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.
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