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  1. John

    Quant Scene in Latin America

    Hi Alberto, Is there a particular country that you are looking to move to professionally? or are you thinking about pursuing further education (Master perhaps)? A disclaimer, I work within the LATAM space (in US) but not specifically in quant finance. Since I am in the US, my understanding is...
  2. John

    Continue as Software Engineer or apply for MFE?

    It depends WHICH program? There are a number of programs that have this subject as part of the curriculum. Some even place a good number of grads into these positions. Do a lot of research in this regard.
  3. John

    URGENT: Need some advice regarding my profile

    Plenty of people with engineering undergrad degrees get into these programs. So from that perspective you've got a chance. Still in the running. Having no finance experience, no problem, plenty of people make a successful transition to. Average/low GPA? then you need to take a non-traditional...
  4. John

    PRMIA event on 2/3/2015: Managing Emerging Systemic Risks

    http://www.prmia.org/civicrm/event/info?reset=1&id=6562 Managing Emerging Systemic Risks Tuesday, February 3, 2015 New York Life Insurance, 51 Madison Avenue, New York, NY 10010 In our interconnected world no emerging risk can be ignored. Multiple marginal risks today can amplify and cascade...
  5. John

    Extrapolate (bootstrap) CDS spread curve (term structure)

    try Nelson-Siegel extrapolation
  6. John

    IT questions, what is better: FX hedging vs FX algrithmic development

    Depends where your interest lie. The work on FX hedging could eventually lead you to a corporate finance hedging job with multinationals. Cross-currency swaps, FX NDFs, would be some of the products you will be dealing with. The FX algo trading gig would probably be dealing mostly with spot...
  7. John

    New Member - C++ for FE - Seeking advice for career in Risk Management

    I would take the online C++ for FE course, or any equivalent course, to get your "derivative pricing in C++" to a decent level, even if you were to get the internship position. You will be that much further along than the average MFE applicants, in terms of understanding what it takes to be...
  8. John

    Career advice needed

    The high-tech start-up scene in Seattle is getting better and better. Something to think about. Taking that gig could lead to a big break. Just my humble two cents.
  9. John

    Question on courses for Risk, Portfolio or Hedging

    Definitely, all these are needed for quant jobs nowadays.
  10. John


    C/C++ for production work, Excel VBA for R.A.D.
  11. John

    Mortgages / Structured Finance Research Analyst

    I think you would probably need to know about the cash flow models inherent in the MBS/Agency/subprime ABS (the waterfall; the deterministic part of the model) structured securities. As to valuation, familiarity with prepayment models, market-consistent pricing is probably needed (the stochastic...
  12. John

    Wall Street Themed Thriller Fiction

    Cra$hmaker, it is a two-volume monster of fiction. http://www.amazon.com/Cra-hmaker-Federal-Affaire-Novel/dp/0967175909/ I am -slowly- going through it. Good thing is that each chapter is short. Highly recommended.
  13. John

    OTC implied volatilities

    The IV for OTC options (In general, not necessarily the FX options) are always difficult to obtain. I gather that your model is using the difference in IV between OTC and listed options as basis for calculating the counterparty risk. I don't know if such data is readily available, but I would...
  14. John

    Flexible quant finance programs - Want to gear towards machine learning

    both CMU' MSCF and Baruch's MFE have machine learning as part of the curriculum. Probably a few others as well.
  15. John

    Pricing ABX index for Newbies

    BTW you can look up prices of ABX index tranches on a Bloomberg terminal.
  16. John

    Pricing ABX index for Newbies

    message me, I might be able to help you. No promises though.
  17. John

    What books are you currently reading?

    Cra$hmaker: A Federal Affaire, a monumental two-volume high-finance thriller. http://www.amazon.com/Cra-hmaker-Federal-Affaire-Novel/dp/0967175909/
  18. John

    Please help me.

    not true, there is also an undergrad from UCB who has had a successful career in algo trading (look up Max Dama) https://www.quantnet.com/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/
  19. John

    Please help me.

    To facilitate reaching your goals, you should exploit UCB career services to the maximum (be very aggressive in this regard), look for internship listing, watch for posting on bulletin boards for upcoming campus recruitment. Go to business school library and look up listings of alumni working in...
  20. John

    Our best traders spend a lot of their time pounding away writing code

    I agree this is the future: programming (creating the 'soft' infrastructure), calibrating the model (adjusting the model parameters to changing market conditions), monitoring the market (compare model output with market trades) and executing trades could all be done by the same person, the...
  21. John

    Testing whether arbitrage opportunities exist in term structure

    If you do not calibrate your models to the market instrument being traded (the observables), any interest rate-based instrument (let's say zero coupon bond) that is being priced by your models , would introduce arbitrage opportunities for others, since almost surely, it (again using as example a...
  22. John

    What books are you currently reading?

