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hi Prasenjit, a good CCIE with 5+ experience as a network engineer, can easily make 120k (most reach this figure relatively quick in their career) and many make around 150k. That's no pocket changes. On the other hand, as you have found out, it is possible to make 300k+ in finance, but the...

Joel, funny you mentioned this movie, I was just talking to a buddy of mine about 'The bank' the movie and also recommended that I check out 'Pi'... will try to get hold of a copy in local libraries... John

the VaR calculation looks right. In the case that the company in question does not yet have publicly-traded papers, you would use the 10-yr YTM from a similarly-rated company* bond as proxy. * same industry

It is a combination of factors that contributed to the meltdown in subprime and other high-yield credit market. 1) The development of multi-layer structuredproducts, such as CDO of ABS (underlying collateral are various forms of mortgage ABS, which in term are structured products themselves...

Obviously I don't know you, except what you described here, but you seem to be cut out to be a trader. BTW you might want to check out the book 'The Education of a Speculator' by Niederhoffer, a famed Wall Street trader. He did say in his book, 'I speculate, You gamble' though ;)

are you a mid-career, experienced candidate? if so, recruiting firm is the best place to start, especially for more IT-flavoured jobs. As matter fact most recruiters would only work with experienced candidates. If you are a freshly-graduated students (at undergrad level), your school career...

keeping up with the theme of subprime mortgage and CDO, Citi's 'A Simple Guide to Subprime Mortgages, CDO and Securitization, Subprime CDS of ABS and ABX index, Credit Suisse, 'Introduction to ABS CDS and the ABX index' & Lehman Bros, 'Introduction to the ABX'

anyone with access to emerging market fixed income research (Latin America, Asia, etc.)?

for those interested in the subprime stuff. November mortgage remittance report on ABX collateral (see attachment)

I am curious as well. To short, say the ABX index, you have to make upfront payments, post collateral, and make monthly insurance payments, in order to generate this kind of returns.

My boss showed us this paper last week. It is a great paper to understand the rating agencies rating modus operandi concerning subprime mortgage ABS, and CDO of ABS. It specifically evaluates the exposure of the financial guarantors' to the subprime mess. Download it before MBIA take it down...

agree, moreover even if you do have the PhD credantials, ultimately it is what you can bring to the table, programming skills, communications skills, prior experience, promises, etc. that will get you hired, PhD or not. On the other hand, most of the good MFE program has strong job placement...

awesome movie especialiy for aspiring quants: “He is building a model that can evolve and learn from the experiences of the market” "We have seen this kind of stuff before, black box for XXX [a certain] hedge fund until collapsing and taking twelve billions with it.” “It tends to find...

I think we can adopt a two-prong approach. For the wiki site, we can provide links (if the direct link is available) to publicly-available academic (PhD) research, e.g. a paper such as "Synthetic CDO pricing using the double normal inverse Gaussian copula". There are sometimes papers such...

expect some non-quant and non-finance related question as well. They would want to find out right away whether or not would be a good fit for the team.

revisiting the topic of the role of the rating agencies. The following was a comment made by a panelist in the recent ABS East 2007 event in Orlando:

how would you derive a BS, taking an PDE approach, but assuming that we are operating in a non-risk neutral world, thus allowing the possiblity of arbitrage?

managing an emerging market structured finance fund

glad to contribute. BTW Professor Ciresi is our in-house expert in this subject matter ;) I have learned a lot from him in the past.

data could be residing anywhere, S-Plus is very flexible in this regarding. The following is from S-Plus 6.1 online help file:

I was given the download & registration information right after I have faxed my student credential. It was a quick turnaround as far as I remember. However, it does not come with the optional finmetrics module, which was a bit of dissappointment. Perhaps you can ask your company to purchase a...

S-Plus is also very popular among the HFs, as matter of fact its finmetrics is, sh...., perfect for stat arb trading...

I think this would make a great elective. Regarding these two, SAS is tailored-made for handling large set of data. It is used, e.g., to perform mortgage/MBS prepayment forecast. S-Plus, on the other hand, is more like Matlab, in that it allows one to do quick-and dirty modeling prototyping...

S-Plus' finmetrics, IHMO, is a great tool to learn time series analysis.

