Search results

  1. Ken Abbott

    Purpose of pricing models

    Well-said.
  2. 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/...
  3. 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.
  4. 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...
  5. 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...
  6. 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.
  7. Ken Abbott

    MFE for Career in Energy/Cleantech?

    Operations Research would be more relevant for power.
  8. 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...
  9. 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...
  10. 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
  11. 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.
  12. Ken Abbott

    Best Courses to take for MS Statistics (BuySide Interest)

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

    FRTB SA discussion

    The best source would be the Big 4 audit/consulting firms, McKinsey and Oliver Wyman.
  14. 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...
  15. Ken Abbott

    What’s the difference between Residual Volatility factor and idiosyncratic risk?

    One reason is that regulatory agencies insist that banks measure both systematic and idiosyncratic risk.
  16. Ken Abbott

    Collection of important documents for risk management

    Some clearly are, but most are pretty general in nature; a gaussian copula now was calculated the same way in 1990. That said, I am considering doing a "culling" of these.
  17. Ken Abbott

    Advice from Mark Ross about Jobs

    This short video presents uncommon wisdom about the job search process. I recommend it highly.
  18. Ken Abbott

    Is it wrong or overly ambitious to aim for a top job way down my career ?

    I agree, but I would add this: good luck is what happens when preparation meets opportunity. Put yourself in a position to be lucky.
  19. Ken Abbott

    QuantNet Swags

    The swag we deserve.
  20. Ken Abbott

    ESG Resources

    Some of my students have asked about getting up-to-speed with ESG. Here's the general stuff. I will add subtopics. GENERAL What Is Environmental, Social, and Governance (ESG) Investing? What is ESG? An Environmental, Social and Governance Guide - Diligent Insights ESG (Environmental, Social...
  21. Ken Abbott

    Five ways to improve quantitative finance curricula

    I'd be happy to put something together, but I've been out of the business for five years. My knowledge may be a bit stale. Let me think on it.
  22. Ken Abbott

    A Day in the Life of a Managing Director Market Risk

    What are your hours? As an academic, I don't work even half the hours I used to work.
  23. Ken Abbott

    What books are you currently reading?

    Andy Greenberg, Tracers in the Dark This book discusses how law enforcement agencies go after cyber-criminals, e.g. Silk Road. Very enlightening. Cryptocurrency transactions are not nearly as anonymous as people think they are. New York Times Review
  24. Ken Abbott

    Help regarding this bachelor's program

    I really can't speak to the market for actuarial finance professionals. The tax treatment of payouts and the reliance or morbidity tables really sets the insurance industry apart, although I have seen a few firms that were derivatives shops masquerading as insurance companies. The markets for...
  25. Ken Abbott

    Is it advisable to do a MFE

    This is kind of like asking if you could switch from being a truck driver to a ballerina. These are very different areas requiring very different skill sets. Investment banking requires a firm knowledge of how cash flows through a company. This is essentially corporate finance and accounting...
  26. Ken Abbott

    Need Cryptocurrency Dataset

    I'm advising a student who wants to write about the statistical characteristics of cryptocurrencies. Is there a source that can provide time series of the most liquid ones for downloading? Many sources offer individual time series. I'd like a bulk download if possible of multiple currencies...
  27. Ken Abbott

    Should I keep pursuing my finance major or switch to financial mathematics?

    I'm a professor at Baruch at Zicklin and for the MFE program. PM me with your baruchmail.cuny.edu and let's chat.
  28. Ken Abbott

    How important is the location of the University?

    I'm not sure about the word prefer. I'd say companies tend to hire more from local institutions because they know them better and have alumni working for them. I've seen many, many people from outside the local area schools get hired, including into some very senior roles, but many of these...
  29. Ken Abbott

    2023 QuantNet Rankings of Financial Engineering (MFE) Programs

    In terms of the quality of the education, yes, but in terms of connections and networking I disagree. Some schools are plugged into certain employers because of past student success and alumni working on behalf of their alma maters to open doors. Many (if not most) positions never even get...
  30. Ken Abbott

    ES @ 97.5% vs. VaR @ 99%

    Hey, all. I could use some help with the exact comparison of these two. I'm simply not smart enough to do the math. I know the 99% normal is 2.32634787404084. With 1,000,000 Monte Carlo draws, I get a 97.5% ES of 2.33717879512072. I tried doing this with 100,000,000 on my Mac in Excel and it...
  31. Ken Abbott

    ChatGPT

    In student papers at the undergrad level, the giveaway will be the insertion of grammatically clean paragraphs into papers with less-than-perfect prose.
  32. Ken Abbott

    Investment Advisory and Wealth Management Readings

    INVESTMENT ADVISOR MATERIAL Investment Advisers | FINRA.org What Does "Investment Adviser" Mean? Investment Adviser | Investor.gov What Is an Investment Advisor? - SmartAsset https://www.sec.gov/about/offices/oia/oia_investman/rplaze-042012.pdf WEALTH MANAGEMENT MATERIAL...
  33. Ken Abbott

    VBA Question

    I have a question which can probably be easily answered by anyone with VBA experience. I'm a bit of a dinosaur, so please bare with me. I frequently implement Gaussian copulae in spreadsheets. Doing it in MS Excel makes not easy to explain to my students. I have a spreadsheet with a function...
  34. Ken Abbott