    Power Shift by Alvin Toffler http://www.amazon.com/Powershift-Knowledge-Wealth-Violence-Century/dp/0553292153/ref=sr_1_1?ie=UTF8&qid=1338328901&sr=8-1 Amazing that most of his predictions came to fruition. Was published in 1990.
  23. John

    index tranches

    a complex CDS/CDX basis trade gone terribly wrong http://blogs.reuters.com/felix-salmon/2012/05/16/how-bruno-iksil-lost-2-billion/
  24. John

    Unpaid internship grows

    A recent WSJ article talks about how companies are creating unpaid internship positions in partnership with leading business schools. In this type of arrangement, business schools are paid a fee, while the students perform the work, unpaid. However, the MBA interns do get major support, both in...
  25. John

    Calibrating Heston's stochastic volatility model

    So the author proposes a two step-approach Step 1 is to estimate the structure parameters that govern the underlying asset process (μ, κ, θ , η). You simulate the data using Euler discretization scheme as proposed by the author. There is a set of structural parameters associated with this...
  26. John

    Calibrating Heston's stochastic volatility model

    this is one example, http://cran.r-project.org/web/packages/bayesGARCH/vignettes/bayesGARCH.pdf For parameter estimations using some of the nonlinear estimation methods, R has many options.
  27. John

    How to test pairs trading strategy positive returns if I thought the returns with this hypotheses

    Would you show similar positive returns if you apply the same strategy to trading big cap stocks? if you do, you can possibly reject your hypothesis that the positive returns were attributed solely to you pair-trading small stocks.
  28. John

    Calibrating Heston's stochastic volatility model

    You can use the R-Project's set of statistical tools(www.r-project.org), thus minimize the programming part from your end. Your biggest challenge is to come up with reliable intra-day data to properly calibrate the models.
  29. John

    How should I network while interning in Chicago?

    Networking is also a mindset. You could literally network anywhere. One time I manage to get a business card from a gentleman working as VP @ S&P, because I noticed that he was reading a quant finance book and we started talkng. This happened during a commuter train ride.
  30. John

    Google Glasses

    Project Glass: The tyranny of user experience http://www.eetimes.com/electronics-news/4370574/Project-Glass--Is-tech-out-of-focus-
  31. John

    What books are you currently reading?

    Victor Kiam, Live to Win http://www.amazon.com/Live-Win-Achieving-Success-Business/dp/0061099074/ The do's and dont's of entrepreneurship
  32. John


    I concur with those sentiments. Not only a fresh perspective but a wider perspective. At Sloan, you could be sitting alongside a future financier working on a Third-World country agribusiness financing deal...
  33. John


    if you want to get into algorithmic trading the choice is clear http://math.nyu.edu/financial_mathematics/content/03_program/04.html MIT Sloan's MFin is suitable for a career in corporate finance but not quantitative algorithmic trading http://mitsloan.mit.edu/academic/mfin/curriculum.php
  34. John

    Non-Quant Financial Career Advice

    I concur with others in that you need to research thoroughly this industry and figure out where you fit in this picture. A career development series book 'What Color Is Your Parachute?", although written for a general audience, might help you in this regard.
  35. John

    COMPARE online courses CQF vs Carnegie Mellon MSCF

    my two cents... before putting your eggs on an online education, CQF or MSCF, seriously consider onsite education first if your objective to to get into the industry. the value of being able to network with fellow students and your professors is invaluable. However I can see the merits on an...
  36. John

    Need Help for Housing in NYC

    You should also consider the Forest Hills/Kew Gardens area (Rego Park is ok too but you would have to take a local train to the 71st station which adds to the commute time). There are two express subway trains (E and F) going to Manhattan. Travel time going into Manhattan in the morning rush...
  37. John

    Rotman International Trading Competition 2012

    2012 Rotman International Trading Competition Official Scorecard http://ritc.rotman.utoronto.ca/documents/Final%20Scorecard%20RITC%202012.pdf
  38. John

    Securitization Structuring Issues - Pls Help

    >>>What do you think about this structure? H this being a new structure, I would keep it simple, and allocate not only the principal prorata but also the prepayment.I might add that if you want to have S2 provide subordination to S1, why not use a sequential pay structure, pay off S1 balance...
  39. John

    Any good book/sources about stop loss order?

    When to sell, by Justin Mamis, is an authoritative read in this matter.
  40. John

    UCB MFE UCB Pre-Program Statistics Course textbook

    I have one copy (2nd edition) of Times Series Models by Harvey. Send me a pm.
  41. John

    Where do you live?

    Angie, you can definitely find a room for less than $600/month, if you don't mind sharing a house with roommates and commute from Queens. I used to live in the Kew Gardens/Forest Hills area, and would take the express train (board E in Queens and transfer to the 6 in Manhattan), it would take...
  42. John

    QuantNet Best-Selling Quant Books of 2011

    Liar's Poker is an awesome read. Stories concerning bond sales for me has always been more interesting than those on equity sales. Reminiscences of a Stock Operator should be on any aspiring trader's bookshelf (be a trader, not an analyst...)
  43. John

    What books are you currently reading?

    The Seven Sisters, by Anthony Sampson: recounts the development of the seven major oil companies in the twentieth century and these multinationals' joint control of oil market alongside the OPEC cartel. Written in the 70's, it lends a historical perspective to understand the current...
  44. John

    What books are you currently reading?

    Conspiracy of paper, fiction, David Liss. Historical fiction set against the background of South Sea Company vs. Bank of England rivalry in early 18th century Coffee Trader, fiction, David Liss. Setting: Amsterdam in 16th century, one man's attempt to corner the burgeoning coffee trade...
  45. John

    Double Barrier Options (Double Knock-outs)

    Just run enough MC simulations and average the discounted option payoffs. Make sure your stock dynamic processes, i.e. the drifts and volatilities are consistent with those observed on the option markets though. So calibration of the model parameters is the key. So calibrate your model (of your...
  46. John

    Non-finance jobs for MFE graduates

    Another door being opened for MFE graduates
  47. John

    financial engineering and algo trading

    AFAIK at least two programs include teaching on algorithmic trading, CMU'S MSCF and Baruch's MFE. Check out their curriculum.
  48. John

    2007 Annual Financial Engineering Case Competition

    I am willing to work with you if you are interested.
  49. John

    Curriculum of the Future?