At the same time, Microsoft is slowly gaining acceptance for its Windows Mobile OS. One of its biggest partners, HTC from Taiwan, has been releasing a quite amazing lineup of smartphones, including HTC touch HTC Touch, and the newly released HTC Tytn II HTC, aka AT&T Tilt, AT&T Tilt for Business...

http://web.mit.edu/alo/www/Papers/august07.pdf Some highlights from this paper:

thank you for sharing this....sure would be interesting to see which smart credit arbitrage desk has profited from the current steepening of the yield curve.

I thoroughly enjoyed the 'Investment Biker' as well. Make sure you a hold of his sequel 'Adventure Capitalist', story in which he traded a motobike in for a customized Benz convertible and new companion (now his wife). Also in same theme of discover investment idea by travelling into the inner...

I also love the R/S-Plus platform, although it's been a while since I have worked with it. One simple way of working with data is convert the data into a data matrix, and use apply() operator in combination with functions such mean, min, max, as is.na, etc. to generate summary statistics. Once...

I agree, it is not the perfect model, but just like BSM model for options, despite the know flaws (multivariate normal assumptions for the Gaussian copula, resulting in base correlation skew), if everyone trade off that model, a market(s) can still flourish. Note the CDX tranche markets =D>

Happy BD and enjoy your three semesters at Baruch ;-)

this topic is covered in the MTH 9845 (risk mgt course/Prof Ciresi) and MTH 9871 (Advanced Computational/Prof Neftci) from a pricing/computational perspective applied to credit index (e.g. iTraxx). Professor Raynes also touched upon this subject in his second structured finance course although...

came across this blog, this aspiring writing blurbed some interesting thoughts in regarding to LTCM, BS and the ciclical natural of markets. A tryst with insanity!

August subprime mortgage remittance report concerning deals in the subprime ABX.HE index. Source: JPMorgan

If there's CDS of ABS traded, then you have a 'quoted' and traded credit spread (the best measure credit risk). Assuming a recovery rate, you can back out the default probability for that traded maturity. See the attached JPM paper. You can also get it from cash bonds, in which case you get an...

is the credit spread you are referring the credit default swap spread? if so then there's already a functional relationship binding probabily of default (cumulative probability curve) and credit default swap spread, and it is through this equation, PV premium leg = PV contingent payment leg. So...

here's a CB model that I have done for a class a while ago. It was based on Nick Calamos' book. It is a simple binomial tree model with credit-adjusted discount rates. As stock price drops, the discount rate increases accordingly. For more details check out this book.

hi Jan, you have the benefits of being in proximity to our program, as matter fact, in the same building :) My only advise is to hang around our program and students as much as possible! and especially set up an appointment to meet with our director Professor Stefanica ASAP ;)

it is no different in the job interview process, until you see the physical letter of offer, nothing is guaranteed. Agree with Mike, just cannot assume anything, and be more proactive in your approach. Best of the luck with your career and be sure to stick around to share your knowledge with...

Mark, there are actually quite a few numerical types questions and on pricing derivatives. -J

good thing that ABX, although a proxy refering only 20 credits, is providing a liquid market for price discovery of these subprime HEL ABS.

According to JPMorgan's report today:

S language implemented on either the R or S-Plus platform is one of my favourite modeling tools. Used in the right situation can provide incredible boost to one's productivity. Think of it as a tool to quickly prototype and test complex models. It is also used extensively by one of the rating...

anytime! Here's the Lehman HEL paper quoted on the case sheet in case someone is interested.

it is worth revisiting the 2005 financial engineering competition case, which focused on HEL ABS, now that this asset class is receiving so much attention: http://bertha.tepper.cmu.edu/fec/winterland.pdf

AG investigating credit agencies role in subprime losses - Jul. 5, 2007 Professor Raynes makes another appearance in a national print media

http://www.bloomberg.com/apps/news?pid=20601039&sid=aUnp.hEzlt.8&refer=home

Bear Stearns Bails Out Fund With Big Loan - WSJ.com

I found this of book of interest Introduction to Financial Technology - Google Book Search

agree, the performance of subprime RMBS backing these CDO of ABS depend, to a great extend, on fluid and fast-changing macroeconomic factors, i.e. available of credit and lending standard, which can determine how feasible it is for a subprime borrower to get out of of an expensive hybrid ARM and...