    The Coming Glut of Financial Engineers

    NB: I wrote this almost 12 years ago. The glut is here.
  35. Ken Abbott

    Breaking into the quant space as a non-target, average GPA undergrad

    Get an entry-level job. Work hard. Be successful. Practical success makes up for a lot.
  36. Ken Abbott

    Online Undergraduate

    The jury is out with respect to online education at the college level. I think it's generally accepted that it's poor for elementary school students and questionable for high-school students. I believe a consensus will evolve over the next 10 to 15 years when we will be able to compare the...
  37. Ken Abbott

    Trading Electricity

    Andy is spot-on. Many ISOs / RTOs have training material available. PJM - Training
  38. Ken Abbott

    Quant Finance Master's Vs. Math Master's

    There is a great deal of institutional context you would gain with a finance degree. It's possible to learn it on-the-job, but there's a lot to learn.
  39. Ken Abbott

    How mandatory is it to have PDE courses in undergrad to apply for MS QF.

    Observation: My single academic-related career regret is not taking a course on PDEs. I stayed mostly on the statistics / econometrics side, but it was a huge gap.
  40. Ken Abbott

    Introductory Finance Material

    This stuff is pretty basic, but might be of interest to newbies and career-switchers. These are from the Corporate Finance Institute. I read their material regularly and find it to be very good. https://www.youtube.com/watch?v=5eGRi66iUfU EdEx also has some good material. For example...
  41. Ken Abbott

    RIP Peter Carr

    I worked with him at B of A and at Morgan Stanley. A real quality guy. He will be missed.
  42. Ken Abbott

    10 things you can do while waiting for admissions result

    This one is key. I often suggest to my international students that they call home weekly.
  43. Ken Abbott

    Introductory Fixed Income Resources

    I am ambivalent about his stuff. While I have seen some very high quality material, I have also seen some dreck.
  44. Ken Abbott

    Introductory Fixed Income Resources

    There are many quants who know the math, but do not have any institutional or market structure background. This is for them. https://www.pimco.com/en-us/resources/education/everything-you-need-to-know-about-bonds High Yield Bond Primer Understanding the Bond Market Chapter 1 Developing a...
  45. Ken Abbott

    Is it delusional to believe you can become a quant only with an undergrad degree?

    I've known only one fully-fledged quant with only a bachelor's degree. I believe that's the exception that proves the rule.
  46. Ken Abbott

    Power (electricity) markets quant resources

    Start at the interconnects/ISOs: https://www.pjm.com https://www.ercot.com https://www.iso-ne.com https://www.nyiso.com http://www.caiso.com/Pages/default.aspx https://www.misoenergy.org I got a year's worth of education in a few days form PJM. Then I'd reach out to the traders, perhaps the...
  47. Ken Abbott

    Exploratory Data Analysis Resources

    This is the basis for what I teach in my risk class at Baruch: https://www.itl.nist.gov/div898/handbook/toolaids/pff/eda.pdf These are also good: https://www.stat.cmu.edu/~hseltman/309/Book/chapter4.pdf https://www.researchgate.net/publication/308007227_Exploratory_Data_Analysis...
  48. Ken Abbott

    Private Equity Resources

    Here's some summary material I've gathered: https://www.aon.com/getmedia/31b5137f-7c93-4272-86fd-268732c4186f/Introduction-to-Private-Equity-February- Understanding Private Equity (PE)...
  49. Ken Abbott

    I do not think MFE degrees are as valuable anymore.

    Well-said. The program provides the knowledge and the platform. That's all.
  50. Ken Abbott

    Can an MSc in Economics have any chance of being accepted at quant positions?

    https://campus.bankofamerica.com/careers/global-quantitative-management-analyst-program-emea.html https://www.federalreserve.gov/supervisionreg/srletters/sr1107.htm...
  51. Ken Abbott

    Can an MSc in Economics have any chance of being accepted at quant positions?

    Quantitative Management Associate Program (QMAP). I know because I ran it when it first started in 2000. Also, I think if you have an MS and not an MA in econ (and you took the right quant courses), you could make your case to do risk or even model validation. We had many statisticians /...
  52. Ken Abbott

    Operations Analyst in Investment Bank: How helpful?

    @AyeRasputinTheTasteful has provided you with some very good advice here. Your first job should a) serve to convince you that you're in the right overall field, i.e. finance, and b) give you background. If you change your mind, that's ok - in my experience, most employers will allow you a...
  53. Ken Abbott

    Opinions Wanted: The Usefulness of Financial Accounting

    Quantitative finance is now about 35 years old* and some quants are assuming positions in senior management within banks and funds. (Example: my old boss at Barclays, with 3 degrees form MIT is now CEO.) I think that for practicing quants, knowledge of accounting has limited value. As one...
  54. Ken Abbott

    Five ways to improve quantitative finance curricula

    Wow. I only saw this today. I couldn't agree more. Ten years later, it couldn't be more relevant. I always give homework assignments based upon things I've actually had to do. Doing a Gaussian Copula in a vacuum is useless; you need to see how it's used. The same goes for hedge parameters...
  55. Ken Abbott

    Where to go for undergraduate studies?

    @Qui-Gon speaks wisely here. Do some homework and come back to us. As stated, your question is much too broad for any of us to address.
  56. Ken Abbott

    Is BSc Economics ok to become a quant?

