI sector obviously, maybe in Equities you could be more technical and in contact with traders and PMs. Desk Quants help more traders in fixing sheets or tools they use to price stuff, but it's not really something for researchers or strategists.

Jul 2, 2019

how much are the (legal) hookers in Switzerland per hour?

Jul 3, 2019

Still doing God's work Lloyd?

Jul 3, 2019

No idea, I'm married :)

Jul 3, 2019

What, married people can't have friends?

    • 1
Jul 3, 2019

Thank you for doing this.

For somebody based in London, where would you recommend finding a Summer Internship 2020 for people who just finished their first year? As like if it is worth to try breaking in BB and if so which office.

Also, is being a Quant possible after maths undergraduate (without a master)?

Jul 3, 2019

Hi ozajasz,

I have no experience in London, however I applied at the beginning of my career for some jobs there and for some internships. I would recommend anyway not only BBs, but of course big companies. Consider the asset management world more than the IB world if you are interested in true Quantitative Finance... undergraduate maybe yes, but hard, better with a Master! For the research positions very often they require PhDs...

Jul 3, 2019

Hi,
Thanks for the AMA.

Can you tell about the kind of work you do in risk? Is it related to hedging the position in derivatives?
How's the money/bonus in your job? Is it directly related to the money made from the sells, as on front desk?
Also, what's the usual salary a Quant with 2-3 yrs of experience is getting these days in Switzerland. Could you give a range please?

Thanks.

Jul 3, 2019

Hi Quant_vs,

I answered some of these questions in the podcast that you can find here in WSO. Anyway I'll answer again so that other people could find out, I think it is helpful (for me that would be good).
Kind of work: in BBs don't expect to do any work so specific on derivatives. It depends on the teams obviously, but we mostly have the models working and we need to build an infrastructure to backtest their performance using internal programming languages and tools. So basically you may see a very wide range of derivatives flowing within your risk engines and just make sure that everything is fine for reporting. Rarely the models change in a more accurate specification, at least this is my experience.

Bonus is a very good question. We actually don't know how they calculate it, but it is probably related to your line manager review of your work during the year and if you met the targets and deadlines. It is totally unrelated from sells as you are in risk and don't manage specific trades or products usually.

Salary range: for a junior, between 90k and 100k CHF per year, bonus excluded.

Jul 3, 2019

Thank you very much, DrSnake

Jul 4, 2019

Hi DrSnake!

My father is a world renowned theoretical physicist and mathematician from Soviet Russia and has been a quantitative risk analyst for over 20 years after moving to Canada. In his spare time he invented and published a new fundamental mathematical approach to valuate options. Based on this math we developed an algorithm that automatically calculates credit ratings of publicly traded companies based on balance sheets and stock price performance. It currently rates all US companies most of which have never been rated by Moody's or S&P. I'm suppose to be the marketing guy who is going to find partners to take this off the ground, but I'm not a finance guy. So my question is, who uses small-cap and OTC company credit ratings and how could they generate alpha by having access to credit ratings that are updated on a quarterly basis and show trends with the ability to forecast default?

Jul 5, 2019

Definitely Emerging Markets! And in case of rating scores, it should be mostly relevant to Fixed Income investments. This could also be helpful to people playing with derivatives and CDSs, but mostly I would say in Risk Management.

Jul 4, 2019

Hi DrSnake,
Thanks for taking the time to do this. Just out of curiosity, what type of python coding skills are needed for your average workday? Is it like implementing python codes to structurize/clean data table so you can input into R for statistical analysis?
Is there any coding website/tutorials that quant researcher frequently use? (not the basics, but more like advanced Q&A sites.
Thanks again.

Jul 5, 2019

Hi JoelGreen,
In my case I have honed my Python skills as a freelancer. Those are actually required for full time jobs but just the basics could be fine for internships.
What I implemented in Python are portfolio construction algorithms, automated trading strategies with APIs (like OANDA), options and swaptions pricing models, regression models, etc. It is very good in managing data as you said, but there's no need to switch to R, since it can mostly do the same stuff but faster! Currently in my Risk modelling job I am also connecting Python with different other programs like C#, R, Excel and VBA since we have some programs in there (but I enjoy automating stuff instead of manually opening, computing, closing!).

Regarding tutorials and websites, I had a good impression of Quantopian (even though I did not use it much). For every question you may have the all-knowing Stack Overflow is impressive, even for financial related questions sometimes.

Jul 5, 2019

Hi DrSnake,

Thanks again for sharing your experience.

How did you go about finding freelance gigs? Any platform in particular that you used?

Jul 8, 2019

Hello Mngmt_consultant, I tried several but one in particular was very helpful as a lot of quant finance opportunities were over there, but sorry, I won't mention it. I must say it's very popular btw. Just anything can work, but at the beginning you may be involved in simpler projects. Going forward it gets better, just keep looking to finance related jobs!

Jul 6, 2019

Do you get to work a lot with Sophis or any kind of proprietary software for FO ?

Jul 8, 2019

Hi BayerischeIndustrie, yes, in my daily job I have to work a lot with proprietary softwares and programming languages (especially in Risk, this is popular in the industry I guess). As a researcher I worked less with proprietary stuff and more with Bloomberg, BlackRock Aladdin and similar.

Jul 6, 2019
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