Can anyone who works with or close to a FI analytics group elaborate on what they do and the skills/knowledge required to be succesful in the group. Are strong programming skills required?
Naija.
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yes...that's usually a pretty technical group...they run credit exposure on complex trades (that's what i interact with them for) and that sort of thing.
So do you know if they, for example, just run the credit exposure on complex trades or actually program the softwares/build the models which they then use to run the credit exposures?
they will write some kind of script for the trade possibly, which is like programming in a very basic language, but no they do not build models. quants build models. i think you are using words that are not interchangeable, but i understand what you mean.
Yeah, I still need to get a hang of the terminologies.
Anyway, I have a much better understanding of the role of the group now. Thanks man, really appreciate it.
One more question though- Do you have an idea of the scripting languages used at most firms?
yes, they are basic but have their quirks. essentially you use them to define a series of cashflows...something simple would be like this:
define funding leg define coupon leg set an accrual trigger which tells when you accrue coupon, usually something above or a below a barrier. run through appropriate model (in rates land, cheyette, bgm, etc)
you would never be building the model.
Thanks Jimbo. You seem to really know your stuff.
I would be interning with a FI analytics group this summer and unfortunately wouldn't be able to meet with the group before the internship begins.
Any advise on books to study or things to do to better prepare myself for the internship?
options, futures and other derivatives by hull
Dude, Analytics is crazy man. It's not as basic as you made it look. It involves a shit load of programming. All the crazy programming languages you could think of are being used. A Good thing though is that you learn a lot about the business you work with and could easily transition into a trading role as you interact with the traders on the regular.
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