Novel

网络小说

已读，推荐

• 鬼吹灯
• 盗墓笔记
• 江南公子
• 刑警803
• 岁月推理杂志
• 茅山后裔
• 贼猫
• 那多灵异手记
• 怒江之战
• 黄河鬼棺
• 大漠苍狼
• 雨夜谈鬼事
• 我的老千生涯

待读，朋友推荐

• 五行贼王
• 阳神
• 九鼎记

Panel Data Treatment

Stata Panel Data Functions

1. xtreg ..., re/fe
2. xtabond (does not allow time-invariant variables)
3. xthtaylor ... end(...) varying(...) no constant

Othe issues

• Unbalanced Panel: make it balanced by Zeroing out/Compression.
• Dynamic Panel: serial correlation.
• Random vs. Fixed: Hausmen Test Significant P-value indicating the use of Fixed Effect.
• Independent Variables: Endogenous vs. Exogenous, Time Variant vs. Time Invariant

Correlation Test Statitics in STATA

• To generate p-value, use "pwcorr 1 2 3 ... sig star/print(.05)". Null Hypothesis H0: Rho = 0 Variables 1 and 2 are not related. Alternative Ha: Rho not equal to 0

Responsibilities of a Risk Analyst

1. Update risk analytics in the trading book, monitor exposures and put trades that will potentially violate hard limits on watch list.
2. Monitor the spreads for a universe of reference entities, tracking down the largest movers, largest notionals. Report results with graphs and summaries across different industries, ratings, and maturities.
3. Review the market risk movements.
4. Assess for approval the credit risks arising from new products.

Useful Links

Useful Links

• Intern Positions: http://www.internweb.com/
• Real Interview Questions: http://www.glassdoor.com/interview
• Financial Stories in Plain English: http://marketplace.publicradio.org/whiteboard
• Quantitative Finance BBS: http://www.wilmott.com/
• http://www.quantnotes.com
• http://www.markjoshi.com
• quantcareer.spaces.live.com
• quanthr.com/bbs
• H1b Sponsor Companies in the US: http://www.myvisajobs.com
• www.wuala.com/babybellabell/BOOKS/jobhunting
• FRM Exam BBS: http://bbs.frmspace.com
• Risk Management BBS in Chinese: http://www.insiderisk.com
• How to answer the 64 Toughest Interview Questions: http://www.scribd.com/doc/96253
• Financial Certificates Exams BBS in Chinese: http://www.caixp.com/bbs/index.php

Reasons for setting up a foreign subsidiary

The general reason is that multinational firms possess something leading (e.g., a famous brand, a cool design, a secret recipe, a technology can boost productivity, etc.), and they want to exploit this proprietary advantage in international markets. Enrich it

The purpose of setting up foreign subsidiaries vary across different industries, e.g., Auto, Consumer Electronics.

Vertical vs. horizontal
Greenfield vs. M&A
R&D vs. Production

Offshoring/Outsourcing
ODM (Original Design Manufacturer)
Contract/Sub Contract manufacturing
OEM (Original Equipment Manufacturer)
EMS (Electronic Manufacturing Services) or ECM Contract

Order by the ability to invent new variety by manufacturer
ODM > EMS > OEM > Sub Contract

Interview

Real Interview Questions

Investment Banking (Merger & Acquisition)

1. Walk me through your resume by date.
2. What is your current intern responsibility?
3. If I throw you a financial statement, how do you know whether it is a healthy firm?
4. Have you done anything with cash flow projection?

Consumer Risk Modeling and Analytics

1. Talk about your current project.
2. How do you prioritize multi tasks?
3. What is your experience with SAS?

Risk Management

1. What is the five inputs of BS model?
2. Define credit risk?
3. Draw payoff function for selling a put.
4. Name all interest rate derivatives you know except for cap and floor.
5. What is the limitation of CAPM?
6. The advantages and disadvantages of BS model.
7. What is the difference between CAPM and APT?
8. How many pricing methods do you know?
9. Talk about a project you did in Excel VBA and advanced functions.
10. Write down some codes in Matlab
11. Tell me a situation when you try to attain an objective but failed over and over again. For example, first time skiing.
12. Why study your major?
13. In your current internship, who do you report to?
14. Do you care about/follow the market? Can you describe some cases happened in the market recently?
15. How do you think about this company, this group, why choose it?
16. Describe one of your teamwork experiences. How do you overcome the difficulties?