    I hear you. Use a package such as R for prototyping, research or backtesting your strategies. But for production, compiled code are obviously better.
  50. John

    Curriculum of the Future?

    My question is, then, what is the best curriculum for 'a generally quantitative person'? <<< The curriculum that by the end of your journey, you would be able to read and understand a graduate level mathematical finance paper, and translate the key models and algorithms into readable...
  51. John

    quant fixed income intern interview

    How is the IRR calculated in Excel? what are the potential problems associated with using this Excel formula?
  52. John

    2011 IAFE Career Fair (Friday 10/28)

    I participated in the 2006 edition of national financial mathematics job fair. I did not have an interview secured beforehand but like everyone else, lined up and patiently waited for my turn to talk to each financial firm's representative. The firms that I remember talking to were Goldman...
  53. John

    Madison Ave is next hiring ground for aspiring quants

    Data processing, data mining, data analysis. If you are good in SQL and statistical package such as R or SAS, you got great chance in landing a job in this field according to the article.
  54. John

    A way to get MS Computer Science for FREE

    There was this MS Computational Finance program offered by Oregon Health & Science University that shut down a looooong time ago. I know someone who went to this program. http://compfin.cse.ogi.edu/ [link is no longer active]
  55. John

    What books are you currently reading?

    The Coffee Trader, a novel, by David Liss.
  56. John

    Some Advice Would be Appreciated

    Do focus on the networking aspect of job search a bit more. Luck and knowing the right people plays bigger part than we realize. I know someone who got an invitation for interview from a total stranger at a shopping center... Have you contacted director from any of the MFE programs that...
  57. John

    Peter Muller of Morgan Stanley PDT going solo

    this book, 'The Quants', has an extensive behind the scene account of Peter Muller and its PDT group within Morgan Stanley. Worth reading. http://www.amazon.com/Quants-Whizzes-Conquered-Street-Destroyed/dp/0307453383/
  58. John

    Looking for a project

    say you are a fund management institution, you have diversified portfolio of assets, a mixture of stocks, bonds, REIT, alternative assets. Can you devise a hedging program?
  59. John

    U Florida MBA data given to U.S. News was inaccurate

    so am I. Truth hurts sometimes.
  60. John

    sorry, don't have a copy. These are copyrighted anyway.

    sorry, don't have a copy. These are copyrighted anyway.
  61. John

    Credit Derivatives Research Papers

    Here's one Credit Suisse HELOC report from June 2008
  62. John

    Credit Derivatives Research Papers

    I think there are a few HELOC papers there. Let me know if you cannot find them. I might be able to dig them out from somewhere.
  63. John

    Bloomberg Plans to Hire 500 Techs in NYC and NJ

    not sure, but Bloomberg is firm on this policy.
  64. John

    At your stage, don't focus so much on CFA if you want to work in IBD. There are really two paths...

    At your stage, don't focus so much on CFA if you want to work in IBD. There are really two paths to IBD: Top MBA programs ( an internationally focus MBA like INSEAD is great BTW) or a couple good internship experiences. Network like crazy, but in a systematic way. Studying and passing CFA exams...
  65. John

    You really don't need a quant background to work in the IBD (investment banking division). It...

    You really don't need a quant background to work in the IBD (investment banking division). It usually deals with M&A and capital raising activities. CFA is really applicable for investment management or buyside shops. Not really investment banking.
  66. John

    Quantnet MFE Internship Tracker

    As intermediate piece of puzzle for an eventual full-blown career tracker, the internship tracker is a great idea. It would bring even more transparency to the whole MFE game.
  67. John

    Survival rates

    sure, you can use the discrete form of S(t) = exp(- SigmaSum( lambda(t).dt)), and specify the lambda(t) for each discrete time period.
  68. John

    Spread Trading reading material?

  69. John

    Baruch MFE Would there be a record of the contexts of the info. session? and worry about the interview

    based on the brief bio that you have provided, your chances are good. If you end up at Baruch, I think you will do great. Get in touch with Dan the director ASAP.
  70. John

    Hi harties, the copula is used to calibrate the model in order to derive the implied model...

    Hi harties, the copula is used to calibrate the model in order to derive the implied model parameters. Send an email to me @ johnlai1@gmail.com to take this conversation further John
  71. John

    Credit Derivatives Research Papers

    CLO A couple of papers on CLO. A colleague of mine believes that this will be an area of structured finance that will recover first, as an CLO is usually constructed of corporate loans, without the exposure to the mortgage market.
  72. John

    Favorite books about wall street

    Fool's Gold Fool's Gold by Gillian Tett, How the Bold Dream of a Small Tribe at J.P.Morgan Was Corrupted by Wall Street Greed and Unleashed a Catastrophe. Personally for me it is worth reading on two accounts. 1. How J.P.Morgan derivatives team built the structured credit business. As such it...
  73. John

