Quantitative Risk Management Courses

[Radhika]

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

 

[Ken Abbott]

The FRM material might help you. Most risk courses teach the basics - not the technically-driven reg calculations like IRC and AMA.

 

[Vishal Varadharajan]

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]

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]

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]

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]

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?"

 

[Cassagnon Yeo]

Ken,
Thank you for the clarification, it really helps me.

Harold

 

[nit.d]

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]

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.

 

[nit.d]

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]

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]

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)_

 

[Ken Abbott]

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]

You're welcome, Ken.
At this stage some brash marketing to show off my online ODE/PDE course
https://www.datasim.nl/onlinecourses/97/distance-learning-ordinary-and-partial-differential-equations
It's my 2 cents to bridge the gap.

Students take it as preparation for MFE/MSc

Testimonials

I could tell why the course is famous and recommended by the renowned MFE programs. The homework questions are well-organized and extremely helpful in learning important C++ concepts. Although the homeworks were challenging for me, as a beginner in C++, I found the time investment worthwhile and...

www.datasim.nl

 

[Daniel Duffy]

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

How to Solve It - Wikipedia

en.wikipedia.org

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]

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.