Financial Engineering and Risk Management

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Below are the top discussions from Reddit that mention this online Coursera specialization from Columbia University.

Offered by Columbia University. Advance Your Knowledge in Financial Engineering . Build the fundamentals and technical skills in financial ... Enroll for free.

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0 posts • 35 mentions • top 9 shown below

r/thewallstreet • post
28 points • Mirinfromupclose
Financial Engineering, Free Courses

Seems like a good resource for guided learning. Hoping that after this myself guided study will be more efficient.****

Starting July 9

Course 1

Course 2

r/india • comment
24 points • mrehanms

Can you give me a source for this? Not that I hold Mohan Guruswamy in high esteem for his politics, but this statement is too off-handed for someone who knows even basic economics to have made.

Let me approach this in parts: >They hold almost $122 billion as NRE and FCNR accounts fetching them 7.5-8.5% interest. Most of this money is borrowed from US and European banks for 2.5-4% interest and deposited in Indian banks to fetch them a neat annual profit. Banks like Citibank lend from their domestic funds to these NRI's and PIO's and hold the money in their NRI and FCNR accounts with their "customers " skimming the spread.

Clearly, the author does not understand the concept of carry in FX. FX rates are expected to drift year after year, and the reason for this drift is the difference in interest rates. This follows the No Arbitrage Principle. To put it simply, the No-Arbitrage principle says that you cannot make more than the risk-free interest rate (let's say Sovereign Bond Yield), without taking on risk. And most importantly, you cannot make money without bringing money. All financial instruments are priced basis this.

Now let me show you how this is a flawed observation. Let's go with the case of NRE deposits - which are denominated in INR 1. Citibank lends at 2.5% p.a.. However, this is for US Dollars, and not Indian Rupees. Let's say I have borrowed 100k USD like this. 2. I send this money to India, converting it to Indian rupees @ 60INR/USD, and deposit it in a NRE FD yielding 7.5% p.a.. Now my assets/liabilities are : -100k USD @ 2.5% p.a. 6mn INR @ 7.5% p.a. Expected value after one year (assume continuous compounding) -102.53k USD 6.47mn INR

Let's look at the net value of our portfolio. Remember Interest Rate Parity - which says that the expected spot rate after an year (forward rate), is a function of current spot rate and interest rate differential. Using this USD/INR is expected to be at 63.08 Converting 6.47mn at 63.08 (I've calculated with exact decimals - if you're trying to replicate, keep this in mind) - which works out to 102.53k USD Which means, at the end of this round trip, I ended up making no money. Now your argument would be that 63.08 is the expected rate, and that it doesn't have to be so. Let's assume for a moment that this is what drives the rationale of the investor (truth is, if they wanted to bet on FX rates, they needn't go through all this borrowing depositing process, they just need to buy/sell a USD/INR Future on the CME) - even in this case, they would want the value of their asset to go up, which is when they make a profit, and for the value of their asset to go up, rupee should strengthen (correlate with economy) and USD/INR after an year should be less than 63.08

The next thing you'll tell me, is that this FX risk and USD/INR fundae is not valid for FCNR deposits, where it is denominated in USD itself. Have you ever happened to check the prevailing FCNR rates? Here is ICICI bank's page. The 7.5% is not for FCNR deposits, it is for rupee denominated deposits. And before you counter me again, that these are marginally higher than US deposit rates - let me explain that to you as well - the yield(interest) on a security is priced in such a way that it incorporates a risk premia for the expected losses. If you're looking at something completely risk free, the closest you can get is a sovereign bond. Deposit rate = Sovereign Rate + Risk Premia And how do you arrive at Risk Premia? You equate the returns from 100$ invested in a sovereign bond, to the returns you should expect from this investment minus the expected losses, each multiplied by their respective probabilities. The reason that Indian Banks have a higher risk premia is due to our regulations and capital requirements (US has been 80% BASEL 3 since 2015, and 100% since 2017, we on the other hand begin next year)

r/BrasilSimulator • comment
1 points • bs-farialimabets

Fora que estavam marcando raid no canal do Primo Rico porque ele não compra pensando em lançar um curso bom de engenharia financeira no coursera: https://www.coursera.org/learn/financial-engineering-1.

r/explainlikeimfive • comment
1 points • HalfACenturyOfPoetry

Thanks again for the definitive answer! In your example, which value would the Black-Scholes model give me?