    Gaussian copula and credit derivatives

    hi copulamix, shoot me a pm
  74. John

    Remember me? Wall Street repackages debt for sale

    I believe repackaging downgraded bonds that were formerly rated AAA is useful in the sense that it pumps some life and liquidity into the non-agency RMBS market. I think that the bankers are careful not to repeat the same mistakes they made with the CDOs. They have kept the structure simple...
  75. John

    Credit Derivatives Research Papers

    Re-remic There seem to be a resurgence in RMBS issuance in the form of re-remic. Here are two recent papers that address this phenomenon. I would read both papers in order to get a bigger picture of things in this particular structured finance space.
  76. John

    Credit Derivatives Research Papers

    Citi Global Securitized Products Strategy Nice paper from Citi covering various securitized products.
  77. John

    Credit Derivatives Research Papers

    Credit Card ABS A trio of papers discussing current affairs of Credit Card asset-backed securities. This might be next market to blow up. See which financial firms are more exposed to the deterioration of credit-worthiness of credit card receivables.
  78. John

    Prof. Salih Neftci (1947-2009)

    Taking Professor Neftci's class was one of the highlights of my MFE education @ Baruch. His classes were always entertaining and full of wits. He had an uncanny ability to make seemingly complex subjects accessible. Professor Neftci, RIP.
  79. John

    The Master Happy Birthday thread

    Happy Birthday Jimmy!
  80. John

    Blaming Quants for Dummies: The formula that Killed Wall Street

    We can point out several events or causes that has contributed to the subtprime crisis. Among those: From 2005 to 2007, mortgage bankers were busy marketing option ARM mortgage, in an effort to make homes 'affordable' to buyers. Almost all these will reset to a full-amortizing mortgage over...
  81. John

    Baruch MFE Baruch goes to Canada

    Good luck guys!!! Here are the participating schools Rotman Financial Research & Trading Lab Competition Case http://rotman.utoronto.ca/finance/lab/documents/RITC2009_Case_Package.pdf
  82. John

    Sylvain Raynes: The State of Financial Engineering

    Anyone watching tonight's CNBC special, "House of Cards"? David Farber just interviewed Ann Rutledge for her role as a CDO rating analyst @ Moody's. They also showed a brief five second video of Sylvain & Ann scribing some diagrams and equations of what looks like average life calculation, on...
  83. John

    Subprime crisis: the fallout in Taiwan

    For those of you who read Chinese, the excerpt of this original article (from Taiwan's Business Weekly magazine) can be found here udnÁp¦X®Ñ³øÅu - ·s»D®É¨Æ - °Ó·~©P¥Z - ³s°Ê¶Å±þ¤H¡n¥æ©ö*ûªº¿W®a§i¥Õ I will translate the remainder of the article when I get a chance.
  84. John

    CDO and morgage backed securities

    I agree with Max. If there something that the structurers and financial engineers (& the rating agencies) should be blamed for are the naive assumptions that price of houses would keep going up , the underwriting would stay high at historical level and that the expected loss would stay low. This...
  85. John

    Voting is today

    One of the funniest SNL shows I have watched in a while... Sorry that they dragged Scranton PA through the mudd though.
  86. John

    Libor's Accuracy Becomes Issue Again

    Credit crunch continues as lending rates climb http://www.marketwatch.com/news/story/credit-crunch-continues-lending-rates/story.aspx?guid=%7BC08EF195%2DC793%2D464D%2DAFC6%2D33A8A9681198%7D
  87. John

    Does Getting an MFE Make Sense for Me???

    agree, once this got this part covered, one is able to read almost all the quant finance books/papers.
  88. John

    Baruch MFE Help deciding on the Baruch MFE

    It makes a lot of sense to attend one of the actual classes as a guest, to get a true feel for this program. I attended one of the classes taught by our director Dr. Stefanica ---I believe it was the PDE class--- and immediately felt at home (due to my undergrad's engineering education and the...
  89. John

    Simulated Annealing

    check this out Numerical Bayesian methods applied ... - Google Book Search
  90. John

    Lehman Merrill Lynch AIG Fannie Freddie WaMu Madoff Citibank saga

    Barclays reportedly reached deal to buy Lehman's securities unit for $US 2 billion, 10,000 jobs saved (this is really good news) http://www.bloomberg.com/apps/news?pid=20601087&sid=a7CZXEXhlocI&refer=home
  91. John

    is the FinMath Career Fair in nyc annual?

    for internship, the best time is to start preparing for it now. Several leading financial firms wrap up their summer internship recruiting efforts by January, so it is not too early to start now and compile a list of potential target firms. You are @ Rutgers right? you might want to start...
  92. John

    is the FinMath Career Fair in nyc annual?

    The National Financial Mathematics Career Fair STUDENT REGISTRATION Student regisration starts today September 8th, so check back soon to register. The National Financial Mathematics Career Fair 2008 PARTICIPATING COMPANIES This is a list of the 2008 Career Fair Participants. If you would...
  93. John

    Engineering, Cubicles and Finance

    for the most parts, the cubicles will be replaced by long rows of trading floor-style desks :)
  94. John

    Credit Derivatives Research Papers

    A primer on residential mortgage credit Bank of America: "A primer on residential mortgage credit"
  95. John

    Credit Derivatives Research Papers

    there was a great deal of discussions about Re-REMICS a few weeks ago. Fifth Ratings has just released a research paper discussing this very issue. I am also including an UBS research piece on the Re-Remics.
  96. John

