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S
(continued) Actually i am trying to calculate the VAR of a portfolio that contains all the assets (stocks, bonds, FX, derivatives, swaps...), but I dont know how to do it.... Thanks a lot for your help.
S
Dear Mr Abbott,
I would like first to congratulate you about your classe at MIT posted on YouTube about VAR.Fantastic.
I am looking for a portfolio VAR calculation that include all the instruments: Stocks, bonds, derivatives
I found only VAR on specific instruments but no all of them. I would really appreciate if you have a book or a spreadsheet about it.
Thanks a lot for your help.
Sohail
skhan740@gmail.com
dvaysburd
Hi Dale - I sent you a PM on your LinkedIn and wanted to circle back here as well. Please email me at dvaysburd@ucla.edu if/when you have any time. Thanks again. - Dan
S
Hi Ken,

I am an MIT student and I was learning 18.S096 on my own through OCW. I could you share your VaR spreadsheet called Mc Stuff 2010.xls? My email is shirllu@mit.edu.

Thank you!

Shirley
D
Hello Ken,

I encountered your video on youtube on VaR at MIT OpenCourseWare. Coud you please send me the excel file if thats ok, where you have the portfolio with some fixed income securities on which you calculate eigenvectors, the file is called Mc Stuff 2010.xls.

Thank you very much

Email is dappanah@gmail.com

Davin
B
Hello Prof. Abbott,

I watched your lecture on VaR on MIT OpenCourseWare, and found it very interesting. I would like to follow up on what I learned, and was hoping you would be able to share the excel file that you used in the class. If I can see the video correctly, it is called MC stuff 2010.xls. It would be very much appreciated.

My email is benaiva9@gmail.com Thanks!
HOIT
Hi Andy, Can you please share your opinion on Rutgers FSRM ?? Thanks!!
D
Hello Ken,

I'am a Masters student writing my thesis at the University of Cape Town in South Africa. I just watched the lecture you gave at MIT on VaR and found it fascinating.

Could I possibly get that excel spreadsheet you used to generate correlated random normals called 'Mc stuff". My email is Dylan.Probyn@hotmail.com. Thanks in advance and have a great evening.

All the best
Dylan Probyn
Ken Abbott
Ken Abbott
See if what I just sent makes sense.
A
Dear Prof. Kenneth Abbott, I also found your MIT lecture on VAR very interesting. I would appreciate some orientation on how to fill in MISSING DATA and some more references on the procedure and excel complement (matrix.xla?) you used when revealing the keys of the kingdom (WOW! thank you). My email is anmarkos@gmail.com
omrangassan
hi Daniel

My passion in Quant Trading / HFT / Algo Trading : I'm already doing that.


I'm totally lost in choosing the right M.Sc. between MFE/QF and Data Science Analytics DSA.

1- Do you think that QF was a bubble ?
2- Do you think that DSA is the new MFE ?
3- What is your outlook for both QF/MFE and DSA ?
4- Which is more related to Quant/Algo/HFT Trading ?

Thanx
T
Hi Sanket, i need your help.
im currently doing a degree in financial engineering and im looking for an interesting topic to write on in my thesis any ideas?
Q
Hi! I wanted to know my chances of getting through the MFE program of Berkeley. My GRE scores are quant: 170, Verbal 150, AWA: 3. I am a graduate in chemical engineering from IIT-Bombay with a CPI of 8.79 with 1.5 years of experience in quantitative finance and a year experience in M&A. Kindly let me know. Thanks!
Q
Hi! I wanted to know my chances of getting through the MFE program of Berkeley. My GRE scores are quant: 170, Verbal 150, AWA: 3. I am a graduate from IIT-Bombay with a CPI of 8.79 with 1.5 years of experience in quantitative finance and a year experience in M&A. Kindly let me know. Thanks!
Q
Hi! I wanted to know my chances of getting through the MFE program of Berkeley. My GRE scores are quant: 170, Verbal 150, AWA: 3. I am a graduate from IIT-Bombay with a CPI of 8.79 with 1.5 years of experience in quantitative finance and a year experience in M&A. Kindly let me know.
H
Hi Ken, I am a senior undergrad student studying financial econometrics and have a similar question to asidd.
I took your lecture on a VaR model through online that you gave at MIT. I would like to study further with using excel file that you discussed in the lecture.
I checked the name of that file and it was MC stuff 2010.xls. Is there any chance that I can get that excel file from you?

Thanks.
H
HyunWoo
and here is my email address
ericroh93@gmail.com
A
Hi Ken, watched your lecture on VaR Models that you gave at MIT and found it informative and useful. Had two questions:

1. At the systemic level, If we are to posit that risk can be transferred but cannot be eliminated then would that be a correct statement?
2. Would you still have the excel file that you discussed in the VaR model lecture at MIT.

Thanks.
Ken Abbott
Ken Abbott
Which spreadsheet? I have a bunch I use in the classes I teach.
Risk can be eliminated with offsetting positions.
H
Hi Andy!
Would you mind reading the message in the conversation I started with you? Really appreciate your reply.
T
Hi Prof. Abbott, I am considering the job offer to be Market Risk Quantitative Internal Auditor. Like to seek for your opinion whether I can gain experience and switch to Market risk, Model validation, or any Quant hands on work etc. in future or not? or it is better to go directly to those positions.
Ken Abbott
Ken Abbott
If you have a real offer, you should take it. People move frequently from quant positions. A good friend of mine was a quant auditor and is now in model validation.
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