i*****e
发帖数: 159 | 1 你所说的PnL大头在vega实际上也是指vol的变化对option value的影响，实际上和“
gamma weighted average diff of implied and realized varaince”是一个道理吧 |
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a***r
发帖数: 594 | 2 if you are interviewing with them, maybe you d find it helpful that a few
things I knew that core did back then:
1. SLANG and its IDE (secview, secgui ...)
2. distributed computing framework ( the API and underlying infrastructure
to utilize the firms CPU pool )
3. batch process distributor (the mighty PROCMON :)
4. slang table model. A java based proprietary spreadsheet application. the
end delivery tool for virtually all PNL and risk reports.
5. code quality control, test. When a desk strat w |
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N******r
发帖数: 642 | 3 ask them abt their high water mark. you dont want to get trapped into the
position that will never pay anything for the next 2 or 3 years.
same advice for anyone whose future payoff is the function of the pnls. |
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t**********a
发帖数: 166 | 4 I even doubt trader/sales can get those number.
mid level sales/trading is expecting on average 5-10 mil CV/PNL, they
probably get 5-7% out of it for bonus, adding the base, 500k might be larger
than what they can get on average.
phd |
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d*j
发帖数: 13780 | 5 没有别的意思啊， 大牛
我只是根据自己的一点点经验判断的
那些trader 称呼自己是什么 flow
然后我做的 几乎和你说的一模一样
when thinking about flow business in strat context, one thinks about: fast m
odel; real time data, PNL, risk analytics; robust infrastructure to handle l
arge portfolio and large volume of trades.
think the meaning changed in the firm.
are
handle |
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t********a
发帖数: 810 | 6
weather or not small companies sponsor green card or h1b, its not that hard
to find out. There are one man shops under bigger funds, and there are mid-
size shops, many of them do sponsor whatever you need.
and what makes u think other ppl need green card sponsorship?
as far as I know, in your shitty world nobody else has green card, nobody
else has a job, nobody else has a dick, and pnl smells like shit to you
because you dont get any... u think everybody is like you stupid loser girl
who gets |
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t**********a
发帖数: 166 | 7 not sure what is "hedging cost"
If it meant the slippage and bid/ask spread, that is due that your delta
trading will move the price against your
target price, resulting in costing more money;
or it meant gamma PNL, that is due to realized vol is different from implied.
Actually what you try to say might be close to slippage, but it is not due
to "noncasusality" (i.e. not know the
price before delta hedging). The delta is a strategy based on all the
information we know (dW = Wt - W(t-dt),
not Wt |
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s*******r
发帖数: 60 | 8 The interviewer said we assume the market is complete,no transaction cost
and the stock price follow a log normal.
I am seriously considering what you said the gamma PNL issue.
Thank you!
implied. |
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d*j
发帖数: 13780 | 9 FO also needs SQL, put them inside excel VBA, to generate risk and PnL
reports |
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b********n
发帖数: 609 | 10
will
那是，听说马桶里那东西吃多了什么都懒得干。别老挂着你老那点PnL，你全身PY那么
多不用干嘛。 |
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t********a
发帖数: 810 | 11 个腰鼓养地, 多牛的trader PNL也没你PY多啊. |
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t********a
发帖数: 810 | 12
有机会, 但极少. 有机会多跟trader套近乎, PNL给人多算点,多跟trader出去喝酒, 慢
慢等待机会. 说不定哪天哪个trader磕药咯儿屁了, 需要马上有个替补队员顶上, 你的
集会就来了. |
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s*****G
发帖数: 1535 | 13 各位大牛，认识的不认识的，请多给点意见。还有有认出我马甲的，请不要戳破我脆弱
的外壳。
本人不才，毕业很久才找到一个小hedge fund的工作。先是unpaid的实习做了3个月暂
且不说，各种苦也不说，只是很郁闷。公司很小，10个人左右，都是美国人，都是男人的，我是唯
一的一个女性，平时他们也没有话跟我说。而我的工作，说出来估计版上的牛们又要嘲笑一番，就
是不断的copy and paste. 因为公司是start up的，很穷，手里的portfolio大概
55million,比起其他energy trading公司，是个非常小规模的公司。所以我们没有买risk
management的系统去Track position, 只能手动的用Excel不断copy paste. 我大概做了接
近3个月，然后每天下午3点之后开始算各种PnL。多少次想不干了，真的是不想干了，可是也不能
走，因为实力不够，数学一般，编程很差。考虑到公司可以给我办H1B，大家都劝我忍。而且工资也
低的令人发指，呵呵，比h1b的prevailing salary还差点。。
这段时间想了很久，慢慢浮躁的心也开始有些踏... 阅读全帖 |
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t********a
发帖数: 810 | 14 扯蛋. 投行里牛B的老中MD head一大堆, LZ要一个都不认得的话实在比较pathetic. 很
多老中的屁股都做在几百块的PNL上. |
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s*********1
发帖数: 178 | 15 4个trader共用一个共同账户。。。要我分开来算各自的pnl。。。
还有一个trader 会做day trading,亏钱了就放到这个共同账户来，不亏钱就留在自己
账户。。。
我靠
真希望公司赶紧倒闭 然后就可以头也不回的回国了
fxxx |
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S*********g
发帖数: 5298 | 17 挺好的一个机会。正好锻炼你的技术。
你要是这么复杂的乱七八糟的东西都能算清了
以后去正规点的fund，那还不是太轻松了。
他们账户不清楚，不愿意分。
你也可以提些建议改善一下跟踪的机制，这样你算的PNL会更快更准确。
总之一句话，现在不是怨天尤人的时候,埋头苦干才是正道。 |
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p****e
发帖数: 1028 | 18 MO is a group that is responsible for
1) trade capture, confirm, settle
2) official PnL confirm and report
It is an operation group, and a prototype MO is a 23 year old second-tie
r US college graduate, male, very good at communication and only underst
ands clicking which buttons on which spreadsheet during the EOD process.
