Hi folks! I'd like to start a discussion about scientific programming in risk management. Do your organisations use this advanced approach? Which technologies are in use now in Kazakhstan? Is portfolio modelling based on statistical models applied in this branche? Which career expectation can have M.Sc with strong research background?
I'd like to introduce myself. I'm experienced in portfolio simulation, currently I'm writing my thesis on it, chiefly with nonlinear models and monte carlo process. I have strong familiarity with Markow's chains, additionally I have familiarity with routine risk estimations as VaR. So I can offer your organisation comprehensive portfolio analisys based on rigorous acclaimed models. Furthermore, this enable managenemt adjust their strategies and achieve best results with fewer risk.
Is there any demand on specialists with simular background in Republic of Kazakhstan? Which job expectations could they have?
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Scientific programming in risk management
Matlab, Python
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#2
Отправлено 20 January 2014 - 12:22
Hello,
I would go ahead and say that quant based risk management or asset management is next to non-existent. Really. I would also say that most of the risk management tools in financial organizations are based on MS Excel, so if you are looking for a job in risk management area, you probably will not need those fancy Math/CS skills, AFAIK.
Not quite sure if there is a huge demand for people with similar backgroud to yours as 1) you would probably be asking above-market salary compared to other unsophisticated peers; 2) there won't be a lot of people who would be willing to dedicate time and resources for you and for the risk management/asset allocation tools that would be used in an organization;
If you are really into this stuff, you may be luckier hunting in London/New York or maybe HK/Singapore job market.
Are you familiar with Bloomberg's <MARS>?
I would go ahead and say that quant based risk management or asset management is next to non-existent. Really. I would also say that most of the risk management tools in financial organizations are based on MS Excel, so if you are looking for a job in risk management area, you probably will not need those fancy Math/CS skills, AFAIK.
Not quite sure if there is a huge demand for people with similar backgroud to yours as 1) you would probably be asking above-market salary compared to other unsophisticated peers; 2) there won't be a lot of people who would be willing to dedicate time and resources for you and for the risk management/asset allocation tools that would be used in an organization;
If you are really into this stuff, you may be luckier hunting in London/New York or maybe HK/Singapore job market.
Are you familiar with Bloomberg's <MARS>?
Сообщение отредактировал zee4: 20 January 2014 - 12:25
#3
Отправлено 20 January 2014 - 12:35
Unfortunately I don't. What would you say about awerage salary in this sphere?
Thank you indeed for your answer!
Thank you indeed for your answer!
Сообщение отредактировал NAGIBATOR479: 20 January 2014 - 12:42
#4
Отправлено 20 January 2014 - 12:47
I think it is really hard to generalize starting salaries for Risk Management positions in Kazakhstan. But if I was forced to give a number, I would say that the ballpark is 1000-1500 American dollars.
Developed markets are totally different animals and Bulge Brackets such as Jay Pee Morgan, Goldman, America's Bank, Barclays start at around 60-70K USD. You may also try your luck in Russia and places like VTB, Sber have very strong risk teams.
Do you speak R?
Developed markets are totally different animals and Bulge Brackets such as Jay Pee Morgan, Goldman, America's Bank, Barclays start at around 60-70K USD. You may also try your luck in Russia and places like VTB, Sber have very strong risk teams.
Do you speak R?
#5
Отправлено 20 January 2014 - 14:16
Разумеется, однако диссер пишу на английском. Достаточно некрасиво получается, везде предлагают только ксерокопировать документы и в лучшем случае ковыряться в экселе в наших банках, когда говоришь что можешь сделать больше, все смотрят в недоумении. Подо всеми подразумеваю БТА, Касип, Хоум и прочие сравнимые. В других организациях вообще вакансий нет. Поэтому решил поинтересоваться на форуме.
Тема на мой взгляд актуальная, поскольку существуют гораздо более мощные средства чем тот же эксель. Кстати, как смотрят у нас на ребят с GARP? Они тоже в экселе прозябают? Неужели наши рисковики не работают ни в SPSS, Stata, Statistica тысячи программ для тех кто не может писать код?! SAS Risk management for Bankong хотя бы?
Господа, что в индустрии происходит, черт возьми?
Скоринг кредитный, дискриминантный анализ, нейросети, кластеризация заемщиков. Неужели этого всего нет?
Резонный вопрос, что я потерял в РК. Собственно ничего, гражданство РК, стало интересно смогу ли дома у себя поработать. Судя по всему вряд ли.
Тема на мой взгляд актуальная, поскольку существуют гораздо более мощные средства чем тот же эксель. Кстати, как смотрят у нас на ребят с GARP? Они тоже в экселе прозябают? Неужели наши рисковики не работают ни в SPSS, Stata, Statistica тысячи программ для тех кто не может писать код?! SAS Risk management for Bankong хотя бы?
Господа, что в индустрии происходит, черт возьми?
Скоринг кредитный, дискриминантный анализ, нейросети, кластеризация заемщиков. Неужели этого всего нет?
Резонный вопрос, что я потерял в РК. Собственно ничего, гражданство РК, стало интересно смогу ли дома у себя поработать. Судя по всему вряд ли.
