quantitative finance

QuantSpeak host, Dan Tudball, is joined by Samit Ahlawat, Senior Vice President in Quantitative Research, Capital Modeling at J.P. Morgan Chase, to discuss what researchers should prioritize when using artificial intelligence and machine learning in building automated trading strategies, his career path in quantitative finance and machine learning, and where his research will take him next. 

QuantSpeak host, Dan Tudball, is joined by Elie Ayache, CEO and Co-Founder of ITO 33, to discuss the place of philosophical thinking in the context of quantitative finance, his early career beginnings and his first encounter with Quantum Mechanics. 

After conflict at the new job I have decided to take a break from the banking industry. I will be spending more time on generating content around quant finance and data science. The R video series will get new videos and I will try and add some more traditional finance videos around topics like options, stocks, and bonds. I also feel like no one really understands risk management so I might take that on as well. I need to get this channel off the ground financially so there may be some paid courses coming as well.

Silencing your employees especially when they add value is not a good idea. When the next financial crisis occurs it will be no surprise when the quants say, "I have been warning the business but no one was listening."

I also have some great guests coming to the podcast. Peter Carr has an episode on quant finance master rankings. I also have two other guests lined up who are from different areas of the industry.

Academics and industry professionals alike  seem to think their field of study is correct while others are outdated or wrong. I completely get where the frustration comes from as there has been a lot of hype in many fields which is being pushed by people who aren't really apart of any field. Kaggle and towards data science come to mind however there are a long list of textbooks as well. The frustrating part though is the lack of understanding in what unifies all of us which is the scientific method. The scientific method is designed to challenge ideas and come up with better ones while adhering to a rigorous set of logic and testing.

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Connect with me:
https://www.linkedin.com/in/dimitri-bianco
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QuantSpeak host, Dan Tudball, is joined by Dr. Hari P. Krishnan, Head of Volatility Strategies at SCT Capital Management, to discuss why he came to the conclusion that the financial markets were 'zombified', agent-based risks, the moments in his career that had the most impact, and his advice to professionals starting their career in quant finance.

"What does a quant career look like?" The simple answer...they are all different. The long answer has to do with understanding goals and deciding whether or not you want to stay an individual contributor or become a manager. The higher up the corporate ladder you go, the less quant work you'll do. I'm trying to do both but at times I feel like I am being torn in half.

Not to mention quants have been going into new areas like data science, crypto currency, and defi. Careers for quants aren't a simple steps 1-10.

In this video I give you some points to think about and how I wish the industry would change.

Quant t-shirts, mugs, and hoodies:
teespring.com/stores/fancy-quant

Connect with me:
https://www.linkedin.com/in/dimitri-bianco
https://twitter.com/DimitriBianco

I'm excited to have a long-time subscriber and friend, Andres Rossi on the podcast! I have watched him mature and grow from an undergrad student into starting his first job as an actuary after his masters degree in quant finance and actuarial sciences. In our discussion we talk about actuaries vs quants, actuaries in Italy, education, quant finance, data science, and risk management.

I was very impressed with Andres' English as he took a few classes in school but really taught himself by watch videos on YouTube. This is also the first time I have ever had a conversation with him and his first English conversation. We have been in contact over the years through messaging apps but it was great catching up with him on video.

Time is ticking and when you turn 30 years old it seems life changes. More realistically, sometime around the age of 30 as we are all unique. The biological clock is ticking away for having kids and finding a spouse. This life change can have a large impact on one's career, especially in quantitative finance. I am currently struggling with this as I am very career driven and am the personality type that needs to be busy and productive constantly. About a year ago I had a daughter and she turned my world upside down. A younger me always though you had kids and there were a few adjustments but that my career would stay on track. To my surprise learning to juggle a family and a career as well as my previous life has been very challenging. I now want to be a great father and spend a lot of time with my wife and daughter however I also need to be putting in extra time at work if I want a career and not just a job.

This life change impacts both men and women. Finding a spouse has a clock ticking on it as well because many people find mates by 30. This means the number of people you can marry gets smaller every year if you want to marry someone around your age who doesn't have kids. Marriage is also time consuming as you now have to share your time with someone else. Having someone there to support you can also help propel your career however the focus from career to family seems to naturally shift around 30 years old. There is no right decision here. I'm not saying you need to be married or have kids however if these are things you do want in life, there is a biological clock ticking and you need to make a decision. Having a career (not just a job) and balancing a family is challenging and not very likely for most.

