Ken Abbott
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  • 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'.
    Hi, Ken! I am currently working on the way how to value sovereign coupon bonds in Emerging Market of Kazakhstan. SOme of bonds are traded even once a year! I would really appreciate if you could help me with any kind of information of how I can value it. I believe you had some kind of experience with same issues. The problem is linked with the discount rate, i simply cant figure out how to get it....
    Ken Abbott
    Ken Abbott
    Get onto a Bloomberg terminal and look at the local sovereign markets. You can probably get several curves. Then consider a panel data approach.
    J
    Jorusty
    Thank you so much Ken! I have googled/researched the panel data approach methodology and it seemed for me quite hard to apply it to bonds... I am just wondering do you have any data/tips/material relating to Panel Data Approach of valuing of bonds? I would really appreciate that! my email adress is rustamkamalov@gmail.com
    Hi, I am currently working as an asst. actuary at a Reins. and was planning on moving to a HF as a quant. Hence, I was wondering which certification would be the useful for someone working at a HF as a quant. I am considering doing either the CFA, FRM, or PRM. Which one would you suggest? Also, do you think it would be a good idea to also work towards a FSA-Quantitative Finance and Investment track?
    S
    Saoud Alanjari
    I have the following background:

    •BS in Accounting and Business Economics with a Minor in Mathematics (even though I was only two courses short of obtaining a 3rd Major in Mathematics)

    •MS in Mathematics from NYU (My coursework included several quantitative finance courses)

    •Completed Exam P, Exam FM, VEE-Economics, VEE-Economics, VEE-Applied Statistical Methods from the Society of Actuaries
    Ken Abbott
    Ken Abbott
    FRM/PRM not much use at a HF. If you're not doing private equity, a CFA wouldn't be useful either. MS in QF might be of more use.
    S
    Saoud Alanjari
    Then would a CQF be more reasonable? Also, why wouldn't FRM/PRM be much use at a Hedge Fund? I thought most Hedge Funds had a risk dept.?
    Hello Ken,

    I'm all ears about the panel data approach you mentioned.

    Thanks for the help!

    Charles
    Ken Abbott
    Ken Abbott
    Send me email address. I suggested an approach and assembled the data.
    chdery
    chdery
    charles.dery@manulife.com
    chdery
    chdery
    Hi Ken, Hope you're having a good week.

    Just thought of following up with the model. I have not received it so I figured maybe something came up while you sent it or you have just been busy lately.

    Either way, thanks again for your contribution - it led to an interesting talk at work! Later
    Hi Ken,

    I would like some advice from you. I am considering pursuing an MSFE program. Should I PM you?
    hello i need an adive,
    first what do you think of the CQF? is it good?
    my plan is to do the CQF then apply to an MSFE, is this a good plan? i know that they both revolve around the same material, but i think the CQF will help me be from the best of the class in the MSFE.
    another question, Baruch or Columbia? which has a better program
    Ken Abbott
    Ken Abbott
    Don't do an online program.

    I'd consider a cqf only if you have taken no preparatory material an an undergrad.

    What country are you in?
    bassem
    bassem
    im in lebanon
    my undergrad studies where in banking and finance
    also a minor in mathematics (calculus 3 and 4, differential equations, linear algebra, probability and statistics, discrete structures, and real analysis)
    i dont have any programming knowledge yet
    bassem
    bassem
    Do you mean that its better to do some self study preparations and then go for a masters in financial engineering? without the cqf and the pre masters online curses?
    Professor Abbott, is it possible for someone with a data science degree to break into risk management? Thank you very much!
    Prof. Abbott, If someone with an MSc in Scientific Computing from CIMS sends you a resume, would you rather see that he took a class in Stochastic Calculus or Advanced Risk Management? I will take either one of those classes as an elective. I want this degree to be used in finance, so, as electives, I selected classes from the core courses from the Math for Finance Program. Thank you!
    Hello Professor Ken Abbott, I'm currently a finance and mathematics major student in China. I plan to step into the career in Quantitative finance, particularly my interest is about risk management. Would you please share with me what's the typical risk manager's career path and how should I do to become a sucessful risk manager? Thanks a lot!
    Hi Professor, I am MBA fin. from a tier 1 Bschool in India. Currently working as a business analyst in an IT company. I Did Mechanical Engineering from reputed institute. I was good in Maths from early days. Curriculum of MFE feels truly enriching. But looking the risk return perspective what will be your take in applying for course. Kindly advice.
    Hello professor. I got admitted to MQF at Rutgers and MFE in CGU. I am confused about which course to go for. As an International student good job opportunity is a priority and challenge as always. Please advice. It would be a great help.
    Hi Professor. I got admitted to MSOR columbia and Baruch. IF I get CMU, I will pick that, but currently which one of these should I pick ?
    Hi Professor Ken, I have got an admit from Claremont Graduate University's Financial Engineering Program for fall 2013, Whats your opinion on the program at CGU. It would be a great help :)
    Hi, Ken. This is Kevin. I am heading to New Brunswick for FinMath program at Rutgers at the end of the summer. So did you finally get your parking spot?
    Ken Abbott
    Ken Abbott
    Eventually I did, but I was asked to pay for it. That combined with numerous administrative difficulties and some unruly students laed me to resign my post at Rutgers Newark.
    Winston
    Winston
    Well, as the tune from the 'fifties musical "High-button Shoes" has it: "Nobody ever died for dear old Rutgers"...
    Dear Ken, I am fascinated by the quants/quant world!May I ask you about an advice how to proceed to be a junior quant?I am a physicist with 8 years of significant experience in research and data analysis.I have M.S. in Physics and Engineering, Ph.D. in Physics and Math. from Russian Academy of Sciences. I am good in differentials, math, know Monte-Carlo(scientific applications), a bit of C++/Python/Matlab.I took
    some courses from Stanford/Princeton in Model thinking, statistics, probability, etc. to remind myself about it. But the problem is-nobody wants the worker without an experience in finance environment! That does not matter where to apply the math rules – in basic research or financial industry. Math is Math :) What do you think about my chances to become a quant? Any advice would be appreciated! Thank you! Lana
    Dear Dominic, I am fascinated by the quants/quant world!May I ask you about an advice how to proceed to be a junior quant?I am a physicist with 8 years of significant experience in research and data analysis.I have M.S. in Physics and Engineering, Ph.D. in Physics and Math. from Russian Academy of Sciences. I am good in differentials, math, know Monte-Carlo(scientific applications), a bit of C++/Python/Matlab.I took
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