Ken Abbott
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  • Dear Sir, thank you very much for your MIT OCW VaR Lecture. I am very much interested in the spreadsheet "MC stuff 2020.xls" to understand better the notes.
    Would you mind sending me the spreadsheet please?
    My email is olivia_0930@hotmail.com

    Many thanks and kind regards,
    Olivia
    Ken Abbott
    Ken Abbott
    It’s posted
    O
    OliviaX
    Hi Sir, i just checked my email and don't seem to receive your posting. May i ask where did you post it please?
    Thanks,
    Olivia
    Hi Professor,

    Thank you for your MIT OCW VaR lecture.I would love to walk through your "MC stuff 2010.xls" to solidify my understanding.I request you please send the spreadsheet "mc stuff 2010" to

    anandvajravelu@gmail.com

    Thanks
    Anand Vajravelu
    Hi Prof. Abbott, I am one of the following who really really liked your MIT VaR class.I hope I understood things as intuitively and insightfully as I am also in risk/banking, hold the FRM and ms in stats.

    I'd also like to ask you for the spreadsheet "mc stuff 2010" as the others :) Lucky that I know who to thank to.(And I will bring a stone (of course some really far future)) :P

    1112.yang@gmail.com
    Best, angelina
    Hi Ken,

    Thank you for your MIT OCW VaR lecture and I am yet another person who drank from the firehose and would love to walk through your "MC stuff 2010.xls" to solidify my understanding. It would be very much appreciated if you are willing to share it again.

    Best,
    Dan
    dr_hops@yahoo.com
    Hi Ken, I watched your MIT lecture regarding Monte Carlo simulation of VaR with great enthusiasm.

    I can understand if you feel reluctance to share “MC stuff 2010.xls” you went through in the lecture, but if you would, I use it for inspiration on how to adjust my setup.

    Alternatively, can you point me in the direction of some articles of historic/MC VaR calculation (including FI)?

    bo.molgaard@gmail.com
    Dear Mr Abbott,
    I am currently taking a masters in Applied Economics in Brazil. I really enjoyed your VaR lecture. Could you send me the spread sheet called Mc Stuff 2010.xls?

    My email is: luizneto@lbvalor.com.br

    All the best
    Luiz Bezerra
    (continued) Actually i am trying to calculate the VAR of a portfolio that contains all the assets (stocks, bonds, FX, derivatives, swaps...), but I dont know how to do it.... Thanks a lot for your help.
    Dear Mr Abbott,
    I would like first to congratulate you about your classe at MIT posted on YouTube about VAR.Fantastic.
    I am looking for a portfolio VAR calculation that include all the instruments: Stocks, bonds, derivatives
    I found only VAR on specific instruments but no all of them. I would really appreciate if you have a book or a spreadsheet about it.
    Thanks a lot for your help.
    Sohail
    skhan740@gmail.com
    Hi Ken,

    I am an MIT student and I was learning 18.S096 on my own through OCW. I could you share your VaR spreadsheet called Mc Stuff 2010.xls? My email is shirllu@mit.edu.

    Thank you!

    Shirley
    Hello Ken,

    I encountered your video on youtube on VaR at MIT OpenCourseWare. Coud you please send me the excel file if thats ok, where you have the portfolio with some fixed income securities on which you calculate eigenvectors, the file is called Mc Stuff 2010.xls.

    Thank you very much

    Email is dappanah@gmail.com

    Davin
    Hello Prof. Abbott,

    I watched your lecture on VaR on MIT OpenCourseWare, and found it very interesting. I would like to follow up on what I learned, and was hoping you would be able to share the excel file that you used in the class. If I can see the video correctly, it is called MC stuff 2010.xls. It would be very much appreciated.

    My email is benaiva9@gmail.com Thanks!
    Hello Ken,

    I'am a Masters student writing my thesis at the University of Cape Town in South Africa. I just watched the lecture you gave at MIT on VaR and found it fascinating.

    Could I possibly get that excel spreadsheet you used to generate correlated random normals called 'Mc stuff". My email is Dylan.Probyn@hotmail.com. Thanks in advance and have a great evening.

    All the best
    Dylan Probyn
    Ken Abbott
    Ken Abbott
    See if what I just sent makes sense.
    Dear Prof. Kenneth Abbott, I also found your MIT lecture on VAR very interesting. I would appreciate some orientation on how to fill in MISSING DATA and some more references on the procedure and excel complement (matrix.xla?) you used when revealing the keys of the kingdom (WOW! thank you). My email is anmarkos@gmail.com
    Hi Ken, I am a senior undergrad student studying financial econometrics and have a similar question to asidd.
    I took your lecture on a VaR model through online that you gave at MIT. I would like to study further with using excel file that you discussed in the lecture.
    I checked the name of that file and it was MC stuff 2010.xls. Is there any chance that I can get that excel file from you?

    Thanks.
    H
    HyunWoo
    and here is my email address
    ericroh93@gmail.com
    Hi Ken, watched your lecture on VaR Models that you gave at MIT and found it informative and useful. Had two questions:

    1. At the systemic level, If we are to posit that risk can be transferred but cannot be eliminated then would that be a correct statement?
    2. Would you still have the excel file that you discussed in the VaR model lecture at MIT.

    Thanks.
    Ken Abbott
    Ken Abbott
    Which spreadsheet? I have a bunch I use in the classes I teach.
    Risk can be eliminated with offsetting positions.
    Hi Prof. Abbott, I am considering the job offer to be Market Risk Quantitative Internal Auditor. Like to seek for your opinion whether I can gain experience and switch to Market risk, Model validation, or any Quant hands on work etc. in future or not? or it is better to go directly to those positions.
    Ken Abbott
    Ken Abbott
    If you have a real offer, you should take it. People move frequently from quant positions. A good friend of mine was a quant auditor and is now in model validation.
    Hello Sir... I am Faisal....I am doing my bachelors in Mathematics and want to get admission in MS Mathematics in Finance in NYU.My Degree will complete in June 2017.and want to apply for fall 2017.Sir kindly help me and give advice that how much GRE marks is required to get admission? because my cgpa is not so good..Cgpa is 2.70.and could work experience like internships etc helps me in getting admission?
    Hi Prof. Abbott.
    I have a question about your MIT VaR class.
    As we know, a symmetric matrix (like covaraince matrix) could be decomposed into EAE^-1 (where E contains all eigenvectors, A contains all eigenvalues, E^-1 equals matrix E inverse), but you have used another decomposition EAE' (where E' equals E transpose). I don't know how to prove EAE' decomposition. Could you help me about that?
    Best, Zongyuan
    Ken Abbott
    Ken Abbott
    I don't think EAE^-1 will factor your matrix. It's E'.
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