(Blueprint) Nomura Traning

Success Criteria §

• Learn to be a productive software engineer
• Learn enough quant & finance to understand fully the risk infra of Nomura

Info §

Finance §

• Financial Instruments
• Financial Institutions
  • Credit Rating
  • Role of Investment Banks
• Lifecycle of a Trade
• Credits Desk (Including Currency Carry Trade)
• Prime Client: institutional clients (hedge funds)ns
• Certificate of deposit
• Prime client
• Total return swap
• credit default swap insurance
• Money market funds
• quantitative easing

Quantitative Risk Management §

• Probability
  • Conditional Expectation for Stochastic Calculus
  • Moment (Probability)
• Stochastic Process
  • Quadratic Variation
  • Stochastic Calculus
• Portfolio Theory (Risk)
  • Basel
  • Quantitative Risk Measurment
  • Fair Value Accounting
  • Risk-Neutral Assumption
  • Market Risk
• Probabilistic/Statistical Models
  • But what is a residual?
  • Markov Chain
  • Time Series
    • Auto-Regressive & Moving Average
    • Statistical Inference Using ARMA
    • Auto-Regressive & Conditionally Heteroskedatic

Data Engineering §

• Data Architecture
• Cloud Architecture

Machine Learning §

• Technologies: Dask, Scikit Learn
• Cross Validation
• Hyperparameter Search Strategies
• Model Evaliation
  • QQ Plot
  • Permutation Feature Importance
  • PDP & ICE Plots Partial Dependence (PDPs) and Individual Conditional Expectation (ICE) Plots | Intuition and Math - YouTube
  • LIME
• Spline functions Questions:

1. a.s. convergence
2. strong/weak law of large numbers
3. Student’s T-Distribution, better understanding