Search results

I think you are severely underestimating Russian IT companies. One of the giants (not only in Russia) is Yandex, check it out.

You doing CFA now?

I have been thinking about taking Intro to Probability Theory through NetMath: Math 461: Introduction to Probability Theory | NetMath at Illinois Not sure if it satisfies CMU's MSCF admission committee.

Are you doing it online? Part time or Full time?

Congratulations! What would you recommend for a Math paranoid with Calc I/II, Linear Algebra, and Intro to Probability? Where/how can one start (resources)?

Bump Is this online program still alive? Has anybody taken it?

Hi @DessertStation and @RandomAnalysis Have you guys decided where to go? Can you please share your profiles?

FED?

Marchi, sorry for the threadjack, but how is the job market in Canada right now? What companies would you apply if you would like to work in Toronto?

Can anybody who has worked at Canadian Pension Funds, Asset Management, and/or Banks as a portfolio risk/market risk analyst share their experience?

If you are already in a PhD program, then don't listen to those who are saying its useless. It is useful. But you will have to know how to make it useful. Obviously there are different types of HFs and different types of jobs. Keep monitoring the job market and develop the required skills.

Neither. Get CS degree.

Bump. Any good resources out there? Also, I was just wondering if installing MySQL would be a better option than MS SQL for a beginner.

https://www.quantnet.com/threads/investing-vs-speculating-in-etfs.22853/#post-165061

Some time ago you claimed that you are making profit because you can tolerate high drawdowns. If this was the case, how are you still being able to show better volatility than the index?

Yo, this is an interesting point. How are you optimizing your portfolio then? AFAIK MPT is still used in the industry.

Also, do you think if you explicitly state in your application that you have successfully finished C++ course, read and understood everything in those 2 books you would be as competitive as those who are coming with the pre-MFE certificate?

Interesting point... I got the impression that these pre-MFE classes are not easy. Especially if you're taking two or more classes. Correct me if I'm wrong, but upon successful completion of these courses you'll be able to get a recommendation or two which will be a huge plus compared to...

Pretty much what @pingu said. The example that I gave you is from the homepage of Quantopian. There you can find a lot more interesting stuff. Harry's book is also great source.

What exactly do you mean by that? Is he no longer friends with Sir W? OP, buy underperforming stocks sell outperforming stocks from S&P500 Index. Try using different averaging.

Hey, I am not sure what kind of answer you are looking for, but it is very tough to make it work. With several hundred dollars you can start trading FX with huge leverage and make some money, but it probably won't last long... The only thing that can think of that could work for you is to...

Read the Expected Returns

Однако! But where are the good commentaries :) Thanks for the link, will take a look. How do you measure your vol (historical/forward looking, time period, sigma/EWMA/GARCH)?

Interesting indeed. What does "Guter Kommunikator" stand for? What are the technical and fundamental analysis that you mostly use? How do you measure whether your loss you are trying to cut is quick or not?

Do you comment on each of your trade there? As in why did you think that this exact trade should be put on at this time and what is the rationale behind it?

This is an interesting topic. Is there any comprehensive list of risk measures by asset classes? While VaR and ES can be used in most of the cases, I think using market-specific exposure measures for different sorts of instruments that directly affect P&L is also very helpful. For example...

Yes, please do share. In this thread, if possible. Edit: your linkedin page says that you are a rates trader. Are you a quant trader?

Do you have RWA without IR swap and FX Forward? If not, you will probably have to go through Basel documentations.

this

Hey guys, Thanks for doing this. Hope you all enjoying your time at UCB and I'd be greatful if you could answer the following: 1) Why UCB? What scools and/or programs would you put above UCB MFE? 2) Is it still worth doing MFE? 3) Where are you heading after graduation (FT job, academia...

Have you taken a look at this: A Linear Algebra Primer for Financial Engineering by Dan Stefanica?

There are lots of other stuff except VaR. Some examples are stress-testing, scenario analysis, balance sheet risk, etc. Sometimes there are unique transactions where risk should be evaluated on stand-alone basis and holisteically. There is also interaction with other departments so this all...

This sounds really interesting. Can you explain how one can actually do that?

:) LOL

Has anybody dealt with these measurements of Basel? I would appreciate any material that uses simple and to the point explanation.

From @Phongvasu 's old thread here: https://www.quantnet.com/threads/what-can-i-do-if-i-do-not-have-sufficient-math-background.13883/#post-115114

Can you please share your experience comparing and contrasting NetMath, Wisconsin Madison, and CVN? How was the quality?

Thanks for the replies, appreciate it. 4) Did you have prior programming experience? I see @damonloveavril and @Longsky did C++ certificate program. Is this program sufficient to ace programming related questions in the interview or do you have to go deeper? 5) What is the most challenging...

Hey guys, thanks for doing this Q&A. 1) Background; 2) Have you taken Pre-MFE program? Advice for those who cannot take this program; 3) Your interview experience with Adcom;

Since you have stated that It would be helpful to know what do you actually do at work and what are you planning to learn in order to apply at your current bank. I think from here people with knowledge would be able to give you some directions. The reason is those QF, FE, CF programs usually...