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p****e
发帖数: 1028 | 19 No that's incorrect.
Firstly risk managers do not have pnl: they are not profit center.
Secondly, let me ask you this: is book runner a mo or a fo?
o |
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z****g
发帖数: 1978 | 20 Let the desk to share the PnL with a REMOTE group of people who claims to
review the model is the last thing that any desk want to do.
Be real, man. |
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d*j
发帖数: 13780 | 21 我指的是PnL report
anyway
呵呵
坐在desk上的， 不一定是FO的
但是不坐在desk， 肯定不是的了 |
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t********a
发帖数: 810 | 22 就算是middle office, 这个middle office比纽约的back office离trader都远, whats
the point of being middle office without being visible?
你在middle office算PNL, trader要做个逼什么的还要你睁只眼闭之眼通融一下, 你这
middle office对trader有什么影响? 人家trader有钱不还是先分给纽约的back office
? |
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p****e
发帖数: 1028 | 23 i think there is a big confusion/miscommunication about what MRG is abou
t.
MRG do not share any PnL with any desks. As long as the bank is under so
me sort of regulatory monitoring, the very fundamental requirement for a
trading desk to conduct business is to have the regulator's blessing: y
es you have a sound model and you have met your necessary condition on t
hat front.
IB quants design and develop those models. And MRG makes sure the model
itself is consistent, economically meaningful, and... 阅读全帖 |
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d******u
发帖数: 142 | 24 MVG is just a control function that makes sure the FO marks their books
correctly. For new trades, FO usually engages them in advance in case they
can not realize their pnl.
They are the brain in BO so interact with Quant and trading desks often. You
could find a junior position in FO after a few years but normally not in
the same bank. The reason is that your boss in MVG usually sees such
internal switch a disaster to manage team stability. |
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t********a
发帖数: 810 | 25 these are very weird criteria...
在middle office算firm wide risk肯定担风险, 这个东西搞错了10%, marginal risk
肯定比某个desk的trade做一个rogue trade风险要大.
在middle office算PNL, 会常和trader打交道, 比algo trader跟人打的交道都多. |
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s**********8
发帖数: 34 | 26 1,如果做day trading的话，Trader的position是怎么实时update的？尤其是在不同的
exchange上交易并且还有broker 交易；
2，pnL一般每天花多少时间去核算；
3，尤其做equity这种不太quant的产品的，一般做什么strategy?需要像fixed income
那种很
fancy的model么？
4，一个trading公司里面只有4个trader,1个coo,1个负责会计的，剩下的3,4个都是
fresh的学生
做support,这样的公司结构是不是很奇怪？
谢谢了。。 |
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f*******y
发帖数: 988 | 27 第一个答案你都不明白说明你对交易系统了解太少了
第二个么，严格的讲PNL要back office核算的，最后和你real time看的可能会不一样
有很多意外的原因比如人家fail to deliver， 你的trade被bust，公司没有update最
新的fee
structure等等 |
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t***l
发帖数: 3644 | 28 听说这是risk management的工作。 |
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t********a
发帖数: 810 | 31
as a trader, u always have to "mark" your position, because at the end of
everyday the head trader will ask u whats ur mark.
such marks can sometimes be very discretionary and even arbitrary,
especially for many illiquid products. therefore, trader's mark and middle
office's mark often do not agree. its part of daily life to yell at the
middle office over the phone so that they know they are not smart enough to
get the mark right. |
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s********7
发帖数: 52 | 34 10% PnL cut?
