Recent content by Ken Abbott

What Is Asset Management, and What Do Asset Managers Do? Asset Management Overview Asset management - Wikipedia What is Asset Management? (Full Guide) | Career Principles Asset Management: Industry Overview, Careers & Salaries Asset Management Company (AMC)

Readings https://www.bis.org/basel_framework/chapter/CRE/50.htm https://www.bis.org/bcbs/publ/d574.pdf Counterparty Risk: Definition, Types, and Examples Counterparty Risk Vs. Credit Risk Management: The Difference Basel Framework The Fed - Supervisory Policy and Guidance Topics - Credit Risk...

The approach is basically the same. The tricky part is the way the BIS wants it reported. In addition to the ES using a full datatset, you must also do en ES with a limited dataset, and a "worst case" ES, historically. In addition, there are somewhat complex liquidity adjustments to be made...

https://www.bauer.uh.edu/rsusmel/7386/ln1.pdf https://www.bis.org/publ/work1094.pdf https://web.stanford.edu/~jbulow/Lehmandocs/docs/BARCLAYS/LBEX-LL%203356480-3356609.pdf...

I'm only going to learn one, and just enough to be able to get my non-quant undergrads started doing some basic statistics. Python is too big a beast for me.

I want to teach myself R. As background, I've used many stat packages and math apps, b ut the last time I actually coded (beyond simple Excel macros was in Xbase in the 1990s. I've looked at several tutorials online, but as a beginner, I find it really, really frustrating when what I see in the...

If you're good, they'll hire you. BUT, unless you have good communication skills in English, you will peak early and never break through to MD.

Well-said.

https://s3.us-east-2.amazonaws.com/assets.clapesuc.cl/media_post_4816_3ce9252017.pdf https://www.nber.org/system/files/chapters/c14364/c14364.pdf https://corporatefinanceinstitute.com/resources/career-map/sell-side/capital-markets/infrastructure-investments/...

I respectfully disagree. They are generally two different species, but I've also seen desk quants switch to risk models when the skills were needed.

Here are some that I found. Please feel free to add. Global M&A Industry Trends: 2023 Mid-Year Update https://www.worldscientific.com/doi/pdf/10.1142/9789813277427_0001 https://www.pwc.nl/nl/assets/documents/pwc-mergers-acquisitions.pdf https://www.apexcpe.com/publications/171025.pdf...

I'm assigning a model validation problem to a graduate class I'm teaching. I ran this function at a big bank, so I'm very familiar with the process. I have a student very interested in the swap market, so I figured a good model for him to validate will be one that takes the short rate...

Maybe not a full OR program, but something that will help you understand locational marginal pricing. The ISOs (check PJM) have online courses, as well.

Operations Research would be more relevant for power.

Develop a skill that quants need, but don't necessarily have. In the 1980s, I became pretty handy with the IBM PC and PC/AT (NB: 640k RAM and a 10 MB hard disk). The quants at my company were all VAX and PDP11 folk. When they saw how easily I could manipulate datasets, they asked me to join...