    For me it was on the job, but that was bolstered by my early classes. What is like to happen is that you'll see some problem (and perhaps even solve it) and then realize there's a whole body of knowledge surrounding it. I had to reverse-engineer a portfolio optimization as a young man. Only...
  57. Ken Abbott

    Is BSc Economics ok to become a quant?

    The exception that proves the rule: in three decades in the business, I've encountered only one full-fledged quant who only had a BS (from Berkeley). Withe a bachelor's degree, you simply don't know what you don't know. A few years on the job helps focus your interest, but you really need...
  58. Ken Abbott

    Gary Gensler's Cryptocurrency Reading List

    Gary Gensler's MIT course in cryptocurrencies is publicly available. The class is non-technical and very engaging. I'm posting his readings because they are well-curated. If any of you have suggestions about stuff written after 2018, please add. Readings | Blockchain and Money | Sloan School...
  59. Ken Abbott

    Introductory Material

    My recommendation: Go to the PJM website and take some of their webinars. They provide great background.
  60. Ken Abbott

    Do you really need a master’s for quantitative finance?

    There is no substitute for additional technical education in my opinion. I know a few who have succeeded without it (former head FI strat at MS had a Berkeley BS), but they are the exceptions who prove the rule. The main problems are that when you graduate with a BA or BS, a) you don't know...
  61. Ken Abbott

    A Survey of Master’s Programs in Risk Management in the US.

    I'm doing something similar for MBA programs in the NYC area.
  62. Ken Abbott

    Does First Job Make a Difference?

    The first job in my opinion should be either a) an "experiment" you really want to try, like a startup, or b) as @Liam suggests, something related to, but not necessarily exactly like what you think you want to do. The point with a) is that you always get a "mulligan" with you first job. No...
  63. Ken Abbott

    Some PCA Resources

    I'm often asked about where to find good sources on topics. Here's some PCA stuff. https://www.stat.cmu.edu/~cshalizi/uADA/12/lectures/ch18.pdf A Step-by-Step Explanation of Principal Component Analysis (PCA) https://strata.uga.edu/software/pdf/pcaTutorial.pdf Principal components analysis...
  64. Ken Abbott

    Optimization algorithms - use cases in finance

    This was my view. My experience with this was in the 1980s, so I did it using the linear algebra functions in Lotus 123, which for those under 50, is kind of like Latin compared with modern Italian. Getting my hands dirty with the actual calculus was very helpful.
  65. Ken Abbott

    Optimization algorithms - use cases in finance

    https://link.springer.com/chapter/10.1007/978-3-642-59270-6_32
  66. Ken Abbott

    Optimization algorithms - use cases in finance

    https://link.springer.com/chapter/10.1007/978-3-642-59270-6_32 I believe LP is also used in the leasing business, but I have no direct experience with that.
  67. Ken Abbott

    Optimization algorithms - use cases in finance

    Portfolio selection is where I've seen QP used. LP is used in defeasing municipal issuances.
  68. Ken Abbott

    Data security in Finance sectors

    IT managers at banks are often empire builders that are closely attached to one platform or another. Convincing them that there is a better way can be hard, if for no other reason than they lose power and influence when something new takes hold. There is also the issue of sunk cost. If a firm...
  69. Ken Abbott

    financial risk management courses

    See attachment. I did some research on this a few years ago. I don't know much about the rankings. I haven't bumped into many risk management masters people, which makes me think you might be better off with and MS in finance of one for tor another.
  70. Ken Abbott

    Market Risk - self study?

    You will not be able to learn everything by self study. A lot of what you learn in market risk is how to get the data you need, and how you put it into a form you can actually use. The math is relatively simple. The operational aspects are not. Also, risk management since the financial crisis...
  71. Ken Abbott

    Resume advice (current role in risk)

    I don't think anyone will look down on the word "supporting."
  72. Ken Abbott

    Resume advice (current role in risk)

    "Projects involved support of liquidity management function including..."
  73. Ken Abbott

    Becoming a Desk Quant without a PhD

    I know many very senior quants without PhDs.
  74. Ken Abbott

    Model Documentation Role (What is it exactly? and transition to wider quant role in future, can't find info online)

    Attached are the two best places to start. SR 11-7 defines US regulatory best practice with respect to models. Every US bank has to meet all of the 205 separate requirements specified therein. If you make references to docs being "SR 11-7-compliant," you will sound educated on the topic...
  75. Ken Abbott

    Economic Capital Model Interview

    I could be wrong, but I'd be ready to talk about a) risk metrics (VaR, stress) b) return-on-capital measures c) EVA d) portfolio strategies (QP, possibly) e) extreme value theory (remember, places look at the 99.99 tail) f) regulatory capital i) T1C, AT1, T2 ii) RWA iii) leverage
  76. Ken Abbott

    How important is being able to write good mathematical proofs for quant finance?

