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  1. 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/...
  2. 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...
  3. 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...
  4. Ken Abbott

    Advice from Mark Ross about Jobs

    This short video presents uncommon wisdom about the job search process. I recommend it highly.
  5. 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...
  6. 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...
  7. 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...
  8. 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...
  9. 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...
  10. 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...
  11. 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...
  12. 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...
  13. 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)...
  14. 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...
  15. 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...
  16. 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...
  17. 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...
  18. 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...
  19. 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...
  20. 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...
  21. 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...
  22. 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.
  23. 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...
  24. Ken Abbott

    Introductory Material

    Here's some introductory material I've come across.
  25. 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...
  26. 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...
  27. 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...
  28. 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...
  29. 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...
  30. 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...
  31. 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
  32. Ken Abbott

    Duck Curve

    Has anyone tried this?
  33. Ken Abbott

    模型风险管理监管指导! Now in Mandarin

    I asked my Claremont grad student Shuwen Liang to translate SR 11-7, the Fed/OCC seminal document on model validation, into Mandarin. I'm told she did a great job. Check it out.
  34. Ken Abbott

    Chinese Financial System

    I just posted a very interesting 2013 Brookings paper on the Chinese financial system in the risk doc collection. It's pretty short and very well-done. I'd be interested in hearing what our Chinese members think of it. Is it accurate?
  35. Ken Abbott

    Visiting Dehli in April

    It looks like I'll be visiting Dehli in April. I think meeting some students from quant programs there might be fun. Does anyone have suggestions?
  36. Ken Abbott

    Interesting Math Gifs

    http://acidcow.com/pics/67731-these-gifs-will-help-you-with-your-math-skills.html
  37. Ken Abbott

    [Feb 7, 2015] Regulation Masterclass at Baruch, February 7th, 2015 (New York, NY)

    Financial Regulation: Evolution and Current State Ken Abbott, Morgan Stanley Baruch MFE Master Class Saturday, February 7, 2015 The Baruch MFE Program will offer a one-day Master Class on Financial Regulation: Evolution and Current State taught by Ken Abbott, Managing Director, Firm Risk...
  38. Ken Abbott

    Coming Soon: Regulation Masterclass at Baruch-November 8

    I will be teaching a one day regulation masterclass at Baruch again in November. I will be covering The microeconomics of regulation, Basel, Dodd-Frank, and regulatory models. Watch this space for more info. I'll once again ask people to make a donation to my favorite nonprofit instead of...
  39. Ken Abbott

    Advice

  40. Ken Abbott

    Accounting for Quants

    I have a question for practitioners: How much accounting do you feel you need to know to be effective? Clearly an understanding of VAs is requires, as is some knowledge of FV principles? I sense there's a gap here andI'd like to see it addressed.
  41. Ken Abbott

    Presentation: 11 Reasons Why I Will Never Hire You

    Personally, I'm not a big fan of thank you notes, but this deck provides some interesting food for thought. Job seekers: read and consider. http://www.slideshare.net/markrotoole/congratulations-graduate-eleven-reasons-why-i-will-never-hire-you
  42. Ken Abbott

    The Importance of Regulatory Background

    I just spoke with one of my quant finance ex-students on the west coast who told me he became a hero at work because he knew all about CCAR, the Fed stress test. It was a focus area of the class I taught. Just sayin'
  43. Ken Abbott

    Need ideas for capstone projects: sustainable finance?

    OK campers, I need your advice again. As some of you know, I teach at NYU, Claremont and Baruch. I've sponsored some very successful projects including ones on ES as a risk measure , commodities, and on regulation. I sit on my firm's sustainable finance committee as well as on the investment...
  44. Ken Abbott

    How to get a non-quant up to speed?

    Ok, forum. This time I need your advice. A colleague of mine is on the management fast track. She's smart, personable, and talented. Her challenge is that she has no formal quant training at all. She is destined to be part of senior management. A minimal amount of schooling would help her...
  45. Ken Abbott

    Collection of important documents for risk management

    Below is a collection of important documents, required reading for students and professionals in the field of risk management. The list is divided into subjects and will be updated. Overview
  46. Ken Abbott

    Finance Industry Dictates Changes to Job Market

    This article appears in QuantNet 2013-2014 International Guide to Programs in Financial Engineering. The job market for quants has changed inexorably. The “particle finance” trend of the last 20 years is on the wane. While funds will still be able to trade on a prop basis, banks’ ability to do...
  47. Ken Abbott

    Commodities Boot Camp @ Baruch: November 16

    I'll be posting more details soon, but I wanted to get some brief introductory information out there. On November 16th, I'll be hosting a Commodities Boot Camp at Baruch. While the focus will be primarily on energy, I also hope to talk about metals and ags as well. The class will start with...
  48. Ken Abbott

    Commodities Bootcamp at Baruch

    Dan and I have been discussing the possibility of having a commodities Bootcamp at Baruch late in the fall. The Bootcamp would be a full day and would provide an overview of production/extraction, processing, transportation, storage and trading of commodities. If there is sufficient interest...
  49. Ken Abbott

    MS Programs in Singapore

    I've seen references to degree programs in Singapore, but haven't come across any candidates in my travels. What can anyone tell me about these programs?
  50. Ken Abbott

    Importance of PCA

    I just heard from a former student who landed an excellent job that one of the most useful things he learned was PCA. I didn't teach it, but I provided some references and encouraged students to be familiar with it.
  51. Ken Abbott

    The need for portfolio / reporting people on Wall Street

    The need for qualified portfolio analysis and reporting people represents the single biggest demand vs supply imbalance on Wall Street. Keishi Hotsuki, CRO of Morgan Stanley:
  52. Ken Abbott

    Financial Engineering @ Claremont Session tonight @ 8PM EST

    The CGU online info session is this evening @ 8PM EDT for those interested.
  53. Ken Abbott

    We Code Hard

    I don't know if you all have seen this, but it made me smile.
  54. Ken Abbott

    Baruch MFE Job / Career Coaching at Baruch

    I hear that Baruch has hired Ellen Reeves, a well-established job hunt coach to help with resumes and job searches. How is this working out?
  55. Ken Abbott

    Learn SQL

    I keep seeing people asking what courses they need to get jobs in finance. It's not about courses. It's about skills. Want to get the attention of an interviewer? Tell him or her that you're a SQL expert. My department takes in billions of records per week. The analytics are the dessert...
  56. Ken Abbott

    Blackberry

    Check this out:
  57. Ken Abbott

    Need opinions on Quant Finance Teaching Position

    I seek the fourm's collective wisdom on a education-related matter. In addition to working on Wall Street, I teach at three universities. One is a very highly-ranked private program at a university from which I have received two graduate degrees. The second is an up-and-coming program where I...
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