weeks 50/51
The last 2 weeks were probably the busiest of the quarter - especially Friday, when we had to turn in the AFP project writeups (we had a social afterwards to unwind...). This week, some of my classmates presented their work - some really top notch presentations on current problems in quantitative finance..
we also did a CMBS pricing project for the ABS course - basically, we implemented an emprirical default model for CMBS using loan level data...and found some really interesting features inherent in that market..
Next week..it will all be over - finals for Q4 and graduation on 16th!!
Meanwhile, New index based derivatives come on market - basically a good way to hedge against propert prices - incidentally we used the NCREIF indexes to proxy CMBS property prices and to find correlations..
we also did a CMBS pricing project for the ABS course - basically, we implemented an emprirical default model for CMBS using loan level data...and found some really interesting features inherent in that market..
Next week..it will all be over - finals for Q4 and graduation on 16th!!
Meanwhile, New index based derivatives come on market - basically a good way to hedge against propert prices - incidentally we used the NCREIF indexes to proxy CMBS property prices and to find correlations..
posted by Quantjock at 12:13 AM
1 Comments:
Good luck to you as you move past your MFE quest. I was following your blog keenly and want to thank you for sharing your experiences. I wish you the very best in the exciting world of ABS.
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