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10

Accounting is a vital skill if you end up in a managerial position, and unless your career goal is to always be a cog in someone else's clockwork, then you will eventually find yourself in a managerial/senior partnership position even through quant research. I still play a critical role in my firm's quant strategies team, but here's a few things I've had to ...


7

There are "perpetual" bonds and preferred shares that are traded in the corporate credit markets that exactly match your conditions above. They are recorded in the 10-K at notional value $X$. The "close-out" feature is an embedded call. You should assume your favorite stochastic interest rate (and/or credit) model and run a PDE solver, tree, or other grid ...


4

It seems logical to me to have a Financial accounting course in a quant program. Quants can have a lot of different occupations, from derivative pricing to quant analyst in a "research" (i.e. analysis) dept. of a broker, a risk dept., a fund (as an analyst or as a potfolio manager), or quant execution trader (the list is far longer). In the case of being ...


4

I know this is probably a naive answer, but when I started doing data analysis for personal trading I looked for something much faster than SQL. I program in C++ and I found that HDF5 was the answer to all my problems http://www.hdfgroup.org/HDF5/ It's not accounting oriented, but the nice thing about it is that you can do almost anything with it and it is ...


3

Deferred Revenue arises when the contract between you and your customer requires the customer to pay in advance of your delivering your products or services. i.e. you've been paid, now you owe the customer the work! Accrued Expenses represent expenses for which you will be reimbursed in the future. i.e. you are or will be owed money.


3

This is the framework for what you need to do, depending on whether you'll be following IFRS, GAAP, or some bogus Groupon accounting method will decide what rules/methods you'll have to follow. What you want to create are contra accounts for each. This works similar to a "bad debt expense" in accounts receivable. You need to estimate the probability that ...


3

I have to think that there are a lot of very fast, very optimized special-purpose accounting engines out there filling this role. Yes and no. I do not think you are high volume at all - you just have a corporate-level server for the database, not a cheap low-end hosting. I do about 2000 transactions per second on a SQL Server with a mid-range ...


3

Please look at the 16 December 2010 publication of the Basel III regulatory frameworks for capital and liquidity and the 13 January 2011 press release on the loss absorbency of capital at the point of non-viability and related FAQs "Basel III definition of capital - Frequently asked questions" like bcbs 211.


3

There are various kinds of "quants". If you are an equity quant building quantitative stock selection models using fundamentals such as price/earnings, EBITDA/EV, or especially accruals, then you should be knowledegable about accounting. If you become a fixed income derivatives quant, accounting is less important. Education should not be expected to prepare ...


2

In the late middle ages when Accounting was invented in Italy (approx mid 1300s), they did not have the modern notation for negative numbers (which was introduced about 1481). They represented positive quantities by entering them on the left side of a T account (a process called a debit) and negative by entering them (without a negative sign, which I repeat ...


2

In general any OTC trade (in your case total return swap) between two parties (i.e. buyer - Party A and dealer - Party B) shall and would be driven off a legal document which sets out transaction details. In most of the cases such legal document would be ISDA Master agreement and it's annexes (if any). There should be a notion/definition of a "Calculation ...


2

A TRS is very rarely between Hedge fund 1 and Hedge fund 2 (how would they find each other?). Much more likely that it is between Hedge Fund 1 and a Dealer. In the latter case, one of the counterparties must act as Calculation Agent, and it is almost always the Dealer. The Calculation Agent has the responsibility of marking to market the asset, for the ...


2

There are two reasons for a quant to know accounting. The first is that a fair number of "quant" problems are, or at least can be cast as, accounting problems. This includes time series or "non-parametric" analysis of accounting numbers. The second reason is that accounting numbers are sometimes faked, meaning that a quant has to be able to deconstruct ...


1

Don't look at the structure as consisting of 3 parts (i.e. a forward plus a cap plus a floor) look at it as 2 options one bought with the Floor as Strike1 and one sold with the Cap as Strike2. That way the time value changes of bought and sold option should offset - which by the way they will already do right now even wit the forward since that does not have ...


1

Surely you have to keep $150 in your account against the short sale, all of which you lose on the close out.


1

I hope this helps - the Core US Fundamentals database on Quandl (https://www.quandl.com/data/SF1) covers 6,500+ companies, point-in-time, inc/exc restatements, active/delisted, up to 11 years history, 101 indicators, expanding coverage, daily updates. There's data for balance sheets, income statements, cash flow etc.


1

I am not sure if all companies you are looking for will be listed there but SEC-filing entities must file their reports to EDGAR (Electronic Data Gathering, Analysis, and Retrieval system). This system is available for use by the general public. https://www.sec.gov/edgar/searchedgar/webusers.htm


1

Your accounting identity: " issued shares = outstanding shares + treasury shares" is correct, however you are forgetting that treasury shares are registered with a negative sign on balance sheet. So that's why issued shares are lower than outstanding shares.


1

Apart from the answer above, which gives you the historic context, the usual way accountants think about it: The fundamental accounting equation is: Assets = Liabilities + Equity Or equivalently Assets = Liabilities + Retained Earnings + Net Income Assets = Liabilities + RE + Income/Sales/Revenue – Expenses You increase LHS with debits and RHS with ...


1

You can pull Financial Statement (Income Statement, Balance Sheet, and Statement of Cash Flows) data from Google Finance with the getFinancials function in the quantmod R package. > library(quantmod) > getFinancials('IBM') > head(viewFin(IBM.f, type = 'IS')) Annual Income Statement for IBM 2014-12-31 ...


1

Certain structural models of credit risk/default require some background in accounting, but not much. That these credit models are getting baked into the Basel regulations for CVA, CoCo bonds, and so on, makes it marginally more important to know. There's also an entire industry based on convertible bond and capital structure arbitrage where knowing ...


1

A quant may find accounting useful occasionally but it is really tangential knowledge. I would not consider typical financial or managerial accounting as pre requisites for a Quant Fin program. That said, certain quants in fixed income or credit do end up dealing with intricacy of cash flows. Accounting background will help in those scenarios.



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