    In 35 years in the business, most of it on the quant side, I have never seen anyone go through a mathematical proof.
  77. Ken Abbott

    Understand MS in Finance US

    It has become increasingly difficult to switch between major career paths at large financial institutions. Thirty years ago this was not the case, but now people tend to stay in sales and trading, wealth management, retail, etc.
  78. Ken Abbott

    Understand MS in Finance US

    Generally one or the other. I've never met anyone with a quant finance degree AND and MBA.
  79. Ken Abbott

    Secured Finance Links

    https://gatewaycfs.com/downloads/asset-based-lending-training-guide.pdf http://www.oas.org/en/sla/dil/docs/gm_jamaica_feb_2015_presentations_Richard_Hawkins_1.pdf...
  80. Ken Abbott

    Commercial Banking Overview Material

    https://fas.org/sgp/crs/misc/R44488.pdf https://www.investopedia.com/articles/professionals/091615/career-advice-investment-banking-vscommercial-banking.asp https://www.thebalance.com/what-is-a-commercial-bank-315196 https://en.wikipedia.org/wiki/Commercial_bank...
  81. Ken Abbott

    I do not think MFE degrees are as valuable anymore.

    I was a "data monkey" with only a BA for six years at Bankers Trust doing exactly what you mention - carrying the bags for PhD researchers. It was an amazing job. I ran thousands and thousands of regressions and learned core quant techniques that I used later on. The job made clear where the...
  82. Ken Abbott

    Collection of important documents for risk management

    It's VBA embedded in the spreadsheet. Similar algorithms can be seen in: FreeVBCode code snippet: A Function That Computes the Eigenvalues and Eigenvectors For a Real Symmetric Matrix YoichiroUrita/Math YoichiroUrita/Math
  83. Ken Abbott

    MFE vs MS in Finance

    Generally top 20-ish. No school is ruled out, however, if there is relevant job experience.
  84. Ken Abbott

    Need Advice on Career Switch to Quant

    Define "serious quant positions." I know many very successful quants who have MS degrees.
  85. Ken Abbott

    MFE vs MS in Finance

    When I was a hiring manager, I never distinguished between the two. I looked more at the school than the degree.
  86. Ken Abbott

    depression

    I'm not sure I agree with the promotion statement, but I agree with the rest. There's another wrinkle though: front office jobs have a higher "beta." They are quicker to respond to market conditions, which is great when things are good, but not-so-great in a downturn. As a non-producer, I...
  87. Ken Abbott

    Need Tutorial On Logistic Regression

    Hey, folks. I need someone to give me a quick tutorial on interpreting the results of logistic regressions. I'm an ex-Wall Street guy with an MS in Stat/OR, but even though I've run hundreds of thousands of regressions, my experience is limited to OLS. We never got to it in logistic regression...
  88. Ken Abbott

    VaR vs. Expected Shortfall: Some Papers

    https://www.bis.org/cgfs/conf/mar02p.pdf https://courses.edx.org/c4x/DelftX/TW3421x/asset/Week3_var_2_slides.pdf https://faculty.washington.edu/ezivot/econ589/me20-1-4.pdf https://www.researchgate.net/publication/1825314_Expected_Shortfall_as_a_Tool_for_Financial_Risk_Management...
  89. Ken Abbott

    Collection of important documents for risk management

    This is the VaR calc extracted from the "MC Stuff" lecture I gave at MIT.
  90. Ken Abbott

    Best Online Intro Regression Course?

    Hey, folks, I need the benefit of the Quantnet hive mind. I'm teaching a "business analytics" course at Baruch College (undergrad) and I'm trying to find the best online introduction to regression analysis video. It's an honors class and the kids are really smart, but some haven't had more...
  91. Ken Abbott

    Bloomberg Quantitative

    Companies take their time. Sometimes it takes months.
  92. Ken Abbott

    Can someone help me understand why individual VaR is modelled seperately then combined together using correlations?

    And one more thing: correlations are not explicitly used by most banks. Correlation is used in the variance/covariance and Monte Carlo VaR. About 86% of a survey of 70 large banks use hist sim, which only captures correlation implicitly. This is from a survey that one of my students performed...
  93. Ken Abbott

    Can someone help me understand why individual VaR is modelled seperately then combined together using correlations?

    1) Regulations require that you be able to do so separately 2) You need to mix and match to do hypotheticals 3) You need to do it from the ground up to ensure accuracy since position data is ALWAYS flawed.
  94. Ken Abbott

    The changing face of New York

    In order to appreciate fully what it has to offer, I think you really need to visit the museums, jazz clubs, parks, restaurants, and theatres. Many people avoid them because they think they are too expensive, but there are lots of ways to do it on a budget, especially if you're a student. And...
  95. Ken Abbott

    The changing face of New York

    Well-said, @MLV. I left finance for education two years ago after a 35-year career on Wall Street. Only now do I realize how all-consuming it was. Would I give it up, though? No chance. I had a great experience living and working in NYC. My suburban/rural life is much better now, but being...
  96. Ken Abbott

    Received job offer: can I ask for job title to be changed?

    Don't do it. Companies have varying title structures. If this were a small shop, it wouldn't matter. With 400 people, they have policies and procedures which probably include title structure.
  97. Ken Abbott

    Implementing Vasicek/Merton ASRF Model

    When one builds a copula function to impose correlation on default and migration, how do you calibrate the volatility? Or does that matter at all if the right number of defaults occur? I supervised the construction of many of these models but haven't built one in over 20 years.
  98. Ken Abbott

    WorldQuant University

    I'm on the faculty there. PM me if you want to discuss.
  99. Ken Abbott

    NYU Tandon MFE vs Georgia Tech MS QCF

    I’ve met many (I taught a course there) and I’ve liked what I’ve seen.
  100. Ken Abbott

    NYU Tandon MFE vs Georgia Tech MS QCF

    Do you want to work in NY or elsewhere? Over the years I've encountered many Tandon people but few (none, actually) from the GT grad program.
  101. Ken Abbott

