Saturday, July 08, 2006

Where Credit Is Due --

Where Credit Is Due - CFO Magazine - November Issue 2003 - CFO.com

This old article caught my eye as I took a break looking over some papers for the upcoming credit risk final. Immediately, I see the practicality of the complex models we had been discussing in the class. I am also busy researching the cause of downgrade for a company as part of the paper due for this course. This course is very practical - it helps when the Prof. worked as an MD at a top credit rating agency.

This class has been extremely interesting - the first of a two-series course on credit risk. Next term, we take a more quantitative approach on building models.

Last week was busy with some heavy C++ coding (I am still learning how to code effectively) for the Quant methods course - we are discussing innovative ways to speed up Monte Carlo simulations using methods that would make a theoretical physicist blush - Brownian bridges, Stratification, Quasi-random sequences, Sobol (is that a new language???), ...

This has got to be the craziest quarter yet!!

3 Comments:

Blogger Kwaj said...

This comment has been removed by a blog administrator.

8:23 PM, July 19, 2006  
Blogger Kwaj said...

Howdy,

long time reader of your blog (I am in Sydney, Australia) - have found your journey and particularly your insights into the MFE program interesting.

I had a couple of questions which I am hoping you might be able to answer given your first-hand experience gained whilst at Haas School. I am trying to develop my own "quant skills" and was wondering how specifically to focus my software skills.

Most quant programs through universities (and equally quants roles in the industry), seem to have C++ as a prerequisite. I was wondering, how much of the development is acual algorithm development and what percentage was GUI development? I can't see why a quant would need to know much about the graphical side of C++ but do not know this as a fact. Consequently is there a need to use Visual C++ in development (probably a graphical-centric version of the language) or does standard GNU C++ suffice for most applications.

I was also wondering, how do you guys use SAS in the MFE program? Specifically I know SAS has the main program and lot's of little associated packages...would be using the packages or more just the core SAS program??

thanks for taking the time

- K

8:24 PM, July 19, 2006  
Blogger Quantjock said...

Dont worry too much about GUI development. Make sure you know how to work matrices and other numerical techniques in C++

I am not sure about SAS,. it is used extensively for econometrics.. mostly in the buy side.

12:02 AM, July 22, 2006  

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