- estimating default correlation of non-prime/nontraditional mortgages involved in structured financial products like mortgage-backed securities and Collateralized debt obligations.
- However, there was some question about the models Moody's used to give structured products high ratings.

- a suite of text processing libraries for classification, tokenization, stemming, tagging, parsing, and semantic reasoning, wrappers for industrial-strength NLP libraries, and an active discussion forum.

- he forward rate is the predicted interest rate on the second six-month bond that shows the investor that he would earn the same under either scenario.
- currency markets
- In bond trading, the forward rate is calculated based on interest rates for various maturities.
- typically plotted on a graph as a yield curve.
- the forward rate is the agreed-upon rate at which the parties will exchange currencies on a future date

- profitable only if there are large movements in the price of the underlying asset
- a strangle is generally less expensive than a straddle as the contracts are purchased out of the money.
- a long straddle involves simultaneously purchasing an at-the-money call and an in-the-money put option
- different strike prices
- with the same maturity and underlying asset

- The plot is used to detect non-linearity, unequal error variances, and outliers.

- seeking the lowest variance for a given expected return
- variance and expected return
- seeking the highest expected return for a given variance level.
- expect a higher return for increased risk
- the process of weighing risk (variance) against expected return.
- mean-variance analysis

- vega measures the theoretical price change for each percentage point move in implied volatility.
- what the current market prices are estimating an underlying asset's future volatility to be.
- may deviate from the realized future volatility.

- multiply the result by itself, and record the answers for each interval.
- take each interval's return and subtract the average return from it.
- Take the square root of that number, and you'll get the standard deviation of the portfolio.
- measure the return for each interval. Then take the average return across all intervals. This gives you the benchmark against which you'll compare each interval's actual return.

- Options tend to be more expensive when volatility is higher.
- The more time remaining to option expiration, the higher the vega.

- Matlab
- research on the performance of Moody’s credit ratings
- measures of accuracy and stability of those ratings
- interpersonal and communication skills
- senior ratings algorithm
- presentations
- Data mining
- Matlab, SQL, and Excel to query and manipulate rating, default, and impairment data to conduct statistical analysis
- meet deadlines.
- Microsoft Office
- finance, economics, and statistics.
- quantitative skills and analytical problem solving
- maintain databases of default and impairment information.
- regulatory reports

- At-the-money call options typically have a delta of 0.5,
- "at-the-money," meaning the option's strike price currently equals the underlying stock's price, o
- Call option delta behavior depends on whether the option is "in-the-money," meaning the position is currently profitable,
- Delta is the ratio comparing the change in the price of the underlying asset to the corresponding change in the price of a derivative.

- 护照，Visa，I－94，所有I－20
- 纸质的OPT申请收据，留好这个收据
- SSO申请有ISSO推荐的新的I－20表格
- 拿到新的I－20后，结合着其他所有的USCIS要求的材料，邮寄到指定的地址。
- I－765表格和OPT Recommendation Request Form

- Delta normal method can be used to find an approximate value close to the value of Price VaR using rate VaR.

- simultaneously buying of a put and a call of the same underlying stock, striking price and expiration date.
- unlimited profit, limited risk options trading strategies
- the underlying securities will experience significant volatility
- no matter which way the underlying stock price head

- The balance sheet is structured in a manner that the total assets of an entity equal to the sum of liabilities and equity.
- Assets = Liabilities + Equity

- 1% change in the implied volatility of the underlying asset.
- Vega is the measurement of an option's sensitivity to changes in the volatility of the underlying asset.

- he percentage is 2%

- delta is a hedge ratio because it tells us how many options contracts are needed to hedge a long or short position in the underlying.
- Delta Positive

- 3% one-month VaR of 2%, representing a 3% chance of the asset declining in value by 2% during the one-month time frame

- It can also be a knock-in, meaning it has no value until the underlying reaches a certain price.
- A barrier option can be a knock-out, meaning it can expire worthless if the underlying exceeds a certain price

- to gain a wider set of skills.

- costs incurred as a result of an investment position.
- financial costs, such as the interest costs on bonds, interest expenses on margin accounts, and interest on loans used to purchase a security.
- cost of carry

- Long straddle positions have unlimited profit and limited risk
- a stock's price will move significantly but is unsure as to which direction.
- make a profit regardless of whether the price of the security goes up or down,
- A straddle is an options strategy in which the investor holds a position in both a call and put with the same strike price and expiration date, paying both premiums.

