How quantitative is risk management?

[Ronald Litvak]

From what I understand it's not truly considered a Quant level position. One could also qualify for it by passing exams (e.g. FRM). Yet I see many grads from MFE programs applying to that line of work. Is it heavy on programming?

 

[Ken Abbott]

From what I understand it's not truly considered a Quant level position. One could also qualify for it by passing exams (e.g. FRM). Yet I see many grads from MFE programs applying to that line of work. Is it heavy on programming?

You cannot "qualify" for a risk job by passing an exam. If you don't have the context, it will be empty information.

Some risk jobs are as quantitative as those of desk quants - others less so.

 

[Joy Pathak]

From what I understand it's not truly considered a Quant level position. One could also qualify for it by passing exams (e.g. FRM). Yet I see many grads from MFE programs applying to that line of work. Is it heavy on programming?

As Ken said.. it depends. If you work on a cash desk you might no see much quantitative stuff other than maybe some PCA depending on where you work. If you work on a derivatives or exotics desk then you can get involved in some heavy quant. I worked on a swaptions desk and it was hull white models....SABR... all day long..using normalised vs log normal vols...building curve shockers to price bermudan options in different scenarios....Vega matrices..Delta offeset matrices... IR Jump risk.. etc.

I also worked a cash govrnment desk and it was... all DV01....and nothing else.