    Request for market swaptions volatility

    Confirmed. I finally got access to Bloomberg at home and they have implieds going back years.
  102. Ken Abbott

    Request for market swaptions volatility

    I believe that Bloomberg has swaption vol data.
  103. Ken Abbott

    Corporate Actions Background Material

    https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/corporate-actions-methodology.pdf https://research.ftserussell.com/products/downloads/Corporate_Actions_and_Events_Guide.pdf Corporate Action - Overview, Examples, and Types Understanding Corporate Actions...
  104. Ken Abbott

    Introductory Material

    I used to think that the best OR professionals went into airline scheduling. Then I studied power. The implementation of efficient Locational Marginal Pricing schemata presents far more challenging problems.
  105. Ken Abbott

    Introductory Material

    And some more, mostly on power: Solar https://www.wholesalesolar.com/solar-information/solar-power-101 https://www.nrel.gov/research/re-solar.html https://www.energy.gov/eere/solar/articles/solar-energy-technology-basics Power in General https://www.e-education.psu.edu/ebf483/node/3...
  106. Ken Abbott

    Introductory Material

    Here's some introductory material I've come across.
  107. Ken Abbott

    Quant career with an actuary base

    Get a job first. Make sure it's what you want to do. An actuarial background is very useful, but make sure your understand exactly what those uses are.
  108. Ken Abbott

    Getting a Quant job as a Programmer / Mathematician

    ...and another thing. You don't mention any particular interest in the markets. If you don't have a deep interest in the markets you're just writing code. That code could be about marketing or the production of duck eggs or infant mortality. You need to find the underlying economics of...
  109. Ken Abbott

    Should I go for MS or take up job at an IB (top-4) in London?

    I did two graduate degrees at night. As a result: I had a lot more money in my pocket I was able to apply the course material immediately I had four more years of experience (I met the woman who became my wife) It was one of the smartest things I ever did.
  110. Ken Abbott

    Should I go for MS or take up job at an IB (top-4) in London?

    Better to keep the job and go part-time.
  111. Ken Abbott

    Quantitative Risk Management Courses

    Thanks, Daniel. That has been my experience. I have a lot of statistics experience, but the PDE stuff is still voodoo to me, even after all these years.
  112. Ken Abbott

    Quantitative Risk Management Courses

    I personally have a statistics degree, which has served me well. Remember there are two basic "flavors" to wall street quants: econometricians and PDE people. The PDE people price contingent claims. The econometricians model time series and do risk. (NB: That is a gross oversimplification...
  113. Ken Abbott

    Quantitative Risk Management Courses

    I see no distinction between FE programs and financial math programs. Same with stat and stat with finance specialization. The only differences, I imagine, might be more focus on time series and the use of financial data for assignments. As far as the risk programs are concerned, there are...
  114. Ken Abbott

    Risk Analyst vs Risk Model Validation Analyst: Which one is a good career move?

    Best of luck. Make sure you review the Canabarro and Duffie paper and the basic Basel II Internal Model stuff to get the landscape.
  115. Ken Abbott

    Help with PCA for risk bucketing

    Use Bloomberg IRS data. This should be 3, 6, and 12m deposits and swaps out to 30 years. Reuters should have it too. I have assigned this problem many times.
  116. Ken Abbott

    Quant vs. IB

    I agree. The role of the true "data scientist" is still being defined and it may be neither fish nor fowl.
  117. Ken Abbott

    Quant vs. IB

    Very well-said. Spot on. I was a junior quant (in the 80s when is wasn't so popular) and then a trader. I spend the last 25 years of my career in risk. The "beta" is much higher in the FO and everything (comp, job security, business flow) varies widely. In the MO, the flow is much more...
  118. Ken Abbott

    Online Quantitative Degrees

    I’m currently an instructor at WorldQuant University, which has a free online masters degree. It’s probably worth your time to take a look at what it offers.
  119. Ken Abbott

    Collection of important documents for risk management

    I'm sure you know more than you realize you do. Mathematical/statistical wisdom, IMHO, is understanding the boundaries of your knowledge, knowing how to frame a problem, and knowing when to call in an expert.
  120. Ken Abbott

    A Collection of Introductory Videos about the Markets from MoneyWeek

    Some of these are a a bit dated and it's a bit UK-centric, but the basics are still the same. Money Week Videos - YouTube The topics are here: 1 A beginner's guide to p/e ratios - MoneyWeek Investment Tutorials 2 What is a dividend yield? - MoneyWeek Investment Tutorials 3 Key stock...
  121. Ken Abbott

    A Collection of Risk Management Videos

    I recently assembled a collection of links for risk-related videos for an independent study course I taught at Austin Peay State University in Clarksville, Tennessee. I thought some of you might find these links useful. Please let me know if you find them so. Exploratory Data Analysis...
  122. Ken Abbott

    how do banks manage fx cash balance on the trading desk level

    Banks maintain a constant watch on all net FX balances. They are generally divided into "hedge" and "do not hedge" categories. The "hedge"sums are managed by the bank treasury department at the aggregate level. The "do not hedge" accounts reflect actual risk taking (i.e., the bank would not...
  123. Ken Abbott

    The Coming Glut of Financial Engineers

    Thanks for your reply here. Yeah. I think you nailed it. I agree with everything you said. I recently retired to teach (at Baruch and several other places). I had a great career, but it took its toll in terms of stress and work/life balance. I loved what I did and I did well, but I fear some...
  124. Ken Abbott

    Need Advice On Recording Lecture Videos

    Ive used Google Hangouts, GoToMeeting, and lately Zoom. I just did my first recoded lecture of any length on Zoom. I will let you know when I see the final results.
  125. Ken Abbott

    Risk Analyst vs Risk Model Validation Analyst: Which one is a good career move?