    Credit Derivatives Research Papers

    Deutsche Bank Securitization monthly August 08 - Global securitization research Deutsche Bank Securitization monthly August 08 - Global securitization research
  97. John

    Wharton Team Wins Financial Engineering Case Competition

    This paper is listed as background reading for this case, "The ABCs of HEL", it might be helpful QuantNetwork - Financial Engineering Forum
  98. John

    Funny Quant story for Quant Apply @ Morgan Stanley

    or..... why not just switch hat with the person in front and then swith it back :)
  99. John

    Funny Quant story for Quant Apply @ Morgan Stanley

    The way the problem is stated, it is totally irrelevant what color of hat the persons in front of his/her are wearing. Like Alain said, you don't know the total of either color of hat, so you cannot get any hint to what he/she him/herself is wearing.
  100. John

    Wharton Team Wins Financial Engineering Case Competition

    The competitive content has gotten more quantitative and rigorus. Let's take a look at 2005 competition, in which the chosen topic was HEL securitization. Basically the teams have to solve a business problem with a challenging quantitative backdrop. This case competitive examplifies this idea.
  101. John

    Wharton Team Wins Financial Engineering Case Competition

    came across this today April 25: Wharton Team Wins Financial Engineering Case Competition Hosted by Tepper School - Carnegie Mellon University
  102. John

    Credit Derivatives Research Papers

    Muting, check out also the book 'Active Credit Portfolio Management'. Lots of stuff on hedging credit portfolio using credit indices. The authors are based mainly in Europe, so the focus is more on European credit products.
  103. John

    Interest rate swap question in an interview with a Major IB

    Perhaps they were expecting you to talk a bit about rates directly, as ir swap is a pure bet on interest and can be priced directly from the observed rates. (your analogy of thinking of a swap in terms of owning long/short fix/float bonds is valid though) Value to a fix swap payer = Sum of the...
  104. John

    Credit Derivatives Research Papers

    DB Securitization monthly July 08 DB Securitization monthly July 08 - Global securitization research
  105. John

    Is Securitization Coming Back?

    more new about CDO's and re-remics Toxic CDOs Given Up for Dead Coming to Life With Pension Funds - QuantNetwork - Financial Engineering Forum
  106. John

    middle office jobs

    the structurers usually sit alongside bankers, traders and their task is a lot more products and sales oriented (i.e. front office in nature). Ability to structure deals that can be priced correclty and placed in the market is important. I would say to succeed as structurers requires a balance...
  107. John

    Credit Derivatives Research Papers

    CMBS/CMBX, ABX A couple of papers on CMBS/CMBX; one on ABX
  108. John

    Credit Derivatives Research Papers

    Muting, page 49 of this page have a bit about the basis between itraxx and iboxx.
  109. John

    Is Securitization Coming Back?

    Midas, a correction on my part. Re-remic structure do not generally come with overcollateralization. The credit enhancement to the offered re-remic certificates typically consists of subordination of certificates in the underlying deal (the original deal). In a way the re-remic is like a...
  110. John

    Is Securitization Coming Back?

    I think most of the problems will reside in those so-called mezzanine CDO, which were collateralized mainly by subordinate MBS bonds, rated AA or below. Those CDO's structured with mainly super-senior bonds should not suffer significant, in many instances if any, losses, regardless of the...
  111. John

    Is Securitization Coming Back?

    I suspect that a lot of new issuance will be in the form of re-securitization or re-remic, i.e. deals backed by bonds that have been previously issued. As matter of fact we are seeing this trend in the market this year...
  112. John

    index tranches

    to expand further what Andy said about relative value credit index arbitrage, here is a paper that discusses the most common strategies.
  113. John

    Tranche Type Question

    do you have the deal name (e.g. Countrywide mortgage pass-through trust 2006-20)? I need to look at the prospectus supplement, as e.g. a TAC can also be a AD bond.
  114. John

    Tranche Type Question

    I see, that makes sense now. The companion bond is asscoiated with the TAC bonds, and the AD (accredited directed) tranches go with the Z (accrual bonds).
  115. John

    Tranche Type Question

    these ABS tranches, AD, SEQ or EXCH, are not companion. A companion tranche/bond is associated with a Planned amortization class (PAC), or targeted amortization class (TAC) tranches. Here's a good description of the bond types: (from Countrywide deal...
  116. John

    is the FinMath Career Fair in nyc annual?

    The National Financial Mathematics Career Fair it is here. They usually post the updated information just a couple of months (my guess is after the Fall semester starts) before the event takes place.
  117. John

    The Master Happy Birthday thread

    enjoy your day of year Greg! Happy Birthday
  118. John

    Banks Start New ABX to Bet on Subprime Mortgage Debt

    here's a detailed analysis of PenABX from CS.
  119. John

    Death of VBA Greatly ExaggeratedIn

    On a related note, VBA is coming back to future versions ofr Office for Mac Schwieb » Blog Archive » Saying hello (again) to Visual Basic
  120. John

    Credit Derivatives Research Papers

    DB Securitization Monthly (May 2008) DB Securitization Monthly (May 2008). Thorough coverage of most structured finance classes. Auto, credit card, mortgage, student loan, Euro & Japan ABS.
  121. John

    Credit Derivatives Research Papers

    Structured Credit Investor - Pick of the Month Structured Credit Investor. Selection of news and views from the month of March.
  122. John

