[Testimony] Being a Quantitative analyst in a consultancy

Updated: Apr 8, 2019

The Consultancy Market is today facing a new dynamic, where quantitative finance is becoming a central topic for clients. For the last five years, major investment banks have shown a strong interest in getting consultancy services within their Quantitative research departments.

Since 2016, Quanteam UK has taken this trend as a great opportunity to refocus on the Quantitative field, dramatically increasing and developing our expertise across topics such as Pricing Modelling & Implementation, Risk Analytics & Methodology, Model Validation & Benchmarking or even Machine Learning for example… Consequently, Quanteam UK’s quantitative projects were accounting for 45% of our total projects in 2018, leading to a significant increase of quantitative experts hiring.

But working as a Quant in a consultancy, what does it mean?

If many Quants still think that quantitative opportunities are more interesting with a permanent status for a bank, this preconception today deserves to be seriously reconsidered. Indeed, many clients now opt for the onboarding of a consultant rather than a permanent employee, when a hiring requirement arise in their team. Why this? Because of the budget nature and timing (eg. cash available but no headcount), the quality of resources, but also the fact that quantitative teams are more and more driven by projects and regulatory deadlines today.… There are many reasons explaining this trend, which gives consultants the opportunity to efficiently and quickly build their career. Indeed, having access to demanding and diversified projects enable them to have a fast-paced skills-development, increasing their competitiveness on the market.

Alexandre, junior Quantitative analyst freshly graduated from a Top Engineering school and a specialized MSc in Quantitative finance, started working with Quanteam UK in March 2018. He joined the Quantitative Research department of an Investment Bank, with whom Quanteam UK has developed a preferred partnership in the last years and is today explaining his job and daily projects.

"The most interesting project to me was a research project about a new stochastic volatility model"

“I am working in the model validation team of a leading UK bank. The range of subjects around the team is wide in scope: the team covers the validation of pricing models of all asset classes, trade surveillance, algorithmic trading as well as many regulation projects such as FRTB.

The work I have been doing for the past year has been very interesting and varied. Indeed, I had the chance to deal with different kind of projects. I worked on interest rate models for the pricing of a range accrual and collared swap and on equity models for the pricing of equity linked swaps. The whole mathematical computations were done as well as the product and model implementation in C++ from scratch.

I had also the opportunity to work on a less technical project covering a wide range of exotic products in FX and interest rates. I could familiarize with different features of exotic path dependent products and learn how to use an online pricing platform.

The most interesting project to me was a research project about a new stochastic volatility model. Rough stochastic volatility models are a new family of models that can be used to represent in a better way the short-term smile and the ATM skew term structure. It is computationally expensive to use traditional pricing methods such as PDEs to price products with this model. Hence, I used new machine learning techniques to price vanilla options and calibrate the model. I could improve my Python skills and learn to use Tensorflow, the reference package for Deep Learning.”

"Being a consultant allowed me to be part of a very challenging team"

This personal and professional experience shows that working as a consultant is actually a great way to work on highly quantitative and innovative projects, and offers an easier access such kind of highly-demanding environments.

“Being a consultant allowed me to be part of a very challenging team. I wouldn’t have been able to be hired as a permanent since having a PhD is a prerequisite for junior candidates. I could integrate very easily as everyone is helpful and no difference is made between consultants and permanent colleagues. I worked on many subjects from traditional validation of classical pricing models to quantitative research on innovative models and pricing methods.”

Should you want to know more about Alexandre’s background and experience, have a look at his LinkedIn profile!

For more information about Quanteam UK’s hiring opportunities, contact us!

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