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Ken Abbott
Last Activity:
5/28/17 at 7:50 AM
Joined:
1/27/10
Messages:
823
Likes Received:
629
Trophy Points:
93
Featured Threads:
1
Gender:
Male
Location:
NJ
Occupation:
Risk Management

Ken Abbott

Managing Director, Male, from NJ

Sure. I'll try to get something to you today. 2/22/12

Ken Abbott was last seen:
5/28/17 at 7:50 AM
    1. Shirley Lu
      Shirley Lu
      Hi Ken,

      I am an MIT student and I was learning 18.S096 on my own through OCW. I could you share your VaR spreadsheet called Mc Stuff 2010.xls? My email is shirllu@mit.edu.

      Thank you!

      Shirley
    2. Davin
      Davin
      Hello Ken,

      I encountered your video on youtube on VaR at MIT OpenCourseWare. Coud you please send me the excel file if thats ok, where you have the portfolio with some fixed income securities on which you calculate eigenvectors, the file is called Mc Stuff 2010.xls.

      Thank you very much

      Email is dappanah@gmail.com

      Davin
    3. BenAiva
      BenAiva
      Hello Prof. Abbott,

      I watched your lecture on VaR on MIT OpenCourseWare, and found it very interesting. I would like to follow up on what I learned, and was hoping you would be able to share the excel file that you used in the class. If I can see the video correctly, it is called MC stuff 2010.xls. It would be very much appreciated.

      My email is benaiva9@gmail.com Thanks!
    4. Dylan Probyn
      Dylan Probyn
      Hello Ken,

      I'am a Masters student writing my thesis at the University of Cape Town in South Africa. I just watched the lecture you gave at MIT on VaR and found it fascinating.

      Could I possibly get that excel spreadsheet you used to generate correlated random normals called 'Mc stuff". My email is Dylan.Probyn@hotmail.com. Thanks in advance and have a great evening.

      All the best
      Dylan Probyn
      1. Ken Abbott
        Ken Abbott
        See if what I just sent makes sense.
        4/8/17
    5. Andrea Markos
      Andrea Markos
      Dear Prof. Kenneth Abbott, I also found your MIT lecture on VAR very interesting. I would appreciate some orientation on how to fill in MISSING DATA and some more references on the procedure and excel complement (matrix.xla?) you used when revealing the keys of the kingdom (WOW! thank you). My email is anmarkos@gmail.com
    6. HyunWoo
      HyunWoo
      Hi Ken, I am a senior undergrad student studying financial econometrics and have a similar question to asidd.
      I took your lecture on a VaR model through online that you gave at MIT. I would like to study further with using excel file that you discussed in the lecture.
      I checked the name of that file and it was MC stuff 2010.xls. Is there any chance that I can get that excel file from you?

      Thanks.
      1. HyunWoo
        HyunWoo
        and here is my email address
        ericroh93@gmail.com
        10/9/16
    7. asidd
      asidd
      Hi Ken, watched your lecture on VaR Models that you gave at MIT and found it informative and useful. Had two questions:

      1. At the systemic level, If we are to posit that risk can be transferred but cannot be eliminated then would that be a correct statement?
      2. Would you still have the excel file that you discussed in the VaR model lecture at MIT.

      Thanks.
      1. Ken Abbott
        Ken Abbott
        Which spreadsheet? I have a bunch I use in the classes I teach.
        Risk can be eliminated with offsetting positions.
        10/4/16
    8. TAPEPAE
      TAPEPAE
      Hi Prof. Abbott, I am considering the job offer to be Market Risk Quantitative Internal Auditor. Like to seek for your opinion whether I can gain experience and switch to Market risk, Model validation, or any Quant hands on work etc. in future or not? or it is better to go directly to those positions.
      1. Ken Abbott
        Ken Abbott
        If you have a real offer, you should take it. People move frequently from quant positions. A good friend of mine was a quant auditor and is now in model validation.
        9/10/16
    9. Faissall
      Faissall
      Hello Sir... I am Faisal....I am doing my bachelors in Mathematics and want to get admission in MS Mathematics in Finance in NYU.My Degree will complete in June 2017.and want to apply for fall 2017.Sir kindly help me and give advice that how much GRE marks is required to get admission? because my cgpa is not so good..Cgpa is 2.70.and could work experience like internships etc helps me in getting admission?
    10. Zongyuan
      Zongyuan
      Hi Prof. Abbott.
      I have a question about your MIT VaR class.
      As we know, a symmetric matrix (like covaraince matrix) could be decomposed into EAE^-1 (where E contains all eigenvectors, A contains all eigenvalues, E^-1 equals matrix E inverse), but you have used another decomposition EAE' (where E' equals E transpose). I don't know how to prove EAE' decomposition. Could you help me about that?
      Best, Zongyuan
      1. Ken Abbott
        Ken Abbott
        I don't think EAE^-1 will factor your matrix. It's E'.
        7/30/16
    11. Jorusty
      Jorusty
      Hi, Ken! I am currently working on the way how to value sovereign coupon bonds in Emerging Market of Kazakhstan. SOme of bonds are traded even once a year! I would really appreciate if you could help me with any kind of information of how I can value it. I believe you had some kind of experience with same issues. The problem is linked with the discount rate, i simply cant figure out how to get it....
      1. Ken Abbott
        Ken Abbott
        Get onto a Bloomberg terminal and look at the local sovereign markets. You can probably get several curves. Then consider a panel data approach.
        10/6/15
        Jorusty likes this.
      2. Jorusty
        Jorusty
        Thank you so much Ken! I have googled/researched the panel data approach methodology and it seemed for me quite hard to apply it to bonds... I am just wondering do you have any data/tips/material relating to Panel Data Approach of valuing of bonds? I would really appreciate that! my email adress is rustamkamalov@gmail.com
        10/13/15
    12. Saoud Alanjari
      Saoud Alanjari
      Hi, I am currently working as an asst. actuary at a Reins. and was planning on moving to a HF as a quant. Hence, I was wondering which certification would be the useful for someone working at a HF as a quant. I am considering doing either the CFA, FRM, or PRM. Which one would you suggest? Also, do you think it would be a good idea to also work towards a FSA-Quantitative Finance and Investment track?
      1. Saoud Alanjari
        Saoud Alanjari
        I have the following background:

