Wednesday, November 12, 2008

Are they even slamming the barn door properly?

I have repeatedly hammered on the theme that quantitative modelers need to spend more time thinking about the assumptions behind their models (see my recent posts What actually happens in the long run and There are no models for all seasons). Analysts need to understand under which conditions the assumptions hold and under which conditions the model will fall off a cliff.

While this comment isn’t directed at any specific firm, I recently came upon this job ad as an example of possibly the blind leading the blind:

Morgan Stanley is seeking Quantitative Modelers to join the new Market Modeling Group at Morgan Stanley. Candidates must have demonstrated excellence in mathematics, programming, statistics and Quantitative modelers must have a background which would enable them to develop models that would positively impact the revenue-generating capabilities of their trader counterparts.
While it is admirable that Morgan Stanley is forming a Market Modeling Group, this job description seems to call for a junior or intermediate level quant (3-5 years experience). I hope that this isn’t a case of the blind leading the blind and there are people in the firm with the sufficient maturity and “grey hair” to lead the group and understand the nuances of modeling.

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