这个听起来有点超越实际吧。。。
hedge fund也很少能达到这个标准的 |
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s********7
发帖数: 52 | 36 他意思是hedge fund从client那里抽取PnL的20%
然后自己留下一半，另外一半作为bonus发出去
这个50%的payout ratio已经很高了
GS,CS今年大概是35-40%的比例
当然HF一向比IB要大方点
不然怎么招人 |
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x**p
发帖数: 105 | 37 I assume here the money is from citi itself. so citi keeps 90% of the PnL I
guess? |
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s*******s
发帖数: 1568 | 38 For prop side, usually it is 20%-30% of TOT pnl in fund.trading firm. But I
heard some trader can negotiate to
75% |
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EM
发帖数: 715 | 39 美国正常情况下实习都是10到12个礼拜，欧洲和日本好像半年一年挺多的
不过现在美国就业市场找工作的人头很多，要找high-frequency实习的话，要么是有名
的学校，要么是program和公司有关系，要么就是你编程够牛（得奖一类），要么就是
你有自己的strategy可以产生scalable地pnl
息。 |
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J******d
发帖数: 506 | 40 兄弟，解决问题是生活的一个重要组成部分，不仅仅在面试中会遇到。
我老板经常会对我大喊“JunkFood, 10Yr swap rate moves 20bps, what's our PnL
on
XXX?”. 他面试我的时候倒没问过这个。 |
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c**********e
发帖数: 2007 | 41 JunkFood,
我觉得你老板的问题其实是这样的。假设我手头持有一些十年期国库券期货。
如果我只是打开了finance.yahoo.com，或者是在走廊里看见，或者在电话里
听见今天十年期国债利率长了3.7个BP，我就知道大约亏了多少钱。怎么算？
其实在此之前，我知道我的仓位的的大致 dollar duration。这个 dollar
duration怎么来的？你通过昨天的 PNL 除以昨天的 BP 变化就行了。有经验
的 trader 知道自己的仓位的的大致 dollar duration。我觉得你老板侧重的
就是这种估计。当然你可以用公式算一下理论值。 |
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z****u
发帖数: 185 | 42 Ignore coupon payment in the bond price definition in terms of yield, you
can
see
duration ~ maturity
so in your example, PnL moves 10*0.002=2% of the total value.
不是做这个的,错了轻拍. |
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A***l
发帖数: 302 | 43 The 16b number was its peak. It dropped to 12b in 2009 and now it's still le
ss than 15b.
Just because it has a quant shop in NYC does not make it a quant shop. Qaunt
accounts for less than a quarter of its pnl. |
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A***l
发帖数: 302 | 44 The 16b number was its peak. It dropped to 12b in 2009 and now it's still le
ss than 15b.
Just because it has a quant shop in NYC does not make it a quant shop. Qaunt
accounts for less than a quarter of its pnl. |
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P****d
发帖数: 369 | 46 OMM是死胡同。
1. options 市场 liquidity非常差。做MM所需的infrastructure高，labor cost高，
直接结果就是per person pnl 低，是一个很差的市场选择。Jump， Tower这样的一线
高频公司基本不涉足OMM，可以看出OMM并不是一个好的HFT市场。
2. 前几年OMM公司(Citadel, SIG, IMC, banks, trading firms)竞争过度，现在市场
被几大公司垄断，其他公司难以进入或者已经基本放弃。直接的结果是现在整个市场
profit margin 非常低，具有垄断性质的公司可以压榨员工薪水。
3. OMM市场特性决定了，在OMM工作所需要的技能与Equities 或者Futures相比，过于
专业和狭窄，不利于对高频交易有一个高层次的理解，也不利于未来换行业。
当然，选择是否进入OMM主要取决于你的feasible set。 |
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l***e
发帖数: 108 | 47 equity要比option好吗？ 最近拿到个offer，那边既做omm（包括option taking）也做
equity。omm比较成熟，稳定赚钱，而equity目前只有两三类策略，不过好处（？）是
按pnl分成的。option似乎技术性更强些，他们也觉得option更适合我，但是也让我选
equity。有什么建议？ |
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t********a
发帖数: 810 | 48 core strat is paid comparable to desk strat but in general lower. I would
say the median total is at least 20% lower than desk strat at sub-VP level.
Still, its wall street job, you may argue it is still well paid by many
measures.
The less attractive part of core strat is the lack of up side. How do you
justified your value when you are building infrastructure? Even a team of
monkey can build excel from scratch, and its hard to say which is the super
star monkey. So oftentimes it comes to other... 阅读全帖 |
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s******e
发帖数: 1751 | 49 the more the spot moves, the more gamma pnl you will make. |
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G*********o
发帖数: 2045 | 50 doubt that, pnl is the king, anything else is just bullsh*t |
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