Educate yourself for free?

@Andy Nguyen are these reviews and comments going to be reflected in the ranking? If so, can you tell us how?

Here is the full list: http://www.forbes.com/30under30/#/finance Pretty impressive. Especially the guy who is at Two Sigma. What do you guys think?

"Analyzing Russia's Increasing Oil Dependence" today on BBG FFM.

Europe's best and brightest quants come from Italy. Rebonato, Mercurio, Brigo, Morini are all from Italy and Banca IMI is the powerhouse for Interest Rates and Fixed Income research. I do not know which part of Italy you are from, but I would assume you would find out more about what really is...

Of course it is not AFAIK. No direct client exposure. OP, what is your background? I think this, as well as your inerests that you have outlined above plays a huge role in decision making. If I were you I would figure out what the MBS position is about and align this with the experience that...

Is it possible to get presentation slides?

There are plenty: http://82games.com/ http://www.basketball-reference.com/ http://www.apbr.org/ http://www.gotbuckets.com/ http://hoopsnerd.com/ http://hoopdata.com/ http://hoopshype.com/ http://www.teamrankings.com/ http://basketballvalue.com/index.php http://www.gotbuckets.com/ NBA Teams...

Check out squawka and opta.

Fair points. However, agreeing with your previous comment in this thread, this book actually might be a good foundation for those who are just starting out. I haven't had a chance to go through the book, but the range of topics covered in the book seems to me very comprehensive. Thanks for the...

Bloch has published a pretty nice book and it looks promising: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2543802

CFA for trading? Least likely.

Do not want to mislead with wrong info, but what kind of institution is this (commercial/corporate bank, IB, HF)? Is the position in ALM department?

Ditto, and thanks in advance.

Take a look at this book: http://www.amazon.com/Analysis-Financial-Time-Series-Ruey/dp/0470414359

This uh, is a little ridiculous, init? Waitlist with guaranteed admission if conditions are met?

I wish I could, man. I am just an observer and wannabe applicant. Everything is IMHO.

Hey Dmitrijs, check out NetMath: https://netmath.illinois.edu/

May the Fourth by Jared Dillian I recently watched the movie Interstellar in the theater. I liked it so much, I watched it again… and again. Three times in 10 days. Next, I’ll get the DVD and see it dozens of more times. It’s my new all-time favorite movie. I’m something of an astrophysics...

Yeah, that is my understanding, assuming Hold>Waitlist.

Some more info with VBA code: prosoftware.se/stud/HW_2006.xls

I think this is applicant-specific. A waitlist with guaranteed placement option might better than vanilla waitlist, which according to someone in Tracker is "UCB way of reject" if there is no other considerations except time. However, it might not be the case for someone who is desperately...

I may not be qualified to opine, but here is what I would do: 1) sit down with the wifey and discuss these points in great detail; 2) decide where to live/work and analyse if there are research, quantitative reasearch, analytics, risk management or risk management sort of roles in the chosen...

Wow! It feels like they are steering you towards their Pre-MFE courses. Did your interview go well?

Do you mind sharing?

Yeah, I was talking about your update :) So, is it safe to assume that if those two "waitlists with guranteed place in the 2016-17" would get admitted if applied earlier (2nd, 3rd Rounds)? By the way, how are you going to fill the gap year?

Just noticed, somebody in Tracker updated the status with "guaranteed admission for 2016-17". Is this specific to UCB MFE or other schools do this as well? Good luck everybody.

https://www.youtube.com/watch?v=qM-gZintWDc

Try daily inputs, that guy is using data provided by FINAM. If you want to learn something from this project you will have to read some papers. There was a good research on USDCAD and Oil prices relationship (I think its already 2 decades old). You might start from there. On the other hand, if...

For those who understand Russian: http://kypc.ru/blog/finance/50851.html

In the same boat right here man ... Currently trying to figure this out: http://www.mngt.waikato.ac.nz/kurt/frontpage/modelmainpages/interestratemodels.htm#Interest Rate Trinomial Tree - Hull & White Method Take a look, might be helpful.

Interesting discussion. Is there anybody who is trading Lyosha-style here? What products do you trade? How much time do you invest?

Well, then you will simply have to download the needed data manually and save in the appropriate directory.

Where are you getting your FX, ETF, Futures, and Bonds data from? What is the time frame?

pro bono it and make donation available

Hey Ivan, I just checked out the HSE's Econ curriculum. I just wonder, what did you mean by solid technicals? Because all I can see there is couple of Math for Econ, Stochastics, and VBA/SPSS/STATA. Could you elaborate, please? FT WE - full time work experience

Hi Daniel, What would be the decent doze of applicable/computational maths?

Yeah, I believe @Ivan Nikolenko, the guy who is fielding questions here, also has a similar profile to those that you mentioned.

I have been checking out studet profiles and two things that caught my atention 1) a solid STEM degree (mostly from French Unis) and 2) no prior work experience (FT, not internships). I would say this group of students accounts for about 60%+ of the class ...

