Can't They Even Slam the Barn Door Right?

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 (MS) 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.

Comments

[umm....:]

Duh! Do you really think Morgan Stanley would create a new group like this solely with new, junior recruits? Is it even remotely conceivable that the firm does not already have deep expertise in quantitative modeling within its ranks? I can't imagine why anyone would interpret this as anything other than the firm choosing to bulk up and perhaps consolidate some of its talent in this area. Of all the idiotic things I've read through this crisis, this has to rank near the top!

2008 Nov 13 07:17 AM

[Nick Gogerty:]

most modellers fidget with their epsilons not realizing the whole premise of CAPM and Markowitz and options pricing is deeply flawed. Maybe bigger, faster computers with smarter people will solve it...hardly. As a quant I hold most of the profession in low regard for being obtuse and myopic. The world would be a better place if the modellers advanced humanity in the real sciences and not economics which is a social soft science and for which many are ill suited. Applied economics in the form of finance has limited scope or need for more math.

2008 Nov 13 11:05 AM