(LLL) Nomura Traning

Finance §

Security (Finance)

• Fixed Income: Bonds
• Equity Credit Rating Role of Investment Banks Lifecycle of a Trade
• Fixed Income
  • Bonds: Govn’t (National/Municipal), Corporate
  • Structured Products
  • Emerging Market Debt
  • Rates Desk
    • Interest Rate
    • Govn’t Bonds
    • Bond futures
    • Interest Rate Derivatives
• Credits Desk
• FX Interest Rate Swap (Including Currency Carry Trade)
• Prime Client: institutional clients (hedge funds)ns
• Certificate of deposit
• Forward Rate Agreement
• 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