This week's ABS weekly research paper from JPMorgan (attachment) also makes reference of Goldman and Bear's declining revenues in the subprime market. Included also are some interesting pieces concerning subprime ABX index trade recommendations as well as valuation of ABX BBB- index as credit IO.

Bob, this is an excellent point. The demand from CDO managers for assets (including ABS tranches backed by subprime mortgages) the last few years has contributed to the mispricing of the risk, especially at the lower end of the credit spectrum. I personally believe that the situation might not...

enjoy your very own day of the year Noa! good luck with your summer internship.

Munich Re Offers Synthetic Hurricane Notes 14 May 2007 Munich Re, a German reinsurance group, has closed a series of catastrophe notes, which synthetically transfer the risk of U.S. hurricane losses to global institutional investors. The series closed last week at $150 million--bringing the...

Happy Birthday Greg!

Yuriy, great work there are some contributed packages, of which tseries (time series) is one of them, which is really nice. Nothing beats S-Plus's finmetrics module though, when it comes to serious time series analysis :)

to follow up on Gus's heads up on Mr. Meretzky, this latter maintains a very useful web site, http://i5.nyu.edu/~mm64/, which can be useful for self-study of C++.

I also heard that R/S+ will be the software to be used in this class. IMHO S-plus is a great piece of software and used widely in finance BTW.

I would not think so, as the idea is to be able to show that you can financially support yourself and your study during the stay

A roundtable discussion on insurance-linked structured products http://www.swissre.com/Internet/pwsfilpr.nsf/vwFilebyIDKEYLu/MMIL-6UYAAY/$FILE/Roundtable.pdf

also part of Baruch's online suscription include Wiley Science (for those quant finance papers), Wharton Research Data Services (retrieval data sets in finance, including COBE, Compustat), S&P NetAdvantage, Wall Street Journal articles, ebray (similar to book24x7), Factiva (global finance news)...

Here's "A day in the life of a risk manager" A day in the life of a risk manager (Part I) I am re-attaching part 1 which for some reason is gone from the original post.

here's an article that discusses the issue of getting into trading with a Ms Financial Mathematics or Engineering degree: http://news.efinancialcareers.com/GRADUATE_ITEM/newsItemId-8457

Max, it is not neccesary to have employer sponsorship to take the exams, just fork over the registration and exam fee and CFA institute will glad let you take the exams ;)

I think that studying for the CFA exams will complement nicely a MFE education, in the sense that there will be little overlap. CFA covers mostly areas of corporate finance, accounting, and fundamental asset valuation, while MFE treat you to an in-depth study of quantitative modeling and pricing...

I was able to download the S-Plus 7.0 student edition, you have 365 days to use it. I believe professor Ciresi will use it in his Statistics for Finance class.

this is great, looking forward to seeing works from Michael on QN.

Re: Planning for Interactive Brokers Collegiate Trading Olympiad hi Brandon, very interesting account of your experience, thanks for sharing it! BTW I wonder if one is allowed to participate again even though one came out as one of the prize winners?

I also voted C. Insurance-linked structured notes are becoming very popular with investors, due to their uncorrelated nature w.r.t. to other securities in the capital market.

May all your wishes become reality....Happy Birthday Rushali!!!!!

Happy, Happy, Happeeee Biiiirthday Nelllllisaaaaaa !!!!!!

http://news.efinancialcareers.com/A_DAY_IN_THE_LIFE_ITEM/newsItemId-7939

Max, I think it is a great competition. Our program is getting to a point that it has good coverage of almost all of the topics and tools that would come up in this event and would be ready for it. Here are the old (& very interesting) cases. http://bertha.tepper.cmu.edu/fec/index.html...

thanks Jimmy for posting this.

I think the language spoken in the other three member of BRIC (Brazil, Russia, India & China), i.e. Portuguese, Russian, Hindi, will become increasingly important as well. Moreover Spanish (in the Americas) and French (in France and large portion of Africa) deserve attention as well. Learn these...

The Lehman Brothers Guiide to Exotic Credit Derivatives Went throught it this weekend, quite a good read and with plenty of reference to relevant literatures: http://www.investinginbonds.com/assets/files/LehmanExoticCredDerivs.pdf

Found this one today http://www.superderivatives.com/Glossary/

Good point, did not notice that Professor Ciresi also teaches the C++ that takes place on the same night. I think that with both courses having co-instructors, they have figured out the rotation.