    Honors MBA applicant -network with MFE

    from here: http://zicklin.baruch.cuny.edu/programs/graduate/mba/full/ I know several of the current MFE students have obtained internship overseas, that's all I know. You can check MFE program page for current employment stats.
  123. John

    Honors MBA applicant -network with MFE

    Congratulations!!! =D> I read that the students are gonna get quite a bit of personal attention. Can you share what you know about this?
  124. John

    Interview with Dominic Connor

    The interview process is very communications-intensive. As final hurdle, there's usually a lunch with your future potential colleagues.
  125. John

    Is it worth to take a Bachelor degree in Mathematics now?

    you need a career make over, like Eric said, a MFE coupled with a paid internship while completing your education is your best bet.
  126. John

    Interview with Dominic Connor

    Andy, can you make this thread sticky.
  127. John

    Credit Derivatives Research Papers

    Morgan Stanley Structured Credit Handbook Morgan Stanley Structured Credit Handbook, came across this today.
  128. John

    double major?

    Baruch does have a math of finance concentration: Mathematics - Undergraduate Bulletin - Academic Programs - Baruch College
  129. John

    Credit Derivatives Research Papers

    CDO/Structured Credit Monthly Lehman Bros CDO/Structured Monthly April 2008 issue
  130. John

    Credit Derivatives Research Papers

    Synthetic CDO and CLO primers An introductory primer from Lehman on Synthetic CDOs and another one on CLO.
  131. John

    Fordham MSQF 2008 Admission

    this is a great addition to the Fordham program.
  132. John

    Credit Derivatives Research Papers

    CS March ABX and mortgage ABS update Some update about the the latest mortgage remittance report, ABX and servicing risk.
  133. John

    Credit Derivatives Research Papers

    Heterogenous Gaussian Copula Correlation Model JPMorgan: Heterogenous Gaussian Copula Correlation Model paper
  134. John

    Credit Derivatives Research Papers

    Morgan Stanley Credit Derivatives Insights Compilation of Morgan Stanley Credit Derivatives papers, named 'Credit Derivatives Insights'. Total of eight volumes here. Should provide good ideas for credit derivatives trading strategies. Articles spanning from 2003 to 2006.
  135. John

    Credit Derivatives Research Papers

    A couple structured credit papers
  136. John

    Credit Derivatives Research Papers

    wow, really good stuff. I have been looking for a primer on cash CDO :tiphat:.
  137. John

    Credit Derivatives Research Papers

    Losses implied by CMBX from MS, another CMBX analytical report
  138. John

    Credit Derivatives Research Papers

    duo of Deutsch Bank April 08 Securitization newsletters North America and European editions.
  139. John

    Credit Derivatives Research Papers

    Our group gets a constant supply of these papers from the dealers. Sometimes I get them from our groups within our company as well.
  140. John


    absolutely, if you are in algorithmic trading. Fpml is a subset of Fixml and is used for OTC derivatives messaging.
  141. John

    Is John Hull's book a must-read for quants not doing derivative pricing?

    Hull is a good introduction but focuses mostly on derivatives. If you want a rigorous treatment of modern portfolio optimization and are familiar with S-Plus/R, check out the following book by Scherer. Amazon.com: Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes...
  142. John

    OPT now for 29 months?

    my impression is that it has always been that an F-1 students only have 2-3 months to find employment upon completion of full-time college coursework. So in that regard, this new set of ruling did not change things as far as I can tell. Am I missing something?
  143. John

    Credit Derivatives Research Papers

    Structured Credit Investor A trio of Structured Credit Investor weekly newsletters here. You will find some pretty neat articles about CDS and CDX.HY trading. Unfortunately my company does not subscribe these anymore, it is a shame as these are darn good papers. Anyone's got a subscription...
  144. John

    Difference between MFin & Financial Engineering

    a plug here for Baruch's structured finance program. Dr. Raynes' two-semester structured finance course, encompasses study in economics, forecasting, engineering mathematics (no, I am not talking about financial engineering), monte carlo simulation, and yes philosophy & ethics. So Baruch's...
  145. John

    CDS index question

    31 March 2008 MARKIT ANNOUNCES ROLL OF CDX HIGH YIELD INDEX New York - Markit today announced that the Markit CDX North America High Yield index (CDX.NA.HY) will roll into its tenth series on 1 April 2008. Markit is the owner of the CDX family of indices, and a leading provider of independent...
  146. John

    MFE Programs for Asset Management/market microstructure???

    A good MS Statistics program might be something you would consider if you decide to go for the second career track.
  147. John

    PhD in CS VS. Master in CS + Master in Finance

    To add what other have said, focus on getting the skills and the profile needed to succeed in this field. A degree is like the candy wrap, it packages the goodies within and make it presentable and appetizing. But it is the candy what the employers are looking for. From that standpoint, choosing...
  148. John

    Analyse Gold Returns Distribution

    good thing is that with gold, we have historical data going back several decades. So the simplist way to estimate the maximum probable 1-day loss (in % terms) is to use the percentile statistics. Look up the bottom 1% percentile historical daily return, and that will be your historical VaR @ 99%.
  149. John

    Looking for a summer job shadowing/intern opportunity at hedge fund

    check this thread, he gave some insightful pointers Exclusive Interview with Tim Grant of UBS - QuantNetwork - Financial Engineering Forum One thing that stuck out for me was the following I would create a financial model, say option-implied vol, and start paper trading. If you don't have...
  150. John

    What is going on at Bear Stearns ?

