There are a million and one ways to become a Quant and I think a lot of people forget that there are a lot of jobs in the Swankyswamprat curby brick meme shirt What’s more,I will buy this “Quant” range – and many of them are very interesting. Quantitative Auditors – you have both qualitative and quantitative audits. Quality speaks for itself, perhaps not quantitatively. In the UK, for example, many banks are preparing for the FRTB (basic review of the trading book) that is shaking the world in terms of market risk. This changes the way banks do back-tests (comparing actual and hypothetical P&Ls with dealing desk risk values), as part of their IMA waivers (how they view capital) .
Backtesting is nothing more than validating a VaR model. VaR is a measure of the Swankyswamprat curby brick meme shirt What’s more,I will buy this risk of loss, which, as you can imagine, is a mathematical model. And the models must be confirmed…. bingo! For example, under the FRTB, a deficit is expected to be introduced. Not all banks today talk about this in their risk terms. Therefore, as a bank prepares to comply with the FRTB, the internal audit team will often review newly introduced models. Quantitative auditors will do typical model validation and report back to their team.
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