    If this is the case, the model job may be best. Desk people do quant stuff, but the role is very different.
  126. Ken Abbott

    The Coming Glut of Financial Engineers

    A wise move, I think.
  127. Ken Abbott

    NYU Tandon Vs. NYU Courant

    Steel cage match
  128. Ken Abbott

    Need Advice On Recording Lecture Videos

    Confession: I always relied on my TAs to do this for me in the past. I'm a reasonably tech-savvy professor. Now I want to record a Powerpoint presentation-based lecture on my laptop, possibly using other applications (e.g. MS Excel), save the recording, and possibly make it available on...
  129. Ken Abbott

    Applying for Undergrad Schools

    It’s too early to specialize. Stay general until you’re sure about what you want to do.
  130. Ken Abbott

    Why do people not go to Tech. Why still pursue Quant ?

    I think it depends on where your academic interests lie. If you really like economics, there's no better place to see it happen than a big bank or fund. I often found myself observing the markets the way an entomologist watches an ant farm. If you like OR or electronics, tech might hold your...
  131. Ken Abbott

    VaR of simulation of delta instruments deviates from the delta normal model

    Both are parametric. For large n, the results should converge. (In fact, this is a favorite exam question of mine.)
  132. Ken Abbott

    VaR of simulation of delta instruments deviates from the delta normal model

    A deep-in-the-money option should have a 1-day VaR that looks like that of the cash position, unless the vol is really high. I assume the .2 is annualized. You don’t say what the units are. USD? Percentage? What is the position size? In general, I don’t think people will respond to many...
  133. Ken Abbott

    What does Quants do in later career?

    “Steep” isn’t the right word. After a certain point, “gentle incline, subject to sharp drop-offs” is more applicable. At big institutions, what distinguishes one quant form another is a) the ability to manage other quants, when chnisnusually dependent upon b) the ability to communicate...
  134. Ken Abbott

    What does Quants do in later career?

    Some senior quants go on to manage quant functions like model validation and forecasting. Others move into risk management, either as desk coverage people, or as risk methodology people. Still others over to the buy side.
  135. Ken Abbott

    Which entry level job to take to set up a buy-side front-office quant career?

    That’s not necessarily true. Reneging on an offer is bad form and people remember it. I know major firms consider that a mark against a school.
  136. Ken Abbott

    What books are you currently reading?

    Be More Chill Inside the FDIC Daisy Jones and the Six (I like always to have an audiobook, an analog book and an ebook happening)
  137. Ken Abbott

    Faculty culture @ top MFE schools - any useful intel?

    My TA only grades. He doesn't lecture at all. I see students in professors' offices all the time. To be sure, there are adjuncts who have "day jobs" (like I did until last year), but even they spend time with students. Ask these questions in the "Ask a Baruch student" thread.
  138. Ken Abbott

    Is being extroverted vital for success in the financial industry?

    @Joy Pathak is the master. Do what he says and you’ll do fine.
  139. Ken Abbott

    Faculty culture @ top MFE schools - any useful intel?

    I’m at Baruch. What do you want to know?
  140. Ken Abbott

    How to detect outliers in trending time series dataset?

    You can screen for +/- 2 std, etc, but there is no substitute for visual inspection. At Morgan Stanley, we looked at 25,000+ time series every time we updated the data. There may be an AI/ML solution, but a) I haven’t seen one and b) I wouldn’t want to bet my career on it.
  141. Ken Abbott

    Comprehensive Study of MFE / Quant Finance Programs

    Folks, I am embarking on a comprehensive review of MFE / Quant Finance programs, and I will be reaching out to you to "crowd source" some of my research. Last December, I did a paper for the Dean of Baruch on MS in Risk programs in the United States. There are about 60 of these and I...
  142. Ken Abbott

    Textbooks on Statistics?

    Check out the NIST/SEMATECH e-Handbook of Statistical Methods. It's from the The National Institute of Standards and Technology. I've been teaching stat concepts form it for a while. https://www.itl.nist.gov/div898/handbook/
  143. Ken Abbott

    VaR forward bond

    I'd just go for the 5 year bond VaR. I suppose you could do 5.25 year position with a short 3m against it, but there will be very little risk associated with the 3m stub.
  144. Ken Abbott

    Master's thesis in financial econometrics

    That's a pretty broad question. What areas have you studied within econometrics?
  145. Ken Abbott

    COMPARE Master of Financial Mathematics of North Carolina State University vs. University of Minnesota

    The "fleas" comment might be a bit harsh, but it's worth asking what kinds of jobs their grads get. For better or for worse, financial institutions are name-driven. While it is possible to break into the "big leagues", as Baruch has done (before 2008, no one beyond 30km of NYC knew of it), it...
  146. Ken Abbott

    Counter party risk trading desk at Barclays

    Read this as well: https://www.bis.org/fsi/fsisummaries/ccr_in_b3.htm
  147. Ken Abbott

