BLOGCFAPosted by shivgan Wed, September 05, 2012 07:29:13
Weekends: 2 hours each in 4 session on 10-12, 1-3, 4-6, 7-9.
Similiar 8 hours engagements on holidays.
Target of 8 sessions on weekends.
Delay SAS exam.
Embedded cost for taking the session is 3k + 1k = 4k per month.
Class price to be: 5 USD per session for 8 sessions = 40 USD for 1 weekend if single registration for all session.
Class scheduled for the next 2 months for people to plan the sesison.
Alternatively 10 min videos for all sessions can be another option.
Add to that doing nothing can be one option.
Weekday classes from Monday onwards 10-11 PM. 11:10-12:10 PM.
BLOGCFAPosted by shivgan Tue, September 04, 2012 13:12:38
CDO/MBS valuation/ trenching subordination/ junior senior equity tranches, etc in ABS
CDS, default probability, etc are also intresting
R for Equity Quant
Merton Model can be simulated in R using the stock price that we already have in our system
Computation of implied volatility using reverse BS model
R has powerful and scalable access to huge database using QMysSQL
Most of the companies like Delloit, KPMG, Merry Lynch, etc take fixed income people and Risk people with FRM L2 pass and modeling skills with some formal education and experience in risk.
Best strategy is to learn R MATLAB SAS. Then pass FRM L2 CFA L2 to make an immpecible attempt to get there.
2 hour test includes news, frm 2, cfa l2, gmat, etc.
BLOGCFAPosted by shivgan Sun, August 26, 2012 17:27:25
FRM 2: Market credit operations
BAT: CDS, Structure Finance, BAT Terminals uses and chart of day, interest rate science
MATLAB Finance for FRM L2 on system
R for Financial Engineering
GMAT Critical Reasoning for MS/MBA Finance
SAS with Financial data (fixed Income & derivatives) & SAS base certification exam
High priority SAS Course with examples on system
GMAT Dec,FRM Nov, CFA June
VBA / VB.NET from Financial Markets or other books from IIQ*
(this might be helpful in current scnerio where VBA is favorite in market)
Working in progress in these areas:
MATLAB for Financial Risk Management
MATLAB Credit Risk
Market Risk / Credit Risk / Operation Risk in MATLAB
Financial Times Series MATLAB
SAS Credit Risk
SAS Financial Risk Management
SAS Base tutorials
R Financial Risk Management
VaR in MATLAB / SAS / R
For any query or detailed about structure or starting of course please email me at firstname.lastname@example.org Shivgan Joshi
R is more extensively used than SAS+MATLAB as it can do. Hence R and VBA forms a better combination. Ofcourse playing with SQL using R forms a better match.
A course very similar to MATLAB for R can be framed as you have already done.
check out course on VBA from Wiziq, it is like 30 hours for 3k which is cheap enough.
BLOGCFAPosted by shivgan Sun, August 26, 2012 11:18:46
Important links to read from Wiki for FRM level 2:
MBS cdo all types teaching securitization etc
Correlation and Copula
Jensons Aplha and information ratio CAPM revision
KMV model not on wiki
Crediting scoring model
Trading gamma (interview question)
Fixed income arbitrage
Portfolio of CFA FRM are same
Topics of interest:
Multi Variate Models
MBS ABS repayment rate, etc
Ref: FRM Handbook
Will be updating the post very soon