Investment Operations

1. What if there is a tough/difficulty person in your team?
2. Where do you see yourself in 5 years?
3. Why study economics? Why Iowa State? Why not finance or business school?
4. Talk about your recent and previous internship.
5. Is there anything we did not talk about and you want to add?
6. Sophisticated education as a PhD candidate, talk about your PhD projects.
7. Talk about your software skills.
8. What do you want to do with this position, what is your expectation, why this particular position? Give a number of you salary expectation.
9. Criticism, improvement, comment, description of you by previous boss.
10. How to overcome obstacles?
11. Rate your skills in VBA one to five.
12. Do you prefer work individually or teamwork?

Fixed Income (High Yield)

1. Self introduction
2. Strength and weakness
3. Order a bunch of accounting terms used to calculate EBITA by their actual sequence as appearing in a financial statement
4. Teamwork, like and dislike
5. How your former colleague will say about you?
6. What working environment do you prefer, cube or open floor plan?
7. How to prioritize multitasks? What to do if you are bored by routine jobs?
8. Why this company, why high yield, what do you want to do here?
9. Tell me about your teaching experience, like and dislike. What do you do to improve students' average test scores?
10. What is your hobby? What do you do when not working?
11. After graduation, stay US or go back to home country?
12. What makes you distinguish from others for this job?
13. What magazines (e.g., Wall Street Journal, Economist) do you read daily? Do you follow the market?
14. What is fundamental analysis, e.g., in airline industry?
15. What would you do instead if not selected for this position?
16. What did you do that result in the efficiency improvement as claimed in your resume?
17. What is your understanding about high yield?

Other Questions I have heard of

1. How do you multitask when boss throw at you some ad-hoc assignment with deadline?
2. How do you respond to random requirements from managers in other groups?
3. What is duration? How is it calculated?
4. Term structure? Yield curves shapes and how do you make money on the various ones?
5. What is the present value curve look like in USA now?
6. Tell me some about the different bonds you know about. What about their prices with respect to each other? (plain vanilla/convertible/callable)
7. If interest rate goes up/down, what would you do with a bond that is presently variable in coupon rate that has a convert option to a fixed coupon bond?
8. Show me how to do a DCF?
9. Your view on the fixed income global market.

Your Attitude/Personality in Interview

• Don't laugh. Smile without sound, and nod. Try to follow the interviewer's idea flow and responds properly. He/She will detect immediately if you let your mind drift away, given that you are smiling and nodding like a robot.
• Don't be defensive; stop fighting back for everything the interview said which you do not agree with.
• Talk like you are smart. "I do not know this, but based on basic concepts. This should be..." When the interviewer asks something you are not familiar with, you should try to analyze the question based on relevant courses, projects and other experiences. The answer should be developed from general and larger concepts. Details are listed in a logic way. Finally, the results must be doable, simple, and reasonable (not theoretical).
• Thank you + name. Thank you very much a billion times! Thank you, Emma. Which is better?

Does everyone hate acronym or just me?

The selection of acronym is utterly objective

• CRIMS: Cost/Risk Identification and Management System
• REITs: Real Estate Investment Trusts

Making presentation slides

Things to remember when you are making a 15 min presentation slides for an Economics conference. 20 min each presenter is the norm, the last 5 min is for Q&A.

1. Motivates the paper. What is the question you are trying to answer? What is the answer? Why should we need to know? All these should be in the first few slides. How did you do and did you do it right is relatively less important.
2. The speed is proximately at 1.5 - 2 min per slide, which means 8 - 10 pages with phrases/formulas + 2 - 4 pages of pure graph or table.
3. Do not use arrow to show relationship, or +/- sign to show increase/decrease.
4. Minimize the number of Greek letters, and give each one an English name whenever it is mentioned.
5. Only important formula and notations, the less, the better.
6. Widely accepted abbreviations are your friend, e.g., nom. int. for nominal interest, avg. for average, std. for standard deviation, prim. for primary.
7. No period ".". Use phrases like silver bullet in your resume "verb ing + object", "adj + noun". Try not use full sentences, sometimes short sentences are OK "subject + verb + object", e.g., clearing the market, composites of goods, country 1 produce good a.
8. Sub title followed by 2 -4 bulletin points

Editing Drafts

Things to check for your fresh drafts:

1. Delete everything before conj. "that"; delete the unnecessary conj. "that".
2. Cover naked "this, these", e.g., this + WHAT?
3. No double adj., e.g., very novel => novel.
4. Use phd level words instead of high school level ones, e.g., use => utilize, several => diverse, use transitive verbs, e.g., look at => observe.
5. Rethink hyphen connected phrase, e.g., intra-firm trade => intrafirm trade.
6. Show off your vocabulary, use different words, e.g., wellfare weights = value-weighted index.
7. Assign a name to all lonely Greek letters, e.g., ... the elasticity of subsitution, theta, ...
8. To many "assume", use it carefully when you mean it, save it for things really modify the real world.
9. Use "where" for place, "in which" for model.
10. Why some words are in an emphasis format?
11. Do not use parentheses too often, e.g., when there is excess demand (supply), oil price went up (down) => blah blah, and vice versa.
12. Check very sentence: do they have all the basic elements? subject + verb + object.
13. Avoid contractions, e.g., won't => will not, isn't => is not, don't => do not.
14. Use formal/simple negative forms, e.g., not ... any => no, not ... much/many => little/few, not different => similar, not notice => overlook.
15. Replace long phrase with short one, break long sentences into short ones, e.g., in order to/for the purpose of => to, based on the fact that => because, at the present time => now, the present study => this study, there were several students who completed => several students completed, despite the fact that => even though.
16. Inner logic between sentences in a paragraph can be realized by either connecting words or starting new sentences by "this/these + summary word", e.g., this decrease/decision, these improvements/arguments.

A summary of linking words and phrases

• Addition: Furthermore, In addition (to), Moreover, What is more, (a problem the the solution, or claim) thereof, Not only... but also..., Gravitated to,
• Adversative: Although, Even though, However, Nevertheless, Whereas, Despite, In spite of, Err on the side of (caution/being overly inclusive), Nonetheless
• Causal: Because, Therefore, As a result, Consequently, Subsequently, Hence, Because of, Due to, As result of, Since, Thus, Map onto, For this reason,...
• Clarification: In other words, Put it another way, That is, Specifically, In specific, Particularly
• Compare: In contrast, On one hand ... on the othe hand, Conversely, Alternatively, Similarly, Unlike, Similar to, Consistent with, Like, In (much) the same way as, Equivalently, Be akin to
• Illustration: For example, For instance, be indicative of, rarely is this the case
• Summarizing: In a nutshell, Have posited, Express concern that, Conclude, Domonstrate, Mainly/Principaly
• Quantity: Increase fourfold, a pro rata share of

Useful academic level words

• Ancillary issue, side effect, double/two-edged sword
• Transparency, Transparent <-> Opaque
• Amorphousness
• Unscrupulous
• Drawdown
• Massage
• Detrimental Impact
• Domicile
• Bring ... to fruition

CDS, CDO, Synthetic CDO

Random Ideas

Why does credit default swap (CDS) exit?

• Transaction cost: Credit derivatives allow the credit risk component to be effectively separated from other risks (e.g., interest rate and market risk) inherent in an investment, and transferred to another party, thus making the process of gaining or reducing credit exposure more efficient.
• Ex-post bargaining power building: Goderis and Wagner "Credit Derivatives and Sovereign Debt Crises".

To model CDS, must at least have a more than 2 period time line.

Why the invention of collateralized debt obligation (CDO)?

• Game the system.
• Hide losses.
• Create liquidity: the underlying credit risky investment might be illiquid, any economic paper models liquidity?
• Transparency in credit pricing: Since credit derivatives isolate credit risk, pricing of credit derivatives is based on a pure market assessment of credit risk.

If the underlying pool of assets are CDS instead of debts, then the CDO is called the synthetic-CDO. Senior tranches in a synthetic-CDO often receive investment grade credit ratings. "Bad" underlying assets are regrouped and disguised into "good" assets, so that institutional investors with mandates can invest. This makes the investors think that they had less risk, less illiquid, less stetched-too-thin leverage, and more stability than they really did. It is like creating imaginary value out of thin air, excpet that credit enhancement is used in the process of repackaging, resulting in credit rating increase. When we abstract from the real word.

Investors => good tranches <= Intermediaries (Investment Banks and Credit Rating Agencies) <= bad assets

Synthetic-CDO weren't based on real assets, tricky to value. The impact of new government regulations, ban on over-the-counter complex financial engineerings. Correlation products. Internal and external credit enhancement.


CDO tranche payoff depends on the number of defaults.