    Counter party risk trading desk at Barclays

    I believe I posted this in the risk readings section I maintain on this site, but here’s the best intro I’ve seen: https://www.darrellduffie.com/uploads/surveys/DuffieCanabarro2004.pdf NY or London? You really should know if it’s XVA or risk beforehand. Those are VERY different positions.
  148. Ken Abbott

    quants-banks-hot-arent-better-paid

    This article is pretty accurate, except for the part where the recruiter quotes salary numbers. The quant function has been largely commoditized. One can go to any consulting firm and recant-quant these days. Infrastructure is key. The validation function gets a lot of respect.
  149. Ken Abbott

    Advice needed to start a career as a quant

    That has not been my experience. Buy-side quants tend to be more involved in portfolio techniques (eg QP, factor analysis) than those on the sell side.
  150. Ken Abbott

    Any advice or story on how to follow the market?

    Visit Bloomberg.com every day. Look at their pages in rates, fx, equities, commodities. In my opinion, BB does a truly excellent job curating the news.
  151. Ken Abbott

    Thoughts on resume structure

    No. Yes. Declaration of Independence: 1 page. Magna Carta: 1 page. Your resume... I never read these profiles.
  152. Ken Abbott

    Time Series or Stochastics

    Well said. The backcasting operator threw me for a loop. The frequency domain stuff is also pretty far out if you haven’t seen it before.
  153. Ken Abbott

    Which podcasts do you guys listen to

    History of Jazz
  154. Ken Abbott

    Job Security and Equities correlation

    Hiring freezes tend to be across-the-board. They typically come down form the top and no one is exempt. There is usually an exception process, but quant groups are subject to them, just like everyone else - may even mores since the people setting the policies often don't understand what quants do.
  155. Ken Abbott

    Time Series or Stochastics

    I always tell my students that if they get out of their quant finance programs without a times series course, they should get their money back. Much quantitative finance relies on time series concepts.
  156. Ken Abbott

    When to apply for jobs as a grad student?

    There’s no right answer. It depends on your risk appetite with respect to employment. I’m risk averse. I’d take the first good offer I got. Others will wait until they think they’ve found the “best” offer. I know people who’ve turned down great jobs in hope of getting better ones, only to be...
  157. Ken Abbott

    Why do different front offices have different structures?

    Your question is fair but hard to answer. Why do some families have two kids, some have more and some have none? Why do some towns elect Democrats and some elect Republicans? Why do some people like sedans and others roadsters? Academia has departments with department chairs. They have...
  158. Ken Abbott

    Is the logarithmic return commonly used as QuantConnect states?

    You can use log returns or % changes. They are essentially the same for all intents and purposes. Log returns assume that the price can't go negative.
  159. Ken Abbott

    Need some guidance on preparing for commodity derivatives interview

    I have experience with this. When you say “foods” I presume you mean agriculturals. These are primarily corn, wheat, and the soybean complex (beans, meal, oil). I have material on this. PM me to discuss.
  160. Ken Abbott

    A Survey of Master’s Programs in Risk Management in the US.

    Here is something I’ve been working on at Baruch. I’ve looked at the 60-odd master’s programs in risk management in the US, comparing costs, courseload, and curricula. Comments welcome. It’s kind of a working paper. I have no intention of publishing it. All errors are obviously mine. I think...
  161. Ken Abbott

    Advice needed to start a career as a quant

    Look in the "Books" section here. Andy has done a nice job curating this. Do some background reading and come back with questions.
  162. Ken Abbott

    Advice needed to start a career as a quant

    I've interviewed hundreds of people, including dozens of career-switchers. The first thing I want to see from them is a sincere interest. If they tell me they are interested in portfolio management or private equity or algorithmic trading but they have no idea what those things rally are, they...
  163. Ken Abbott

    Advice needed to start a career as a quant

    I think a big challenge may be convincing people that your interest is genuine. I think a decent knowledge of markets and products is key. You need some institutional background. What kind of quant work interests you? Buy side? Sell side? Model development? Model validation?
  164. Ken Abbott

    What Role Did Quants Play in the Enron Scandal?

    Go view some of the video lectures at pjm.com. The complexity is mind-blowing.
  165. Ken Abbott

    Registered Nurse Thinking About Switching Careers and Entering a MS in Financial Engineering program

    For every front office role, there are between two and ten supporting roles. This number has gotten bigger since the crisis because of regulatory demands.
  166. Ken Abbott

    What Role Did Quants Play in the Enron Scandal?

    I don’t recall heavy quant involvement. Certainly there were model-driven transactions, but the key models used in power (as I recall) are scheduling-oriented. Power management is perhaps the operations research professional’s highest calling. I used to think it was airline scheduling, but then...
  167. Ken Abbott

    Quick question about "Risk Management"!

    I think there are generally two types of people in finance - the numerate and the innumerate. Whether it’s in math or stats or physics or materials science, an advanced degree of some sort allows you to appreciate (if not solve) the many types of quantitative problems that face finance...
  168. Ken Abbott

    Quick question about "Risk Management"!

    People do switch. Your concern is premature, though. You need to get an entry-level position and a) figure out whether you like finance and b) assuming you do, which aspects of it interest you most. I changed my mind several times over my career. I started out wanting to be an investment...
  169. Ken Abbott

    Looking for derivatives book

    Figlewski's "Financial Options" book taught me all I needed to know. It provides intuition, not equations.
  170. Ken Abbott

    Quick question about "Risk Management"!

