Shoutouts...

Shoutout for a relevant conference:
Mathematical Sciences Research Institute - World Congress on Computational Finance: The First Decade

The alumni event in SF was a grand success. As the treasurer of FESA, I had to cut out the largest check yet, but in all it was well worth it. Most of our class got out into the city, and enjoyed mingling with the alums, and amongst each other. Incidentally, we all realized that last week was probably the only week where we had some relief in terms of homeworks. The future weeks would be crazy...

Another interesting perspective on hedge funds being corruptors of youth in the latest issue of FENEWS: (never thought of them that way..:))
Back in the Days of Disco when I was still in graduate school, a hedge fund manager or two could be found lurking the halls of physics buildings in search of the stray Ph.D. who was having trouble getting or keeping a good post-doctoral position. Driving a taxi was considered a noble alternative to working for something as shady as a hedge fund back then.

Times have certainly changed. Now hedge funds are battling it out with the likes of Google to nab the top students from the most elite universities. If there is someone out there with the talent to break the Bank of England (or one considerably larger), the odds that he or she is working for a hedge fund have risen greatly.

Week 13-14 and end of internship search

Term 2 is surely keeping everyone busy - with multiple projects that require presentations and reports, to quizzes, to lengthy homeworks, to late night classes.

However, the biggest time-drain was the entire internship process. I am lucky to report that I have finally accepted an offer for the winter internship. Dont want to name names, but suffice to say that it is a well known bank on Wall Street. I am surely relived to get this out of the way!! Thursday, we have an alumni event in San Fran in this trendy place called Thirsty Bear - a tapas bar. Looking forward to it!!

On another note - an excellent article on Wall street now targeting smaller investors in structured products. If that takes off, financial engineering will surely become mainstream - dont you think?? WSJ.com - An Arcane Investment Hits Main Street

Emanuel Derman's Blog: What's the best way to interview?

Emanuel Derman's Blog: What's the best way to interview?

It's interviewing time, and I just came across this good piece of advice from Dr. Derman (the super-quant). I completely agree with him, you can buy tons of books on brain-teasers and statistics .. but if a firm is just basing its decision on these type of questions, then it may be a signal of the type of work they want you to do!! (short term work horse vs. long term strategist)

Week 12...Teaching quality spikes to new levels..

Week 12 was the new semester, and the first thing I observed is the high level of teaching quality. Most of the professors bring strong industry experinence (which results in a painfully late classes..even upto 10.00P.M. :). However, it is very valuable to understand what works and what doesnt in the "real" setting. I know I am going to enjoy all these courses this semster..

The week was also busy with recruiting (Friday esp, where there were 3 companies on campus). I had a couple of interviews this week ( my performance took a normal distribution overall in these interviews). I will know in a week or two (hopefully the results are postively skewed)!!

We also had a mock interview session with alums to "prep" us for the real thing. I interviewed with an alum, and had a great time discussing my goals, classes, and other sundries...It was actually a very nice conversational interview. Post mock interviews, a bunch of us went out for drinks (and attracted a bunch of stares from people in the bars - we must have really "stood" out in our suits and ties. After all, this is Berkeley.... not Wall street!!)

Inside Wall Street's Culture Of Risk

Inside Wall Street's Culture Of Risk

Nice article in Businessweek on Risk as it pertains to banking nowadays. With firms leveraging their own capital upto the hilt, risk management takes centerstage.

This trading boom, fueled by cheap money, is fundamentally different from the ones of the past. When traders last ruled Wall Street, during the mid-'90s, few banks put much of their own balance sheets at risk; most acted mainly as brokers, arranging trades between clients. Now, virtually all banks are making huge bets with their own assets on many more fronts, and using vast sums of borrowed money to jack up the risk even more. They're shouldering risks for their clients to an unprecedented degree. They're dabbling in remote markets from Brasilia to Jakarta, and in arcane products like credit-default swaps and catastrophe bonds.

1st term oVer!!! (week 11)

Reduced Form Modeling of CDS This figure shows how the CDS premiums vary with maturity depending on the degree of polynomial used for the integrated hazard function. The quadratic and cubic terms model that effect, but the linear one doesnt. Note that the sawtooth profile is due to the accrual payments for defaults occuring in-between the premium payment dates.

My group finally turned in the project last night (and we were completely exhausted after 2 days of coding, data analysis and writing). In the end, it was truly worth it. The project exposed us to good concepts in credit and term structure modeling - which is just in time for the next term coursework (which begins next week), which has courses like:

1. Derivatives - economic concepts
2. Derivatives - Quantitative modeling
3. Credit Risk
4. Fixed Income
5. Accouting for derivatives (elective - I havent registered for this course, but may sit in some classes)

Looking forward to it!!! But I sure wish I had a longer break...