Federal regulators requested more power from Congress to regulate stablecoins, a fast-growing type of cryptocurrency that they warn could result in bank runs and consumer abuse unless lawmakers act quickly, according to a report issued Monday by the Treasury Department.

The report, which was undertaken by the President’s Working Group on Financial Markets, called on Congress to pass a law that makes issuers of stablecoins subject to requirements like those of traditional banks and financial institutions. Such a change would require that those institutions hold adequate reserves to ensure they can meet the demands of customers to cash out quickly.

The call for congressional action comes at a pivotal moment, as cryptocurrencies are exploding in growth with limited federal oversight in place to regulate them.

Stablecoins, have not always proved as securely backed as companies claim, which the Treasury report warns could pose significant problems for customers, investors and the overall financial system.

Some regulatory powers already exist, the report said, including the ability of the Securities and Exchange Commission and other federal agencies to police certain stablecoin issuers.

But after months of studying the growing risks presented by stablecoins, the leaders of the President’s Working Group on Financial Markets said they had identified regulatory gaps that legislators must address, essentially throwing the issue to Congress.

Here is a link to the report: https://home.treasury.gov/system/files/136/StableCoinReport_Nov1_508.pdf

Patrick's Books:
Statistics For The Trading Floor:  https://amzn.to/3eerLA0
Derivatives For The Trading Floor:  https://amzn.to/3cjsyPF
Corporate Finance:  https://amzn.to/3fn3rvC

Patreon Page: https://www.patreon.com/PatrickBoyleOnFinance

Visit our website: www.onfinance.org
Follow Patrick on Twitter Here: https://twitter.com/PatrickEBoyle

Patrick Boyle On YouTube

The decision to work in the industry vs academia is a hard one to make. Years into a career in the quant finance industry and I still wonder if I should go back to academia. My passion for education, training, and research is still strong and often the industry seems to be against these three ideas. Making money and focusing on the business takes precedence over education and learning even when the long-term profits would be lower. Making money in this very moment seems to consume businesses and especially banks.

So is the grass really greener on the academic side? In this episode I discuss the pros and cons of academia in contrast to the industry.

QuantSpeak host, Dan Tudball is joined by Dr. Laura Ballotta to discuss the initial challenges of trying to bring financial risk and insurance risk together and the massive opportunities for cross-pollination between both fields in the post-pandemic markets.

Ahead of the Quant Insights Conference on 27th & 28th October 2021, QuantSpeak host, Dan Tudball is joined by Grant Fuller, CEO of Irithmics, to discuss the exciting lineup for the event, the conference talk topics, Grant's admiration for conference speaker, Robert Litterman, and Grant's own career path through quant finance.

QuantSpeak host, Dan Tudball, is joined by NVIDIA's Tim Wood and John Ashley to discuss deep learning in finance and how quants can engage with these artificial neural networks.

With the pace of change in financial markets becoming more rapid, QuantSpeak is joined by Dr. Misha Fomytskyi, Co-Founder of Vola Dynamics, to discuss his journey into quant finance, lessons learned from the previous 'new world' of 2008, and why quants should be focusing on Machine Learning over the next 5 years.

QuantSpeak host, Dan Tudball is joined by author, David Orrell, to discuss why quantum ideas are appropriate mathematical frameworks for finance (not just physics) and why these ideas are becoming more tractable to quant finance practitioners.

QuantSpeak host, Dan Tudball, is joined by Professor Natalie Packham to discuss her recent research on the 'London Whale' incident of 2012 and how a new correlation-based approach could have helped prevent over $6 billion in losses.

Dr. Randeep Gug, Managing Director of the CQF Institute, introduces QuantSpeak – the new podcast from the CQF Institute. 

Expect key insights from finance practitioners to help you stay competitive in the rapidly evolving quant finance landscape.

Welcome to Season 4 of Talking Tuesdays with Fancy Quant!