    Diary from a BS ABS banker http://news.efinancialcareers.co.uk/NEWS_ITEM/newsItemId-13156
  151. John

    Credit Derivatives Research Papers

    Demystifying CMBX: drilling down into the implied losses & defaults From Credit Suisse fixed income research
  152. John

    Literature on algorithmic trading

    Streambase has some white papers http://www.streambase.com/algotrading.htm Dr. Almgreen's webinar is quite insightful http://www.streambase.com/webinar-adaptive-algo-trading.htm
  153. John

    New Book posted to Books24x7: Structured Finance Modeling with Object-Oriented VBA

    I am working through the exercises of this book and it is very good.
  154. John

    The Master Happy Birthday thread

    to Andy, our dear admin, Happy Birthday!!!
  155. John

    hi, everyone, I need some advice : statistical arbitrage

    Hi Yuriy, I think a solid handle on financial time series analysis would be good foundation for a career in stat arb. If you understand things like cointegration, serial correlation, vector autoregressive models, you are headed in the right directions. So there are courses that are indeed stat...
  156. John

    Credit Derivatives Research Papers

    CMBX and commercial real estate Credit Suisse report: CRE Prices: The Capital Markets Strike Back
  157. John

    Greetings need help/advice

    no, I don't think you are too old at all. In the networking field, the main ingredient of success is to have marketeable skills and proven success on the field. I have friends in this field and I can tell you that tangible hard skills are more important to academic achievements in this line of...
  158. John

    Interview Questions to share

    yes, I think the Black model is the standard one used by traders AFAIK.
  159. John

    Interview Questions to share

    great question on risk aversion. Think of this from a slightly different angle. If you are running an prop desk, and you are allocated certain amount of risk (VaR or other risk measures), question of how much to risk (exposure) might override the question of how probable it is to turning a...
  160. John

    Baruch MFE Chat with the Director

    if I may, let me answer this question. Several student have gotten summer internships with ib in Tokyo this year. I believe a couple students did internship at Singapore last summer.
  161. John

    Interview Questions to share

    From interview with an ib structured product sales & trading group: How do you price swap rate? How do you price swaption? How do you calculate the amortization schedule of amortizing security? What is Macaulay, modified, effective, dollar duration? Which bond has higher duration? the 5-year...
  162. John

    A plan to train myself as a quant

    Amazon.com: Financial Engineering and Computation: Principles, Mathematics, and Algorithms: Yuh-Dauh Lyuu: Books I like this book and I think it would give you a good overview of the products and models in FE, plus it provides pseudocodes for most of the models. The explanations are a bit...
  163. John

    A plan to train myself as a quant

    let me propose an alternative plan: you can do this side by side with your other fundamental study ( the way you had it laid out). Pick an interesting project in financial engineering, say pricing of an exotic equity option like himalayan option. While you tackle this project, you will surely...
  164. John

    Credit Derivatives Research Papers

    Moody's 2007 Review and 2008 Outlook: Home Equity ABS This from a rating agency's perspective.
  165. John

    Credit Derivatives Research Papers

    The ABCs of HELs This is an old 2004 paper covering the home-equity ABS bonds, a bit old but quite thorough in its coverage of this asset class (used in one of the Financial Engineering competitions) https://www.quantnet.com/threads/2007-annual-financial-engineering-case-competition.400/
  166. John

    Credit Derivatives Research Papers

    ML Global Structured Finance 2007-08 report ML reviews developments in each region of the globe in 2007 and highlights expectations for 2008.
  167. John

    Credit Derivatives Research Papers

    ABS monitor and statistics charts (Feb 08 report) That time of the month again. ABS performance report and statistics spreadsheet.
  168. John

    how to break into finance?

    I have heard recruiters, I believe it was DCFC, who mentioned that if you are a EE and have strong signal processing skills, you are marketable to firms specialing in systematic trading.
  169. John

    S+ : Need help with big data set

    S-Plus is really flexible with vector and matrix operations. Here's an example: > retmat = matrix(c(1, 0.002, 0.042, 0.22, 1, 0.052, 0.041, 0.02, 1, 0.034, 0.742, 0.245, 1, 0.234, 0.042, 0.223, 1, 0.23, 0.092, 0.292, 2, 0.023, 0.002, 0.22, 2, 0.094, 0.023, 0.928, 2, 0.95, 0.293, 0.032, 2, 0.908...
  170. John

    S+ : Need help with big data set

    are you using any of the function with built-in internal loops, like apply, lapply, etc. They are incredibly fast and efficient. Stay away from for-loop as much as possible. SPLUS Library: Advanced functions You can substitute function sum with mean mat1 <- matrix(rep(seq(4), 4), ncol = 4)...
  171. John

    Credit Derivatives Research Papers

    Standard & Poor's Corporate Securtization Seminar 2008 Series of broadcast presentations by five S&P analysts Mediasite Presentation Catalog
  172. John

    Baruch MFE MFE Admitted Fall 2008

    I think the Master QMM is geared more for a career in operations research, within a wider business context. MFE is trained to target strictly a career in finance.
  173. John

    Baruch MFE Part-time MFE at Baruch

    yes, part-time students are treated in the same fashion as full-time students.
  174. John

