I am currently a risk analyst at a BB, primarily work in market risk monitoring/VaR analysis.
I have been offered an opportunity at a top AM firm (think Fidelity, Wellington) to work as a quant in investment risk (a division under quantitative research).
The job will be quite different from what I was told.
I will be doing the following:
1. Building multi-factor models (fundamental/macro) and also using existing vendor multi-factor models (Barra for instance) to perform analysis and explain portfolio exposure/positioning and bets to portfolio managers on a monthly basis (There are 100+funds so they split up the review tasks across the team).
2. Adhoc analysis for portfolio managers/sales guys to help them decompose and understand portfolio exposure. There will also be some ongoing development in the liquidity risk space and other model building.
3. Stress testing and research related to macro events for the portfolio managers (an example he gave was that the group did stress testing on the NAV of the Euro Bond Fund based on default events and portfolio allocation going forward)
4. Customized attribution - I was told that the company has a performance team in the operations groups that churns out attribution reports from vendors but occasionally this group is asked to analyze how returns can actually be attributed using proprietary factor models
First of all, should I make the jump? The base salary is the same and the bonus from what I am told will be 20-30%. Is the opportunity that much better than the one I am having now to warrant a jump only a little more than a year into the job?
What kind of career path does this type of position lead to?
What are the comp progressions like for this kind of job?
I am also a little confused when he told me the group does not really monitor risk, that the group's job is to explain and help portfolio manager understand risk/exposure and make sure they are making the bets they intend to make? What does that even mean? Does that mean that the group is pretty much irrelevant since it can't impose and enforce limit?
I have been offered an opportunity at a top AM firm (think Fidelity, Wellington) to work as a quant in investment risk (a division under quantitative research).
The job will be quite different from what I was told.
I will be doing the following:
1. Building multi-factor models (fundamental/macro) and also using existing vendor multi-factor models (Barra for instance) to perform analysis and explain portfolio exposure/positioning and bets to portfolio managers on a monthly basis (There are 100+funds so they split up the review tasks across the team).
2. Adhoc analysis for portfolio managers/sales guys to help them decompose and understand portfolio exposure. There will also be some ongoing development in the liquidity risk space and other model building.
3. Stress testing and research related to macro events for the portfolio managers (an example he gave was that the group did stress testing on the NAV of the Euro Bond Fund based on default events and portfolio allocation going forward)
4. Customized attribution - I was told that the company has a performance team in the operations groups that churns out attribution reports from vendors but occasionally this group is asked to analyze how returns can actually be attributed using proprietary factor models
First of all, should I make the jump? The base salary is the same and the bonus from what I am told will be 20-30%. Is the opportunity that much better than the one I am having now to warrant a jump only a little more than a year into the job?
What kind of career path does this type of position lead to?
What are the comp progressions like for this kind of job?
I am also a little confused when he told me the group does not really monitor risk, that the group's job is to explain and help portfolio manager understand risk/exposure and make sure they are making the bets they intend to make? What does that even mean? Does that mean that the group is pretty much irrelevant since it can't impose and enforce limit?
