3 ms·

Sounds like interesting work. Did you leave that area of development? Were you allowed input into the modelling?

• JackFr 10y ago
  It was pretty interesting work, and working for a really bright guy was great. The work largely dried up in 2008. We were all laid off. There was still some stuff going on, but between streetwide layoffs, and Bear and Lehman and Wamu and Countrywide and Merrill, there were a lot more people than jobs. With respect to input to the models the main idea was risk neutral pricing from more liquid (ABX indices) to less liquid (Subprime MBS bonds). But he had special sauce which he kept very close to the vest, and didn't really look for any input (although very open to any pragmatic implementation w/ respect to the software. )