Liquidity Risk Management v.s. Model Validation

[realbrucewayne]

I have 3 years of experience on credit analytics at a major financial institution, and recently got 2 offers on hand:

1. Liquidity risk management at a brokerage firm, mostly churning reports, running stress testing models, implementing basel iii new ratios, and developing liquidity risk models, i.e. provide some analytical support to liquidity desk
2. Model validation at a big bank, help validate credit related models and have access to all models in the bank

Neither is front office. I wish to eventually move to front office as a strategy or structuring type of role.

My academic background is quite quantitative. I aced some phd level math classes (probability theory, stochastic differential equation, and numerical methods) at a state university nearby during my current gig. I am good with C++, MATLAB, and VBA, but not good enough to write production code.

I lean towards liquidity risk, but the job is clearly not as quanty as I'd like. And it overemphasizes regulation. I'm a little worried those skill sets may not be transferrable to where I want to be. Model validation is definitely more quanty but more remote from the business. I can do an MFE later on to hopefully boost my chances. However, I'd prefer make to the front office without the expensive degree.

Hopefully somebody can enlighten me. Thanks.

Real Bruce Wayne

 

[Ken Abbott]

I've seen more people move from liquidity-based jobs to the front office than I have seen move from model validation. (Come to think of it, I can't name a single person who has made that move.)

Regarding the regulation comment: get used to it. It's here to stay and will be just as prevalent in model validation - or anything else for that matter.

 

[realbrucewayne]

I've seen more people move from liquidity-based jobs to the front office than I have seen move from model validation. (Come to think of it, I can't name a single person who has made that move.)

Regarding the regulation comment: get used to it. It's here to stay and will be just as prevalent in model validation - or anything else for that matter.

Thanks Ken. Looks like a no-brainer.

 

[Ken Abbott]

Thanks Ken. Looks like a no-brainer.

BUT being a good model validator will give you better job security. The number of models requiring formal review has grown exponentially.