        •BS in Accounting and Business Economics with a Minor in Mathematics (even though I was only two courses short of obtaining a 3rd Major in Mathematics)

        •MS in Mathematics from NYU (My coursework included several quantitative finance courses)

        •Completed Exam P, Exam FM, VEE-Economics, VEE-Economics, VEE-Applied Statistical Methods from the Society of Actuaries
        9/30/15
      2. Ken Abbott
        Ken Abbott
        FRM/PRM not much use at a HF. If you're not doing private equity, a CFA wouldn't be useful either. MS in QF might be of more use.
        9/30/15
      3. Saoud Alanjari
        Saoud Alanjari
        Then would a CQF be more reasonable? Also, why wouldn't FRM/PRM be much use at a Hedge Fund? I thought most Hedge Funds had a risk dept.?
        10/1/15
    13. chdery
      chdery
      Hello Ken,

      I'm all ears about the panel data approach you mentioned.

      Thanks for the help!

      Charles
      1. Ken Abbott
        Ken Abbott
        Send me email address. I suggested an approach and assembled the data.
        4/14/15
      2. chdery
        chdery
        charles.dery@manulife.com
        4/14/15
      3. chdery
        chdery
        Hi Ken, Hope you're having a good week.

        Just thought of following up with the model. I have not received it so I figured maybe something came up while you sent it or you have just been busy lately.

        Either way, thanks again for your contribution - it led to an interesting talk at work! Later
        4/17/15
    14. Quasar Chunawala
      Quasar Chunawala
      Hi Ken,

      I would like some advice from you. I am considering pursuing an MSFE program. Should I PM you?
    15. bassem
      bassem
      hello i need an adive,
      first what do you think of the CQF? is it good?
      my plan is to do the CQF then apply to an MSFE, is this a good plan? i know that they both revolve around the same material, but i think the CQF will help me be from the best of the class in the MSFE.
      another question, Baruch or Columbia? which has a better program
      1. View previous comments...
      2. Ken Abbott
        Ken Abbott
        Don't do an online program.

        I'd consider a cqf only if you have taken no preparatory material an an undergrad.

        What country are you in?
        6/8/14
      3. bassem
        bassem
        im in lebanon
        my undergrad studies where in banking and finance
        also a minor in mathematics (calculus 3 and 4, differential equations, linear algebra, probability and statistics, discrete structures, and real analysis)
        i dont have any programming knowledge yet
        6/8/14
      4. bassem
        bassem
        Do you mean that its better to do some self study preparations and then go for a masters in financial engineering? without the cqf and the pre masters online curses?
        6/8/14
    16. Nate Mac
      Nate Mac
      Professor Abbott, is it possible for someone with a data science degree to break into risk management? Thank you very much!
    17. Andres Salazar
      Andres Salazar
      Prof. Abbott, If someone with an MSc in Scientific Computing from CIMS sends you a resume, would you rather see that he took a class in Stochastic Calculus or Advanced Risk Management? I will take either one of those classes as an elective. I want this degree to be used in finance, so, as electives, I selected classes from the core courses from the Math for Finance Program. Thank you!
      1. Ken Abbott
        Ken Abbott
        Depends on whether they are looking for a risk job.
        1/29/14
      2. Andres Salazar
        Andres Salazar
        Yes, looking for a risk job
        1/30/14
    18. Ellen Zhang
      Ellen Zhang
      Hello Professor Ken Abbott, I'm currently a finance and mathematics major student in China. I plan to step into the career in Quantitative finance, particularly my interest is about risk management. Would you please share with me what's the typical risk manager's career path and how should I do to become a sucessful risk manager? Thanks a lot!
    19. Ameya Khaladkar
      Ameya Khaladkar
      Hi Professor, I am MBA fin. from a tier 1 Bschool in India. Currently working as a business analyst in an IT company. I Did Mechanical Engineering from reputed institute. I was good in Maths from early days. Curriculum of MFE feels truly enriching. But looking the risk return perspective what will be your take in applying for course. Kindly advice.
    20. Mostafiz
      Mostafiz
      Hello professor. I got admitted to MQF at Rutgers and MFE in CGU. I am confused about which course to go for. As an International student good job opportunity is a priority and challenge as always. Please advice. It would be a great help.
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  • About

    Gender:
    Male
    Location:
    NJ
    Occupation:
    Risk Management
    Managing Director, Market Risk Department, major investment bank. Adjunct Faculty at Baruch, Claremont Graduate University, NYU Courant. AB Harvard, Economics, MA NYU Economics, MS NYU/Stern Statistics and Operations Research
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