MBS or Equity quant?

[TMAS]

Hello everybody !

I received currently two offers (both very interesting) for a quant job : an offer in exotic equity and another one in MBS.
I was wondering which job will give me more exposure to mathematical modeling, as I am really interested in the maths part of a quant job.

Thank you in advance

 

[evan guggenheim]

I know that for MBS, a lot of stat analysis and modeling is used, quite a bit of math. What would you be doing for the equity role? ER?

 

[TMAS]

Thank you Evan for your reply.

The equity role is not well defined yet, as I very recently received the offer, but it will certainly involves derivatives pricing (with a focus on CVA pricing).

Although I have studied statistics and econometrics, my maths background is mainly in stochastic calculus, and I would really enjoy a job that involves a lot of it. My question is how much of stochastic modelling should I expect in an MBS quant job ?

Thanks in advance

 

[evan guggenheim]

Thank you Evan for your reply.

The equity role is not well defined yet, as I very recently received the offer, but it will certainly involves derivatives pricing (with a focus on CVA pricing).

Although I have studied statistics and econometrics, my maths background is mainly in stochastic calculus, and I would really enjoy a job that involves a lot of it. My question is how much of stochastic modelling should I expect in an MBS quant job ?

Thanks in advance

I don't work in MBS, but I have a friend who does, and I coincidently spoke to her yesterday about her work. From what she said, there is a lot of stat analysis and modeling, but she didn't mention anything about Stochastic Calc, if you're going to be dealing with derivatives you're more than certain going to be working with heavy math, as well as Stochastic Calc, as it is used to determine prices in "volatile markets".

Since you already have it narrowed down to what you would be doing for MBS, you should check out the job descriptions given for the company online. I think glassdoor can do that for you.

Congrats by the way on your two offers!

 

[TMAS]

Thank you very much for your quick reply Evan!

I have already interned in an equity desk and I must say that they use a lot of sophisticated stochastic tools in their models, but the MBS business is quit new for me and I am trying to get the maximum of informations about it before making a final decision.

I'll check Glassdoor to see the descriptions they have there.

Thanks again for your help !

 

[Kann]

One of the biggest mistakes (in my opinion) is that people don't ask, what they are gonna do in the role.
All should do that. It's allowed, and i think you should write the person who offered you the role and ask him for a precise description of the role.

 

[IntoDarkness]

the fun part of mbs is portfolio management side, not the quant side
i will go for exotic equity
disclosure: i work on quant (interest rate and capital) side of mbs

 

[evan guggenheim]

One of the biggest mistakes (in my opinion) is that people don't ask, what they are gonna do in the role.
All should do that. It's allowed, and i think you should write the person who offered you the role and ask him for a precise description of the role.

Precisely.

 

[mhy]

If I understand correctly CVA is not front office pricing, right?

 

[zyz]

If I understand correctly CVA is not front office pricing, right?

Of course it is not AFAIK. No direct client exposure.

OP, what is your background? I think this, as well as your inerests that you have outlined above plays a huge role in decision making. If I were you I would figure out what the MBS position is about and align this with the experience that you had at Equity desk.

 

[TMAS]

Thank you all for your replies!

@Kann & Evan: I see your point, the problem is that the HR put me in contact with the MD of each team, and you know that an MD does not have the time to discuss the job in details. I am still waiting to receive the written contracts and see if they contain any details about the jobs.

@mhy: The equity job is in front office, but the desk have currently a big project on CVA and I guess I will be working on it if I ever choose the equity job.

@IntoDarkness : A lot of people told me the same about mbs, but I dont know if starting as a quant can lead me someday to the portfolio management side. Do you know anybody who did that ?

@zeez : well my background is essentially applied mathematics with a focus on probabilities and stochastic calculus. I learned finance in books and internet independently from my academic courses. Given my experience in equity, I know for sure that I'll be doing a lot of stochastic modelling in the equity Job, but I am not so sure about the MBS job (although the interviews involved a lot of questions on SDE and probabilities).

Thanks all for your help !

 

[evan guggenheim]

@TMAS , you can contact the HR rep you have, they are there to help you. If they are not sure, you can request a formal document providing your job description.

 

[TMAS]

@evan guggenheim , I'll be spending the week end reading about MBS and I'll contact the HR first thing Monday to obtain the jobs descriptions. I think it's the easiest way to compare the two roles.

Thanks @evan guggenheim !

 

[C S]

Hello everybody !

I received currently two offers (both very interesting) for a quant job : an offer in exotic equity and another one in MBS.
I was wondering which job will give me more exposure to mathematical modeling, as I am really interested in the maths part of a quant job.

Thank you in advance

I would not do what some have suggested, eg asking the group MD or their HR. That's a good way of getting the "official" description, which is often compiled from polling people with not enough time or inclination to be truly helpful. Rather, ask the person who directly supervises your role. This person should have been one of your interviewers and you were in theory supposed to ask this person what the job actually entails. If for some reason you don't know who this is, find out.