    Interview with a Hedge Fund Manager

    n+1 If you like this interview, you will love the print version of n+1. Latest issue features articles on the Virginia Tech shootings, the history of the cubicle, Gawker.com, and much more. Subscribe here. + + + Year in Review, Continued The Financial Situation Interview with a Hedge Fund...
  175. John

    Why is C++ good for Quantitative Finance? Top 3 reasons

    I agree, in our company, we have a c++ generator that generates financial models as C++ source codes. The coding might not have the latest OO elements, but it is compact, fast and easy to debug. In the quant finance world, the work is sometimes (not always of course) reduced to the creation and...
  176. John

    MA/MS Statistics vs MFE

    Generally a MS Stat degree could be considered "career enhancing", whereas MFE (similar to MBA) would be "career changing". In your case, since you already have a job on the street, a technical Stat degree would probably make sense. For those individuals currently not working within the...
  177. John

    New Quantnet members say hi

    Hi Josh, I just came back from a two-week vacation in Taiwan visting relatives. I have forgotten how beautiful the our homeland was. Regarding jobs in NYC, have you started applying? send me a message if you wish.
  178. John

    Credit Derivatives Research Papers

    AWESOME paper. Detailed trading and risk management discussion across strategies. Also like the fact that the paper discusses how the trades worked out AFTER these were recommended in earlier papers. One of the best papers I have seen. Thank you for sharing it.
  179. John

    US hedge fund makes 1,000% return betting against subprime

    I have used ultra short ETF's, but more as hedges than as outright short bets (too risky), against REIT and financials (SRS and SKF respectively). On a institutional level, I suspect that means Paulson is buying protection on something like CDX-HY, or going short on the CDX tranches with lower...
  180. John

    Resume included in Application

    I think it is quite important and reveals a great deal about your academic and working life. It is worth putting forth some serious efforts into it.
  181. John

    CMBS/CMBX webcast

    A great webcast of last week presentation from Commercial Mortgage Securities Association (CMSA) http://cmbs.org/whatsnew/stateoftheindustry_12-11-07.html Issues covered includes trading and recent development in CMBX, as well as the similarities and differences between CMBX and ABX index.
  182. John

    Credit Derivatives Research Papers

    Dec 14: Moody's reaffirms AAA rating on several financial guarantors http://www.mbia.com/investor/publications/moodys_dec14_2007.pdf
  183. John

    The Master Happy Birthday thread

    Happiest of the birthdays for you Nelisa!
  184. John

    Scripting languages

    if you are currently enrolled in a school, you can get a free one-year academic license of version 7.0 (with certain limitation on datasets). R is a great (and free) tool to learn the S language syntax. That's how I started out. Once you pick up the peculiarities of S, e.g. manipulation of...
  185. John

    Reviewing quant recruiting firm/headhunter

    Recruiters tend to work only people with known, marketable skills and experience (experienced hired or strong PhD). For freshly-graduated students, the most feasible path is through school and personal contacts, as the people in this category would have to rely on selling his or her...
  186. John

    Big Bonuses Seen Again for Wall St

    Bonus blow looms for Goldman rivals Hugo Duncan, Evening Standard 13 December 2007, 10:08am Gloom descended on the City today as thousands of bankers faced disappointment in the wake of the bonus bonanza at Goldman Sachs, where boss Lloyd Blankfein was paid a staggering $70m (£34.3m)...
  187. John

    Credit Derivatives Research Papers

    how's your group doing given all the volatility lately. I heard that the bid/ask for index like ABX jumps all over the place.
  188. John

    Credit Derivatives Research Papers

    My colleague gave me this paper from Barcap: it has a section showing how to value bespoke tranches with base correlations ;-)
  189. John

    Credit Derivatives Research Papers

    Is this the Nomura paper that you are looking for? I think there are newer paper from other ibs that talk about 'base' correlation.
  190. John

    Credit Derivatives Research Papers

    Moody's research of the extend of financial guarantor's subprime exposure The original Moody paper on Financial Guarantor's subprime exposure (Sept 07) http://www.mbia.com/investor/publications/moodys_september2007.pdf Recent Dec 07 update...
  191. John

    Interview with Tim Grant

    How can a freshly-graduated financial engineering student make a transition into more of a business role after a few years working in this field? i.e. more responsibilities, more visibility within the firm, and acquiring roles with direct PnL implications.
  192. John


    not neccesarily, some of the best students in the history of our program joined straight out of undergraduate level. Besides, some banks like those bright and young candidates, whom they can mold and groom into successful bankers.
  193. John

    Credit Derivatives Research Papers

    Estimating CDO of ABS Writedowns Citi structured credit research: Estimating CDO of ABS Writedowns
  194. John

    Microsoft Correcting Calculation Error in Excel 2007

    Not really a bug, but using Excel IRR function to calculate return on a fixed income security generating a large amount of cash, can significantly overstate its yield. That fact was quickly pointed out to me by a structuring quant during an interview last year... [me] proudly showing off my...
  195. John

    Career in networking/IT vs A Quant career

    Here's the article: http://www.bloomberg.com/apps/news?pid=20601109&sid=aBrxeTBQQrWs&refer=home
  196. John

    SQL is really boring do we need it?

    going a bit off topic, FIX protocol messaging and FIXML (FIX based on XML vocabulary) is essential for straighthrought processing (STP) and good to know if anyone wants to get into algorithmic trading. Now we are going deep into the IT domain, so be careful ;-)
  197. John

    Career in networking/IT vs A Quant career

    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...