advice sheet

vitieubaoldk · Post by **vitieubaoldk** » Tue Jun 06, 2006 1:20 pm

Leave me your e-mail NS, I only have the very first version, got it through a W****tt member (and it has been updated several times ever since)

OK I admit I was weak, I couldn't resist :-). Seriously I think the guide is really well done (MJ's, DW's and PD's complete each other).

NS · Post by NS » Tue Jun 06, 2006 1:32 pm

nsgrscom

Thanks vitieubaoldk

bitofbully · Post by **bitofbully** » Tue Jun 06, 2006 1:56 pm

Hey Vitieubaoldk,

I'd appreciate a copy aswell.Be interesting to see how it compares

email is

bitofbullygooglemailcom

Cheers

Mistyk · Post by **Mistyk** » Tue Jun 06, 2006 2:18 pm

I have the latest version.

vitieubaoldk · Post by **vitieubaoldk** » Tue Jun 06, 2006 2:42 pm

Mistyk, would you mind sending it to vitieubaoldkyahoocom :-) ?

sfca · Post by **sfca** » Tue Jun 06, 2006 6:55 pm

I'd like to see P&D's paper too if you could send it to sfca at math.com.

As for the MJ paper, I like it except for the credit quant part. Those doing Basel, at least in my experience, need very limited quant skills and I might not even label them as quants. However, those doing credit default swap products are not mentioned, but should be as the credit quants. That involves what I consider serious quant work with economics and more advanced statistics thrown in to do the requisite copulas, correlation modeling, tranche pricing and such. Just my 2 cents.

Mistyk · Post by **Mistyk** » Tue Jun 06, 2006 7:24 pm

I just read an old post by DCFC (from whom I got the guide) at the other place: "The protocol is that you send me your CV, I send you the Guide.", so I'm not sure that he'd want me to pass it on...

NS · Post by NS » Tue Jun 06, 2006 7:26 pm

[i]"Those doing Basel, at least in my experience, need very limited quant skills and I might not even label them as quants. However, those doing credit default swap products are not mentioned, but should be as the credit quants."[/i]

I think that MJ is referring to quants that sit within credit risk - these guys are really middle office - as opposed to front office quants within fixed income that deal with credit products.

sfca · Post by **sfca** » Tue Jun 06, 2006 8:29 pm

Mistyk: I sure would not want a paunchy middle aged mean-spirited programmer whose only claim to fame is that he knows how to integrate Excel and C++ to be upset with you, so you don't need to send it. Thanks anyway.

mj · Post by mj » Wed Jun 07, 2006 1:24 am

i think people always get confused between credit quants and credit derivative quants...

This reminds me, I meant to do a break down of areas. I'll add that in.

Whilst a lot of the Basel stuff is regulatory garbage, there is a need for decent mathematicians too.