Recent content by Ken Abbott

  1. Ken Abbott

    Hiring Quants from Outside the US

    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.
  2. Ken Abbott

    Purpose of pricing models

    Well-said.
  3. Ken Abbott

    Infrastructure Resources

    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/...
  4. Ken Abbott

    Less Sexy Areas of Quantitative Finance

    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.
  5. Ken Abbott

    M&A Resources

    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...
  6. Ken Abbott

    Professor Needs Advice For Model Validation Assignment

    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...
  7. Ken Abbott

    MFE for Career in Energy/Cleantech?

    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.
  8. Ken Abbott

    MFE for Career in Energy/Cleantech?

    Operations Research would be more relevant for power.
  9. Ken Abbott

    Is there any way to get experience in the quant field without being qualified for a position?

    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...
  10. Ken Abbott

    Most flexible quant programs?

    Well-said. I was considering a reply here but you said it better that I could have. You need to remember that this degree is a commodity, of sorts. The school's reputation is put at risk if it turns out students that don't meet expectations. The good news is that you should come away with...
  11. Ken Abbott

    Best Courses to take for MS Statistics (BuySide Interest)

    BUT: I found it very helpful to run the optimizations in a spreadsheet or programming language before you run them in a math/stat package
  12. Ken Abbott

    Best Courses to take for MS Statistics (BuySide Interest)

    Probably better to use an online resource to get started and then try some examples in Matlab.
  13. Ken Abbott

    Best Courses to take for MS Statistics (BuySide Interest)

    Consider optimization: LP, QP, NLP.
  14. Ken Abbott

    FRTB SA discussion

    The best source would be the Big 4 audit/consulting firms, McKinsey and Oliver Wyman.
  15. Ken Abbott

    FRTB SA discussion

    I wouldn't say I'm an expert on the new senstivities-based approach, but I have spent a lot of time deciphering reg requirements and translating them into homework assignments for my students. For FRTB-based stuff, I'm waiting for the first official disclosures to come out so I can see what the...
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