Also stumbled upon an interesting video about American options https://www.coursera.org/learn/financial-engineering-1/lecture/vN8td/pricing-american-options

r/QuantitativeFinance • comment
3 points • annakoretchko

I think it is usually the other way around...also from my circle/from what I can tell (could just be selection bias) we are in the minority ha. So it's nice to hear there are others as well!!

So far I am only two weeks into the course (only auditing it right now) but have thoroughly enjoyed it. It's covering topics I wanted to know more about such as swaps, credits, forwards, futures and options. It can be entirely done in excel although I have been doing excel/python. Here is the class (https://www.coursera.org/learn/financial-engineering-1/home/welcome). I love auditing these things!

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Yeah I have never learned C++ (although I think that is an excellent one to learn/know for finance due to speed so you're doing well) but I just default to python and Yves does that and I have just found it fun. I am really doing most of the learning by doing self automated trading as a way to practice the automation, financial theory and programming but on a retail scale.

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PhD in mathematics..yeah you sound far smarter than me! Ha! But I concur, Data Science is largely NLP, computer vision, AI?ML or any buzz word you can throw at it.

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"Secondly I consider data science and ML as added skills, they are not my core interests. I really don't care if some neural network beats a benchmark or not. It doesn't make me happy." I could not agree more with this! Just as i think programming is a tool to use when necessary and data science is a tool to use to interpret data in one way. What really grinds me is everyone wanting to do Neural Networks when it's "cool" when in reality (especially for finance) simple nearly always wins and just as you said it's really stochastic and time series or plain old linear regression.

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I feel like a lot of people who know python/ML/Data Science go off into NLP world and a lot of people who know finance well go into old excel world (which has it's place) but I wanna use the data science/python tools in combo with finance..and I wanna know finance well haha.Sorry for my ramble

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r/wallstreetbets • comment
1 points • joyful-

https://www.coursera.org/learn/financial-engineering-1/home/welcome

r/BasicIncome • comment
1 points • smegko

It's expensive to run a bank, because bankers require a large markup. I for one would love to prove I can do better than bankers at derivatives and hedging strategies, for free (or for a basic income).

For example, there are quite a few MOOCs like Financial Engineering and Risk Management, which shows how to program perfect hedging strategies using linear algebra optimization techniques. Using challenges and open source development, we could make banking free.

Bankers know they are running a scam and do their best to obfuscate the shenanigans they get away with. We should educate ourselves about finance and do what they do for free, just for fun.

In a pinch the Fed should back up public bank experiments, just as the Fed got private bankers out of the mess they made for themselves (and everyone) in 2008.

r/farialimabets • comment
2 points • caks

De nada! Eu também sou noob em opções. Tenho seguido o r/options e o r/thetagang sobretudo para aprender.

Em termos de cursos, dizem que o optionalpha.com é bastante bom, mas eu pessoalmente nunca usei. Se você é mais chegado numa matemática, tem um curso bom de engenharia financeira no coursera: https://www.coursera.org/learn/financial-engineering-1

Esse curso não é específico sobre opções mas tem muita informação útil.

Para opções brasileiras, tem um microcurso na Clear, que eu usei mais para aprender a nomenclatura e tal.

https://www.youtube.com/playlist?list=PLloTkag55yvp45B0JI-KbBjzVq1YT9YKW

r/personalfinance • comment
1 points • nn123654

Also if you want to go more in depth Courera has undergraduate and occasionally graduate level classes on finance, including:

Also shoutout to edX and Uadacity as well, their stuff is more tech focused but they do have several Machine Learning classes on algorithmic trading.