Andy, I sent you an email. BTW Professor Ciresi will also teach the risk management class alongside Professor Ma.

Hi Andy, can you add the other Fall classes (i.e. Calibration (Advanced Computational Methods), Interest Rates and Derivatives models, Advanced Structured Finance and Risk Management) as well? thank you a ton!!!

http://www.securitization.net/pdf/content/Nomura_CDOs_PlainEnglish_13Sept04.pdf

hmmm... noticed something interesting, take a look at this book's Amazon's 'Customers who bought ...' section and the list of books, does it look familiar??? C++ Programming: With Design Patterns Revealed...

I nominate these two: 'The Education of a speculator' by Niederhoffer offers plenty of interesting tales of a future trader: from childhood in Brooklyn's Brighton Beach, through education at Harvard, to a career as trader in Wall Street. 'Goldman Sachs: a culture of sucess' by Lisa Endlich...

My recommendation would be to learn VBA beforehand since it is not terrible difficult vis-a-vis C++. Moreover, since this is a structured finance course, Dr. Raynes will not teach VBA but rather the core SF stuff (legal, structure, cash flow, etc.) He does give you excellent notes and even some...

A side note regarding programming in our program is that in the two Dr. Raynes structured finance courses, students will do quite of bit of coding in Excel VBA. Our group toyed with the idea of creating compiled C++ code to speed up the computationally-intensice, Monte Carlo simulation portion...

This is great news, even though I am scheduled to graduate in December, I would seriously consider take this class. I have taken some classes with Greg, his classes are always fun. An alternative would be to incorporate computational (C++) elements into other the (applied) courses in our program.

Re: What are your thoughts on the Refresher courses thus far For me the Real Analysis-Probability is probably the most diffcult course of the program, both in term of mathematical rigour and time requirements.

Awesome thread. I have heard that for an jr analyst joining a new team, he/she would be expected to come in no later than 7:30am in the morning and stay until around 8:30 to 9:00pm. These are just the normal hours. When there's a deal ready to be finalized, you might need to stay in the office...

http://news.jobsinthemoney.com/ITEM_FR/newsItemId-100157 Follow Ups Are Important - Even When There's No Reply By Carol Lippert Gray Jul 5 2006 Conventional wisdom says you should always follow up with prospective employers after you've sent them a resume or met them for an interview. But...

Frank, you are right, there are a lot of Asian banks in Flushing, and if you have a small business there, you will appreciate the type of relationship banking these banks offer. As far as money market account, there's a bank (I think its name is Hong Ton, across the street from East Buffet...

For convenience I say use Citi or Chase since there is a branch from either of these two banks in pretty much every neighborhood in the city. The negative is that you need to maintain a high balance in order to avoid paying monthly fee. On the other hand, Washington Mutual offers a free...

A Day in the Life [of investment bankers & professionals Another site with investment bankers letting us sneak a peek into their daily work life. Gotta love these sort of stories, really help you understand what the pros do. http://news.efinancialcareers.com/A_DAY_IN_THE_LIFE

More from GS (Australia): >>> A Day in the Life As a student completing your degree, you will probably be wondering what it's like to work at Goldman Sachs JBWere. To get a more personal viewpoint, read about typical work days from the people in those divisions...

Sneak a peak into daily working life of Goldman Sachs investment bankers: >>> Day In The Life At Goldman Sachs, our people are our most important asset. We have graduates from every kind of university, from a broad variety of degrees. To read more about our professionals please choose one...

nothing beats Dr. Raynes' book and his class notes :D

A day in the life of a risk manager (Part II) Part II

Chapter 1: A day in the life of a risk manager. A great read on what a risk manager in an investment bank does from hour to hour... FOr those of you interested in reading the entire book, there's a copy at NY Science, Industry & Business Library (The same bldg as the CUNY Graduate Center. The...

From the RMA Journal

Good for networking and learning the lingos of this trade for those interested in a career as risk management. http://prmia.org/public/tour.php?id=1 http://www.garp.org/ I have attended several PRMIA events, definitely worth your time. Sometimes event hosts even provide snacks and drinks on...