Can you stop advertising your book, please?

Sell side vs Buy side. On the sell side day to day tasks of the quantitative risk managers hugely depends on the covered products, such as FX, Fixed Income, Equities, and derivatives on these instruments. They are expected to utilize various analysis tools (VBA, R, Matlab, C++, Java etc.) in...

Given that this is a some sort of swap deal, and the floating leg is 6M GBP Libor - 6M CHF Libor, you are going to have to sort several things out here, for example: 1) what is the fixed rate; 2) what is the payoff "4*Reference spread where reference spread is defined as 10 year GBP swap rate...

Can you provide any more details? I am guessing this will fit in some kind of swap structure or maybe Range Accruals. Take a look at Flavell, maybe?

Thank you. Selected the first 9 Universities with respective programs from the Rankings list: CMU MSCF (http://tepper.cmu.edu/prospective-students/masters/masters-in-computational-finance/admissions/faq): While the MSCF program accepts either the GMAT or the GRE, if you have yet to take either...

In that case, I am not entirely sure if their courses will be a good enough refresher. I think the ML course offered by Stanford might be a good alternative.

Unfortunately, I do not have a meaningful input regarding your situation and hope others will comment, but are you talking about JHU's Data Science package in 2.3?

Sorry for necroing this thread, but have things changed since 2010? Which one is preferred currently? I was just thinking about registering for GMAT.

An electronic version: https://ia700705.us.archive.org/16/items/AnIntroductionToLinearAnalysis/KreiderKullerOstbergPerkins-AnIntroductionToLinearAnalysis.pdf

Sorry, couldn't resist :)

Pretty interesting. If my memory serves well, you are at Columbia, right? Can you talk little bit about your buy side risk gig? How did you land this job (OCR, online application, HH, etc.)? What products did you cover? Why did you quit? Would you go back?

This is a slight threadjack, but I have always been interested to know more about this kind of transition. What would be your plan for this?

6 quick tips for Quants: www.linkedin.com/pulse/article/20140926033547-224919799-so-you-want-to-be-a-quant-here-s-6-quick-tips

I think it is hard to generalize. Yes, there are IT guys who bag more than a risk manager, but you also have risk managers who make x-times more than IT guys. As to risk managers' value from B-schools' standpoint, again, it totally depends on applicants' full pack (GPA, work experience, ECs...

If I were you I would sit down and thoroughly think about pros and cons of the career paths, my strength and weaknesses, the reality and make a decision. Otherwise it would be very hard for me to fight in two battlefields going forward. I wish I had encouraging words here.

Perhaps this has been asked here before, but will these courses be offered off-site (online) anytime soon?

Wow, what a surprise ... I personally do not know anybody who made this transition but I guess you should probably start networking asap and be ready to answer questions like why IBD, why did you do MFE (instead of MSF/MBA). Just curious why you don't want to do quant-related stuff anymore?

Try Tsay's Time Series book.

Probably a dumb request, but could you elaborate a bit on "prepare for your career" part? What do you mean by that? How someone who is planning to become a quant risk manager could execute this task properly? If RM is not your area of expertise, I would appreciate any other example so I could...

Pretty interesting comment, appreciated. I wonder whether this is from your experience or not. As I have stated above, I am a Market Risk analyst and probably I will have to demonstrate my capabilities by achieving something in this area for two reasons: 1) developing trading strategies is...

Hey man, good to hear from you. What happened to your Journal of Quant blog? Are you still collaborating with Brian?

Queen of England, haha So, what I understand from the replies is probably it will be really difficult and its time to get real and consider less quant-heavy MFin or MBA ... Thank you all.

Thanks for the input. I was just wondering if there is any hope for more quanty programs like MIT's MFin and the likes ... Am I still dreaming?

Hello Quantnet, I am currently contemplating applying for MFE/MFin programs and would like to know if I have a chance at all given my non-quant background. Profile: BSc Management from top Uni in no name country; MSc Risk Management from a Russell Group Uni in UK; Been working as a Market Risk...

Recently I have seen a 50+ year old guy doing an exam with 23-25 year old students who were doing MSc. I am pretty sure they were group-mates.

Hi. Can anybody tell what are the best sources (books, websites etc) for VBA (self) learning? Thanks.

How does it help?

Hello. Will this event be held this year as well? Also, will there be any other useful events/workshops for students in this summer? Thanks

Andy, what method is mostly used to estimate volatility in risk measurement (VaR, ES, coherent etc)?

From ZH

Hi Tsotne, Why do you think MBA prepares you better for your PhD researches? Why not MSc?

A Goldman Sachs programmer was found guilty on Friday of stealing high-speed trading software from his former employer. Goldman Sachs Programmer Found Guilty of Stealing Code | Threat Level | Wired.com

I was going to ask the same question. Thanks Andy.

Hi. Does anybody know about MSc Risk Management at Nottingham University Business School? How good is it? Any review in this forum? Thanks. Sorry for the off-top.