- f the returns do exhibit autocorrelation, the stock could be characterized as a momentum stock;
- it measures the relationship between a variable's current value and its past values.
- Autocorrelation measures linear relationships
- Autocorrelation
- its past returns seem to influence its future returns.

- The short call now acquires a negative delta, which means that if the underlying rises, the short call position will lose value.

- Interest rate swaps are the exchange of one set of cash flows for another.
- interest rate swap
- have been possible without the swap.
- Interest rate swaps usually involve the exchange a fixed interest rate for a floating rate,
- an agreement between two counterparties
- swap rate
- reduce or increase exposure to fluctuations
- rate of the fixed leg of a swap as determined by its particular market
- obtain a marginally lower interest rate
- one stream of future interest payments
- exchanged for another based on a specified principal amount

- -市场风险: Derivatives Pricing + Stochastic Calculus + Time Series +Statistical inference + Monte Carlo Simulatio + Fixed Income Analysis + Data Analysis (包括SQL) + High performance computing + Python/C++ - 信用风险：Machine Learning + Ststistical Inference + Time Series + Monte Carlo Simulatin + Econometrics + Financial Accounting + Data Analysis （包括SQL) + Python/R - 操作风险： Probability Theory + Statistical Inference + Bayesian Statistics + Extreme Value Theory + Monte Carlo Simulation + Python/R/C++

- helps you to adapt to the array of different bosses, colleagues, clients, working styles, and personalities that you will encounter throughout your career.
- it is practiced through listening, remaining calm and resilient in the face of problems, valuing and helping colleagues, and connecting and empathizing with clients.
- you now have to focus on learning from others and being the best at adapting, collaborating, and listening.
- Your relationship with yourself (self-awareness/adaptability) Your relationships with your colleagues (collegiality/collaboration) Your relationships with your clients (empathy)

- It estimates how much a set of investments might lose,
- VaR is defined as: for a given portfolio, time horizon, and probability p, the p VaR is defined as a threshold loss value, such that the probability that the loss on the portfolio over the given time horizon exceeds this value is p.

- What is a 'Leverage Ratio' Companies rely on a mixture of owners' equity and debt to finance their operations. A leverage ratio is any one of several financial measurements that look at how much capital comes in the form of debt (loans), or assesses the ability of a company to meet financial obligations. BREAKING DOWN 'Leverage Ratio' Too much debt can be dangerous for a company and its investors. Uncontrolled debt levels can lead to credit downgrades or worse. On the other hand, too few debts can also raise questions. If a company's operations can generate a higher rate of return than the interest rate on its loans, then the debt is helping to fuel growth in profits. A reluctance or inability to borrow may be a sign that operating margins are simply too tight. There are several different specific ratios that may be categorized as a leverage ratio, but the main factors considered are include debt, equity, assets and interest expenses. A leverage ratio may also refer to one used to measure a company's mix of operating costs, giving an idea of how changes in output will affect operating income. Fixed and variable costs are the two types of operating costs; depending on the company and the industry, the mix will differ. Finally, the consumer leverage ratio refers to the level of consumer debt as compared to disposable income and is used in economic analysis and by policymakers Leverage Ratios for Evaluating Solvency and Capital Structure The most well known financial leverage ratio is the debt-to-equity ratio. It is expressed as: Total debt / Total Equity For example, if a company has $10M in debt and $20M in equity, it has a debt-to-equity ratio of 0.50 = ($10M/$20M). A high debt/equity ratio generally indicates that a company has been aggressive in financing its growth with debt. This can result in volatile earnings as a result of the additional interest expense, and if it is very high, it may increase the chances of a default or bankruptcy. Typically a debt to equity ratio greater than 2.0 indicates a risky scenario for the investor, however this yardstick can vary by industry. Businesses that require large capital expenditures (CapEx) may need to secure more loans than other companies. It's a good idea to measure a firm's leverage ratios against past performance and its competitors' performance to better understand the data. The financial leverage ratio is similar, but replaces debt with assets in the numerator: Avg. Total Assets/ Avg. Total Equity The financial leverage ratio is sometimes referred to as the equity multiplier. For example, a company has assets valued at $2 billion and stockholder equity of $1 billion. The equity multiplier value would be 2.0 ($2 billion / $1 billion), meaning that one half of a company’s assets are financed by equity. The balance must be financed by debt. The financial leverage ratio is a component of the decomposed DuPont analysis for calculating return on equity (ROE):
- Avg. Total Assets/ Avg. Total Equity
- how much capital comes in the form of debt (loans), or assesses the ability of a company to meet financial obligations.
- ROE = Net Profit Margin x Asset Turnover x Financial Leverage Ratio
- meaning that one half of a company’s assets are financed by equity. The balance must be financed by debt.

