Research Seminar: What is Quantitative Research?
As a part of our ongoing series of research seminars for the CCB students, we have the pleasure of having Dr George Yang introduce the area of quantitative research as well as the role it plays in the banking and financial sector.
Dr Yang is an expert in the field of quantitative research and mathematical modelling. He holds a PhD in Mathematics s well as a Masters' degree in statistics from Duke University, and another Masters' degree in computational mathematics from the China Academy of Engineering Physics. Dr Yang is a part of the Lloyds Bank VXA Quantitative Research Group, where he performs in-depth R&D of C++ and GPU parallel computing for the XVA trading system. Not only does he have practical experience in the field of quantitative research, Dr Yang also publishes extensively in renowned journals like Frontiers in Life Sciences, and he has a vast experience in teaching mathematical statistics, stochastic processes, financial mathematics, and risk management, to both undergraduate and postgraduate students.
In his seminar, Dr Yang took the CCB students through a few key questions surrounding Quantitative Research, namely, (a) what makes a quantitative analyst (quant)? (b) What are the different types of quant? (c) what are banks looking for when they hire a quant?
A quantitative research analyst, or in financial jargon, a quant, is a person who specializes in the application of mathematical and statistical methods to financial and risk management problems. They are also known as 'the rocket scientists of Wall Street'. Apart from mathematics, quants are also experts in economics and finance. Their job originally dealt with the 'sell side' where they are concerned with derivatives pricing and risk management. However, their job scope has changed and expanded over the years to include the 'buy side' where quants are involved in almost any application of mathematics in finance such as statistical arbitrage, quantitative investment management, algorithmic trading, and electronic market making.
There are several types of quants – (a) desk quants where they work with price determination, risk management, and identity profitable opportunities, (b) model validation/review quants where they validate risk rating models across the bank, assesses a model back-testing process, and performing test work validation of market risk models, (c) research quants perform research on quantitative models with an agreed upon fix adopted by numerous financial institutions, and (d) quant developer where they are computer scientists who assist, implement, and maintain the quantitative models, just to name a few on Dr Yang's list.
Dr Yang also tested the students with some sample interview questions that they would ask potential quant applicants, like the dice game, as well as how to model the pricing of a stock. Naturally, our bankers passed with flying colours. It was an interesting and engaging talk and the bankers learned a lot about quantitative research and the role it plays in banking and finance.