Shortest Career in Risk Management
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sfca
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- Joined: Thu Jan 01, 2004 12:00 am
Shortest Career in Risk Management
Well, you can also do VAR and risk modeling without being the risk management person. There is just no way the generic risk management person could do much of the technology for this, so other analysts associated with the trading floor often generate the models for them. Those analysts can do some actually rather interesting risk modeling but not get stuck with the dry day to day stuff. The regulations for this just say that some other person or group acting as a third party should validate the model so there is not some trading floor conspiracy to minimize measured risk.
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IAmEric
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- Joined: Thu Jan 01, 2004 12:00 am
Shortest Career in Risk Management
This is a sheah day... Is it Friday yet? I need to whip out Crassus' video again.
I can't help but be innovative. It is in my blood. If they don't appreciate it, that is fine, but it won't stop me. I have plans!!
Anyway, the reason we would like to have better VaR is to give the traders more money to play with. If you have a crappy VaR methodology, then you need to multiply volatity and even VaR by some arbitrary number to satisfy back testing requirement from regulators. Usually, these scaled up volatilities and even VaR numbers leave the desks having to keep more capital under the bed than they really need to. By doing VaR better, we can reduce the cushion and free up some capital.
We had a whole 2 hour meeting not too long ago discussing a better way to do credit VaR to free up some huge amount of capital.
"I can't wait... for the weekend to begin" Musical Note Musical Note Musical Note
I can't help but be innovative. It is in my blood. If they don't appreciate it, that is fine, but it won't stop me. I have plans!!
Anyway, the reason we would like to have better VaR is to give the traders more money to play with. If you have a crappy VaR methodology, then you need to multiply volatity and even VaR by some arbitrary number to satisfy back testing requirement from regulators. Usually, these scaled up volatilities and even VaR numbers leave the desks having to keep more capital under the bed than they really need to. By doing VaR better, we can reduce the cushion and free up some capital.
We had a whole 2 hour meeting not too long ago discussing a better way to do credit VaR to free up some huge amount of capital.
"I can't wait... for the weekend to begin" Musical Note Musical Note Musical Note
One day, in the midst of another one of his increasingly frequent homicidal fantasies, Croke noticed a new member had invaded his favorite forum. It was an obnoxious coed (or so he thought) who went by the nickname "Lilly". At first, all Croke could think about was strangling the life out of this giddy new member. Her insistent flirting with everyone was disgusting to Croke and he began a merciless vendetta against her.
He was sure that his prominent status would cause the other "regulars" to outcast the newcomer as he wished. On the contrary, everyone dug Lilly and even Croke's most vehement beratings fell on def ears. This infuriated Croke even more.
He was sure that his prominent status would cause the other "regulars" to outcast the newcomer as he wished. On the contrary, everyone dug Lilly and even Croke's most vehement beratings fell on def ears. This infuriated Croke even more.
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IAmEric
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Shortest Career in Risk Management
Some more icing...
The date I put on the memo was "February 29" HaH! Party
The date I put on the memo was "February 29" HaH! Party
One day, in the midst of another one of his increasingly frequent homicidal fantasies, Croke noticed a new member had invaded his favorite forum. It was an obnoxious coed (or so he thought) who went by the nickname "Lilly". At first, all Croke could think about was strangling the life out of this giddy new member. Her insistent flirting with everyone was disgusting to Croke and he began a merciless vendetta against her.
He was sure that his prominent status would cause the other "regulars" to outcast the newcomer as he wished. On the contrary, everyone dug Lilly and even Croke's most vehement beratings fell on def ears. This infuriated Croke even more.
He was sure that his prominent status would cause the other "regulars" to outcast the newcomer as he wished. On the contrary, everyone dug Lilly and even Croke's most vehement beratings fell on def ears. This infuriated Croke even more.
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dgn2
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- Joined: Thu Jan 01, 2004 12:00 am
Shortest Career in Risk Management
I know where you are coming from man...I really do ...but don't piss everyone off with your antics...learn as much as you can...get to know the business, but don't get too clever and burn your bridges...that's all I am saying...
...I got sucked into the "free up more capital for the traders" line too...worked on doing just that implementing and re-working parts of our credit VaR model...did I learn a lot...absolutely...did it hit my bottom line directly...not so much...did it hit the traders' bottom line...most likely (indirectly)
...I got sucked into the "free up more capital for the traders" line too...worked on doing just that implementing and re-working parts of our credit VaR model...did I learn a lot...absolutely...did it hit my bottom line directly...not so much...did it hit the traders' bottom line...most likely (indirectly)
...WARNING: I am an optimal f'er
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dgn2
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Shortest Career in Risk Management
Btw, I should mention that those directing our group pushed very hard to get us the compensation we got and that (from my vantage point anyway) it was the structure of the institution that limited the upside so much. Risk managers are not front line and hence they do not get compensated in the same way that sales and trading staff get compensated.
...WARNING: I am an optimal f'er