It is said insular, opaque markets are passe. Infrastructures for for independent asset and portfolio valuation, especially where complex and structured products are concerned must be re-invented. As valuations need to become more individual, valuation and analytics platforms need to become transparent.
Most of the quants are brilliant at many things, especially in understanding complex deal types and contingencies and the interplay of models and solvers. They are excellent programmers and tame complex computer platforms. In several forums it is spiritedly discussed, why-do-quants-love-C++ and not so seldom the answer is: can-do-everything or "policy".
A Celent study estimated an in-house derivatives analytics effort would cost approx USD 10 million, plus 25% to 50% annually for keeping the system up to date, mentioning in an aside statement staying-up-to-speed-is-an-uphill-race.
We are also not too bad at the intersection point of mathematics and computer science, but glad serving many and different market participants with customized solutions, we need made-to-measure approaches and push the technological envelope.
We act in a highly competitive market arena and financial institutions, who have not decided for in-house-only development, often apply pick-and-mix strategies.
Who will win? It is my strong believe that independent asset and portfolio valuation become a more dynamic part of the core business of financial institutions. Quants will be able to drive the critical success factors, provided they have access to the right platforms. Programing in a domain-specific language, parametric modeling, multi-model strategies, model risk assessment, .. and deployment via future looking platforms.
This is the way we went with Unisk-Q and webUnRisk.
Let quants valuate-develop-deploy like we do.