    "Risk Management" is a term that can be used generally, but in this case means desk coverage - the risk people that interact with the traders and trading managers. Quant Risk Analysts build or validate models. A quant finance degree is plenty. (Notice I didn't use the term MFE. Engineers build...
  171. Ken Abbott

    Master's Thesis topics in quantitative finance?

    I like yours better than mine.
  172. Ken Abbott

    Master's Thesis topics in quantitative finance?

    Among the topics I've supervised or am supervising now: VaR vs ES for different portfolios Survey of retail finance markets and models Survey of commodities markets The multivariate and time series structure of the US yield curve 1962-2018 The multivariate and time series structure of foreign...
  173. Ken Abbott

    The Coming Glut of Financial Engineers

    This has not been my observation. Quant finance has become commoditized. Go to any consulting firm and you can call their rent-a-quant department and get a dozen in any flavor. There's work for them to do, to be sure, but that work isn't on the pricing side and it isn't often glamorous. Also...
  174. Ken Abbott

    Goldman Internship Specs

    Does anyone know how the summer intern offer process works at Goldman? I have a student with an internship at GS. She is still interested in other types of roles beyond the area of her internship and is concerned that in the event of an offer, she would not be able to look into those. Does...
  175. Ken Abbott

    COMPARE Computational Finance vs Mathematical Finance vs Financial Engineering

    Probably no difference at all. Certainly no difference from a potential employer’s standpoint.
  176. Ken Abbott

    Better college in Ireland

    Many banks are setting up or beefing up their Irish subs as a result of Brexit. Look into them.
  177. Ken Abbott

    Solicitation for Thesis Ideas

    You're going to have to be a bit more specific. Are you looking for a time series/econometrics project or something in the PDE area? Theoretical or practical/empirical? Markets-based? Fintech?
  178. Ken Abbott

    Properly Data choosing

    When you say "short rate" do you mean the front end of the UST yield curve of the instantaneous Vasicek short rate? If the former, the Federal Reserve H-15 is the ultimate source. There's historical data there, as well.
  179. Ken Abbott

    Engineering PhD student seeking a Quant career

    @agoodquant is right. If you do it only for the money, you will come to hate your life.
  180. Ken Abbott

    Collection of important documents for risk management

    Asset Management / Wealth Management Perspectives on conduct risk in wealth management | McKinsey https://www.occ.treas.gov/publications/publications-by-type/comptrollers-handbook/investment-management-services/pub-ch-investment-mgmt-services.pdf What's Driving the Asset Management Industry...
  181. Ken Abbott

    Engineering PhD student seeking a Quant career

    While I think @Mathchismo’s “lol” is perhaps a bit harsh, I must confess that his questions are spot on. You’d be wise to consider each one very, very carefully
  182. Ken Abbott

    Appropriate hairstyle for grad school student and young professional

    Go on a tour of a Wall Street or City trading floor/dealing room. If you can't go on a tour, look for photos on the internet. Look at how those people look. You might not want to stand out in the interview process. Once you're established, there is often a bit more flexibility.
  183. Ken Abbott

    Reference Rate Changes

    LIBOR is going away. People need to be aware of what’s coming. This change will have a material impact on pricing. LIBOR and reference rate reform
  184. Ken Abbott

    Career start: Model Validation?

    Office politics often complicate internal transfers. Both the “buyer” and the “seller” must be on board. Even when they are, the needs (or perceived needs) of the model validation team may delay or prevent a move. WRT coding, it’s been my experience that the best validators already code and...
  185. Ken Abbott

    Career start: Model Validation?

    I've always thought that this is a good place to start. Like with any job, you have to network to succeed, but it's a good entry point.
  186. Ken Abbott

    I posted it on this website a few months ago...

    I posted it on this website a few months ago: https://quantnet.com/threads/collection-of-important-documents-for-risk-management.15188/page-2
  187. Ken Abbott

    What are some analytical methods to find contributions of sectors/industries to the market index?

    Well beyond regression. It requires intermediate stats, ie eigenvalues, eigenvectors, matrix decomposition. Factor analysis - Wikipedia http://www.yorku.ca/ptryfos/f1400.pdf Factor analysis: Easy Definition
  188. Ken Abbott

    What are some analytical methods to find contributions of sectors/industries to the market index?

    I think factor analysis and PCA are the standard tools. Look at the MSCI website.
  189. Ken Abbott

    Economics for quant roles

    Read the WSJ, NYT, and FT every day. Read Barron’s. Look at Bloomberg.com.
  190. Ken Abbott

    Chances of me being a quant?

    Why do you want to be a quant? Why hedge funds? When I interview people, I look for evidence of an interest in finance beyond the desire to make money. There are many, many people from state schools and LACs who are successful quants, but they all have good stories. What is yours?
  191. Ken Abbott

    Prof. Ken Abbott retiring from Wall Street to join academia

    Thank you. Dan Stefanica and I have been planning this for more than 5 years. Time to execute.
  192. Ken Abbott

    It’s posted

    It’s posted
  193. Ken Abbott

    Collection of important documents for risk management

    I will soon post some governance-related files.
  194. Ken Abbott

    It's posted

    It's posted
  195. Ken Abbott

    Posted

    Posted
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