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Quantitative Risk Management Courses

Radhika

New Member
Hi

I wanted some advice in terms of the course to pursue for quantitative risk management. I have around 10 years banking exp and have worked in ops risk and audit. Due to increasing regulations, I am now expected to evaluate quantitative models that calculate the reg capital, risk models etc.

I would prefer part time preferably online course..

Thanks for your help!

Regards
 

Vishal Varadharajan

New Member
C++ Student
Ken,

I'm a mechanical engineer ( having a quantitative background in multivariate calculus, linear algebra, probability & statistics & Partial Differential Equations, Optimization & Operations Research). I gathered interest in finance very recently when preparing for CFA & FRM exams this year.

My question is does clearing professional courses like FRM or CFA aid in the application process of MFE/MSCF ?
 

Ken Abbott

Managing Director
Ken,

I'm a mechanical engineer ( having a quantitative background in multivariate calculus, linear algebra, probability & statistics & Partial Differential Equations, Optimization & Operations Research). I gathered interest in finance very recently when preparing for CFA & FRM exams this year.

My question is does clearing professional courses like FRM or CFA aid in the application process of MFE/MSCF ?
I can't speak to the application process. I teach at several programs, but I 'm not involved in the admitting process.

I doubt they would have much impact, though. These programs a good ways to focus you attention on material that is useful for work. I certainly don't use them as a screen when hiring people.
 

Cassagnon Yeo

New Member
Hello Ken,

I have 4 years experience as a functional business Analyst with no experience in the financial industry but I have experience working with Excel, VBA, Access and SQL. I have a strong interest in Risk management and would like to land a job in the field using my business analyst experience, then entering the MFE in Fall 2014. What advice would you give?

My plan was to pass a certification CFA or FRM to get a job in the field, but would that help?
What certification would you recommend CFA or FRM? FRM is more oriented to risk management but CFA has more recognition?

Regards,
Harold
 

Cassagnon Yeo

New Member
PS: I do have a MS in Finance since 2010 and currently working for the as Business Analyst for a non profit organization
 

Ken Abbott

Managing Director
Hello Ken,

I have 4 years experience as a functional business Analyst with no experience in the financial industry but I have experience working with Excel, VBA, Access and SQL. I have a strong interest in Risk management and would like to land a job in the field using my business analyst experience, then entering the MFE in Fall 2014. What advice would you give?

My plan was to pass a certification CFA or FRM to get a job in the field, but would that help?
What certification would you recommend CFA or FRM? FRM is more oriented to risk management but CFA has more recognition?

Regards,
Harold
CFA is a great qualification, but not necessarily for risk management. The FRM is much better for risk, but I think it's pointless to get it before you actually have a job. Unless you understand the applications, it's simply a massive reading list. You'll have no context at all.

When I review resumes and I see that an experienced person has the FRM, I think "well, they must have studied hard". When I see someone with an FRM and no experience, I think "Why did they bother? How could they possibly understand what risk is about?"
 

nit.d

New Member
Hi Ken! Really appreciate all the advise and comments you have been providing on this forum.

I have 7 years of work experience in a financial markets regulator. I intend to develop quant skills in the area of financial risk management and model risk management, and also in the area of financial data science. However, I am confused which of these would be the right master's program for me:
1. Financial Engineering
2. Financial Mathematics
3. Statistics
4. Statistics with finance specialisation/track (e.g.- Financial Statistics and Risk Management | School of Arts and Sciences - Rutgers, The State University of New Jersey)
5. Financial Risk Management (e.g.- Financial Risk Management MSc)

Please guide me on this. In case you have to suggest either of the last two alternatives, please recommend few program (US or Europe) and your views on the Rutgers/UCL one.
 

Ken Abbott

Managing Director
I see no distinction between FE programs and financial math programs. Same with stat and stat with finance specialization. The only differences, I imagine, might be more focus on time series and the use of financial data for assignments. As far as the risk programs are concerned, there are many different types. I did a survey of these a year ago. I've attached it.
 

Attachments

nit.d

New Member
Thank you. It is indeed an useful document. One final question, among Financial Mathematics and Statistics, which graduate program would be more relevant and useful in practise in financial risk modelling and model validation.
 

Ken Abbott

Managing Director
I personally have a statistics degree, which has served me well. Remember there are two basic "flavors" to wall street quants: econometricians and PDE people. The PDE people price contingent claims. The econometricians model time series and do risk. (NB: That is a gross oversimplification, but i think it's accurate.) There's a argument that actuarial science is a third flavor.

I think it's easier to teach stats to PDE people than it is to teach PDEs to stat people.
 

Daniel Duffy

C++ author, trainer
I think it's easier to teach stats to PDE people than it is to teach PDEs to stat people.

Each discipline has its own ways of working and skill sets, A more friendly way to teach PDEs is to start with ODEs and focus on building analysis skills around them. For ODE we have A) dV/dt initial value problem stuff, B) d^2V/dx^2 two point boundary value problem. stuff. Combing A) and B) gives 'hello world' heat PDE and then you are on your way to Black Scholes PDE. Introducing basic numerical schemes for A) and B) (and in Python as well) does no harm.

To be honest, it can be a challenge for economics-style background to get a handle on PDEs. More exposure to 'hardish' mathematical analysis does no harm. And strangely, C++ skills help a lot. PDEs have background in the physical world.

Here is a 101 article that attempts to see as Black Scholes PDE == A + B (building blocks)_
 

Attachments

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Ken Abbott

Managing Director
To be honest, it can be a challenge for economics-style background to get a handle on PDEs. More exposure to 'hardish' mathematical analysis does no harm. And strangely, C++ skills help a lot. PDEs have background in the physical world.
Thanks, Daniel. That has been my experience. I have a lot of statistics experience, but the PDE stuff is still voodoo to me, even after all these years.
 

Daniel Duffy

C++ author, trainer
Thinking out loud; a very good way to learn, use and apply mathematical skills is described in this excellent paperback


Is has 'handles' for solving maths problems and is a way of thinking about maths. Could be useful reading for those with an economics background.
 

nit.d

New Member
I personally have a statistics degree, which has served me well. Remember there are two basic "flavors" to wall street quants: econometricians and PDE people. The PDE people price contingent claims. The econometricians model time series and do risk. (NB: That is a gross oversimplification, but i think it's accurate.) There's a argument that actuarial science is a third flavor.

I think it's easier to teach stats to PDE people than it is to teach PDEs to stat people.
Thank you for the guidance.
 
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