#6
Отправлено 20 January 2014 - 14:45
Now, easy there.
While your frustration is understandable, I would like to ask you how and which exact solutions are you planning to bring to the table assuming that you were able to find a job? It would be more interesting if you could break your answer down into two sectors: Banking and Investment Management.
I think if you try a little harder, you definitely will be able to land a job (be prepared to do mind numbing stuff thou). If you cannot find any, take what is available that is closely related to Risk Management. You have to start somewhere, right?
SAS, as you may know, is an expensive luxury. not all banks/investment shops can afford it. The same applies to Matlab. That is why I asked you if you knew programming language (statistical programming) R. I think you could be able to do a lot of things using R. Plus it is free.
From your response above I have a hunch that you are interested in Credit Risk rather than other types of risks (obviously Market and Ops)?
I might be able to offer some more thoughts if you tell me where you are currently studying.
While your frustration is understandable, I would like to ask you how and which exact solutions are you planning to bring to the table assuming that you were able to find a job? It would be more interesting if you could break your answer down into two sectors: Banking and Investment Management.
I think if you try a little harder, you definitely will be able to land a job (be prepared to do mind numbing stuff thou). If you cannot find any, take what is available that is closely related to Risk Management. You have to start somewhere, right?
SAS, as you may know, is an expensive luxury. not all banks/investment shops can afford it. The same applies to Matlab. That is why I asked you if you knew programming language (statistical programming) R. I think you could be able to do a lot of things using R. Plus it is free.
From your response above I have a hunch that you are interested in Credit Risk rather than other types of risks (obviously Market and Ops)?
I might be able to offer some more thoughts if you tell me where you are currently studying.
#7
Отправлено 20 January 2014 - 15:37
So I'm capable of programming with Python, which has immense amount of libraries such as NumPy and more specific as PyBrain. Sure I'm aware about R and took single course on it, but this language isn't my major. Nonetheless this techs are quite simular, so presumably I'm able to became familiar with R by the end of my study.
Now to your questions. As my class called "Quantitative Finance" and my bachelor degree is ordinary finance from RK I'm not as proficient in CS as you might expect, on the other hand I'm able to interact with economists better than "pure" programmers or statisticians, supposingly.
My master thesis called "Portfolio optimisation and modelling with Marcov's chains" and the key question adressed is what will happen if the borrowers change their "clasters" and in which safest way could portfolioholder allocate assets taking into account dynamical changes in it.
What can I offer for my prospective employer? To answer this question, I'd like to tell, that I'm able to offer comprehensive guide in profit maximisation through optimisation of credit process, esp. through simplifying and automatisation of risk estimation. Then I can provide my employer with exhaustive reports on exposure to credit risk to enable management make better decisions. Additionaly clasterization of borrowers is quite useful in longlasting business relationships. As well I'm capable of modelling bank runs because of my professors interests. Generally it depends on data available in bank. So I won't be able to do anything without access to database containing acceptable structured data.
Summarising in credit risk I'm offering clasterization of borrowers and portfolio modelling due to my thesis.
In market risk - as ordinary econometrician time series modelling, so currency and interest modelling as well.
Operation risk concerned more with operational researches, so there nothing to offer.
Now to your questions. As my class called "Quantitative Finance" and my bachelor degree is ordinary finance from RK I'm not as proficient in CS as you might expect, on the other hand I'm able to interact with economists better than "pure" programmers or statisticians, supposingly.
My master thesis called "Portfolio optimisation and modelling with Marcov's chains" and the key question adressed is what will happen if the borrowers change their "clasters" and in which safest way could portfolioholder allocate assets taking into account dynamical changes in it.
What can I offer for my prospective employer? To answer this question, I'd like to tell, that I'm able to offer comprehensive guide in profit maximisation through optimisation of credit process, esp. through simplifying and automatisation of risk estimation. Then I can provide my employer with exhaustive reports on exposure to credit risk to enable management make better decisions. Additionaly clasterization of borrowers is quite useful in longlasting business relationships. As well I'm capable of modelling bank runs because of my professors interests. Generally it depends on data available in bank. So I won't be able to do anything without access to database containing acceptable structured data.
Summarising in credit risk I'm offering clasterization of borrowers and portfolio modelling due to my thesis.
In market risk - as ordinary econometrician time series modelling, so currency and interest modelling as well.
Operation risk concerned more with operational researches, so there nothing to offer.
#8
Отправлено 21 January 2014 - 12:46
Honestly, your thesis and what you are working on seems to me intellectually engaging. I wish I could offer practical advice, but since my knowledge is mostly related to Market Risk, I do not think I can be able to add some color at this point and going further.
Some resources that you might find helpful:
According to the OP's profile, she/he is based in Almaty: http://www.riskoffic...%EE%F0%E8%ED%E3
riskofficer.ru
wilmott.com
quannet.com
Good luck.
Some resources that you might find helpful:
According to the OP's profile, she/he is based in Almaty: http://www.riskoffic...%EE%F0%E8%ED%E3
riskofficer.ru
wilmott.com
quannet.com
Good luck.
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