- what can I contribute’?
- inquisitive
- find a place to work where you can contribute in a way that both fits with your talents and that you enjoy.

- buy a six-month bill and roll it into another six-month bill once it matures.
- investor can purchase a one-year Treasury bill
- he or she will not know the value of a six-month bill that is purchased six months from now.
- Given these two rates though, the forward rate on a six-month bill will be the rate that equalizes the dollar return between the two types of investments mentioned earlier.
- investor will be indifferent if they both produce the same result
- forward rates are calculated to determine future values
- Forward rates are based on the spot rate, adjusted for the cost of carry and refer to the rate that will be used to deliver a currency, bond or commodity at some future time.

- Most bonds provide semiannual interest payments, while zero coupon bonds do not pay cash coupons

- If we use the forward price of a stock, then an option is ATM when the strike price equals to the forward stock price, which is Ste(r−q)(T−t)Ste(r−q)(T−t) in this case.
- assets can either have forward price or spot price
- If we use the spot price of a stock, then we say an option is at-the-money when the strike price(KK) is equal to the spot price(StSt)

- long volatility when implied volatility rises, you will experience unrealized gains, while if it falls, losses will be the result
- The higher the price, the larger the Vega.
- negative for short volatility and positive for long volatility)
- the greater the price because the probability of the stock moving greater distances in the life of the option increases
- results in option prices gaining in value to incorporate the new risk-reward
- the higher the volatility
- That is, if volatility rises and you are short volatility, you will experience losses, ceteris paribus, and if volatility falls, you will have immediate unrealized gains.
- long volatility
- When you own a call or a put (meaning you bought the option) and volatility declines, the price of the option will decline. This is clearly not beneficial and,
- long call and the long put have positive Vega

- risk reversal, in commodities trading, is a hedge strategy that consists of selling a call and buying a put option.
- In a short risk reversal, the investor is obligated to sell the underlying asset at the specified strike price since the call option is written.
- risk reversal is also known as a protective collar
- positive risk reversal means the volatility of calls is greater than the volatility of similar puts, which implies more market participants are betting on a rise in the currency
- protects against unfavorable, downward price movements but limits the profits that can be made from favorable upward price movements.

- ields increase in line with maturi

- Assuming it originally pays coupons semi-annually, 21 zero-coupon bonds can be created
- A strip is the process of removing coupons from a bond and then selling the separate parts as a zero coupon bond and interest paying coupons
- This includes the 20 semi-annual coupon payments.
- a stripped bond or z-bond
- These coupons become separate securities
- long in one call position and two put options, all with the exact same strike price.
- Treasury STRIPS are fixed-income securities sold at a significant discount to face value and offer no interest payments because they mature at par.
- stripped coupon has a $1,000 face value

- the dependent variable’s error terms are correlated with the independent variables

- 认真细致。你很细心，所以考虑东西很周全，在部门里同时还担任了质量管理员、****等职责。但是（开始说缺点了:），总会觉得自己缺乏大局观，宏观视野和战略思维略显不足，有时候看一些问题不能站在公司和的高度。当然，这是你面对一个非管理职位的时候可以回答的一个题目，因为基层的工作往往不太需要特别强的战略思维和宏观意识。

- time to maturity, underlying asset price and the current interest rate.
- options, depend on a variety of characteristics,
- are nonlinear.
- including implied volatility,
- the payoff curves

- E(ST|ST>X)* N(d2)
- xercise price times probability of stock price exceeding exercise price
- expected value of payment of the exercise price
- E(ST|ST>X)* P(ST>X)
- conditionality therefore E(ST|ST>X) will always be greater than E(ST).

- An index futures contract states that the holder agrees to purchase an index at a particular price on a specified date in the future.

- A type of portfolio that is well diversified across a wide variety of areas, typically with a significant number of holdings. Because these portfolios contain a large number of positions over many areas, they are considered to have a lower overall risk profile
- portfolios that have "low granularity" have fewer positions or contain highly correlated assets, are less diversified and have a higher overall risk profile.

- the face value of the bond,
- the value at which the issuer will redeem the bond at maturity
- The coupon rate of a bond is calculated using the par value.