Derivatives/Structured Products Modeling - For Learning/Interviewing
Targeting this for those on a derivatives or structured products desk (any product, any style)..
I'm reading through textbooks and learning programming on my own and have made thus far made a simple MBS and an Auto ABS model (Basic monte carlo, prepayment models). I'd like to practice creating a portfolio that I can use for interviewing/learning, even something as simple as a binomial tree, or a simple BMS pricer. But if you were to interview an individual and they bring up "Yeah I've been working on this xxx model" what would intrigue you? Would it be genuine thought? Ability to replicate? Depth? Product?
Of course I'm not trying to come in an show off, but show interest and also help learn about X product as a biproduct. Thanks!
PS. I am not "on" a structured product desk any more, but I did do that for many years before moving to the buyside
I have built a progra, that can track the 1st and 2nd order greek sensitivities of an vanilla options as well as of option strategies such as call spread, butterflies.
A few days back a BB sales guy told me not to put it on the CV because apparently every one does it so it does not interest him.
Now I'm confused whether I have wasted my time writing thousands of lines of code if I cannot express it.
So if you were to find someone listing projects like above would you find that interesting or just treat it like another guy who knows to code
I gotta run to the gym, but very quickly.
If it was something more than a simple implementation of BSM model, put that down but be prepared to discuss it in detail
In doing this, you probably learned a fair bit, so even if the actual effect on hiring is negligible you got some benefit
Unless you want to be a sales persons, do not listen to any salespeople's advice (career or markets). They are glorified parrots even though they have a very high opinion of themselves.
Thanks a lot for clearing it for me. Also, what kind of projects if implemented by students will catch a trader's interest?
I am not a salesperson (so, no offense taken here), but I know some excellent salespeople who are just as technical as some of the traders/derivative strats on the desk.
If you do some independent modeling (bootstrapping the curve, BSM), great. But be ready, as mentioned above, to explain. I might include it, but be vague on purpose such as to invite follow up questions without mentioning (volga, vanna, and charm), this may lead to an ambush...
This said and having seen enough "technical sales", those technical smarts are largely an illusion. After all, our skillset and knowledge are mainly a product of our experience. If someone has been selling derivatives, they will not have nearly the same understanding of the book risk management. It applies all across - if someone is a dealer-side market-maker, his understanding on how to extract alpha will be limited etc.
Actually, I just remembered that I've interviewed a kid some months ago who brought in his laptop and showed me some ipython notebooks with a few research ideas related to VIX. Nothing actionable (or even useful), but we did discuss it for an hour or so. He got an offer from me, but ended up going to a competitor (I think he was let go when his PM team got disbanded).
that's a savage move ... pulling out an ipython notebook in the middle of an interview
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