I'm really excited to be back here on the podcast and back on YouTube. While I was taking a mental break from content creation I ended up finding an amazing job offer with some unique risks. I ended up not taking the offer due to legal risks however when valuing a new job there are a lot of different angles to consider from the dollar value of salary and bonus to the equity options and benefits (healthcare, PTO, working from home, and other freedoms). Quantitative finance has been a very interesting career as the industry is growing into the cryptocurrency world. Where does finance end and decentralized finance (defi) start?

I wish managers took the time to really get to know me and other employees. This is a reflection as an employee and as a manager. People have relationships that go unleveraged. It is often easier to use relationships to help develop better connections across a business and make working together much easier. Another issue is that managers often don't get a full view of your skills. They hired you to do one job however they fail to realize the wide range of skills employees have and how to leverage them to create better solutions. This has been a big frustration with data science. People who jump up and down and all excited publicly about new topics like data science often get assigned to do the work while your most qualified employees typically aren't extroverts at least in technical fields. It is your responsibility as a manager to get to know people at a deeper level.

Other personal skills and characteristics are often missed. Management skills are judged based on your personal view of what management is. Managing at a bank is much different than managing at a small firm and especially in a blue collar environment. Age seems to be the biggest hurdle I face. It is really hard for people to grasp my experience due to my age. Realistically most people have not had 8 years of work experience in another industry as an expert by the age of 24. To top it all off, I started a whole separate career in quantitative finance. The ability to start over and jump fields has been a really big challenge and this multidimension perspective could really help companies manage a variety of relationships and projects.

Video Version:
https://youtu.be/v9wMm7wViYM

The Collapse of Greensill Capital

SoftBank-backed Greensill (a fintech company) lent billions of dollars to companies that included the highly indebted metals conglomerate GFG Alliance, silicon valley Construction Technology company Katerra and West Virginia mining company Bluestone Resources. These loans were packaged into bonds which were sold as a fund by Credit Suisse.

Greensill was funded by its own German-based and regulated bank and via Zurich-based Credit Suisse Asset Management. Its main shadow banking operations were in London.

German regulators BaFin last month seized control of the bank and filed a criminal complaint alleging balance sheet manipulation. Swiss and Australian officials are asking questions of Credit Suisse. Meanwhile, in the UK, where it has been celebrated as a leading “fintech” and counted former prime minister David Cameron as an adviser, there is little sign of regulatory action.

In the lead up to this crisis Lex Greensill and his family took $200 million out of the company.

No one knows the precise amount of bad loans involved: Credit Suisse is budgeting for at least $1bn to $2bn; insurance policies covered at least $4.6bn; in July last year insurer Tokio Marine said an underwriter had breached exposure limits by writing coverage for more than $7bn. And no one is sure who will bear the losses.

GFG has already defaulted on loans to Greensill. Some of those loans exist within Credit Suisse funds. Those funds have insurance written by the likes of Insurance Australia Group and Tokio Marine. IAG says it has no “net insurance exposure” to Greensill because of “extensive reinsurance” and “agreements with Tokio Marine for it to hold any remaining exposure”. Tokio Marine, in turn, says it also has reinsurance, it may turn to litigation and, anyway, the insurance may not have been valid in the first place.

This looming fight between loan originators, securitisers, funds, banks, insurers and investors looks very like the fallout from the 2008 crisis. The lawsuits that followed took up to a decade to resolve and cost tens of billions of dollars. For now, there is little general market turmoil. But it could still get messier.

Patreon Page: https://www.patreon.com/PatrickBoyleOnFinance

Patrick's Books:
Statistics For The Trading Floor:  https://amzn.to/3eerLA0
Derivatives For The Trading Floor:  https://amzn.to/3cjsyPF
Corporate Finance:  https://amzn.to/3fn3rvC

Visit our website: www.onfinance.org
Follow Patrick on Twitter Here: https://twitter.com/PatrickEBoyle

Patrick Boyle On Finance YouTube: https://www.youtube.com/c/PatrickBoyleOnFinance


Links
Supply Chain Financing Patent: https://patents.google.com/patent/US6167385A/en

Court Hearing NSW https://www.caselaw.nsw.gov.au/decision/177f18936157b0e4a1349f9d