Learning to code via MBS valuation
Hi all
I've finished my final exams, and wanted to develop my programming in R, Python and SQL, and learn more statistics, before I start work in IB this July. Despite starting FT in investment banking, I've spent some time interning with Mortgages structuring/trading desks and had a great time. Is there anybody from these spaces who could recommend some good courses to learn how to value these securities? Particularly, any resources that encompass a coding element, or any quant finance courses/books that would help my learning.
Moreover, if there is a resource out there which lets me find raw loan data so I can try securitising it myself if I can pick up enough, I'd appreciate if you could point me that way.
In terms of my background, I have a Dual Honours Maths degree from a target uni (not Oxbridge).
Elsewise I know some Python having taken an entry level computer science course with a coding element, and have run basic statistical distributions in R- so I'm not a total beginner but am very much a novice
the important thing is to be comfortable taking an idea that requires some matrix manipulation and nested loops with nested if/then logic....be comfortable doing that over and over, without getting lost. honestly, that's like 90% of coding and problem solving....nested loops and conditional statements. The only way to "get good at it" is repetition...different problems...you break a problem down into
1) setup 2) conditional logic paths 3) nested loops
this is 90% of coding....so the easier it is for you...the better.
Thanks for this- this is definitely a start. Would you be able to rec any resources for learning how to apply the above to finance? I can do some basic matrix stuff, but I think the best way to learn coding is via projects.
Not answering your question but are you in securitization banking or something related to mortgages? If you're in an unrelated IB area, i'm curious why you went there if you don't mind saying.
No problem!
I'll be in a traditional Lev Fin/M&A role, so vanilla cash flow backed modelling hahaha. In answer to your question, I did a Summer Internship In Sales & Trading which was rotational, so rotated across desks in Credit and Equities.
My favourite rotations ended up being Credit Strategy and Mortgages Trading, but no return and did another Summer. Having gotten caught between Structured Credit and the more vanilla stuff, I took the best offer I got which was a BB IBD role.
The endgame for me is that having studied a quant degree, I want to be able to apply what I've learned before I'm churning too hard on desk. I really enjoyed intermediate stats but opted for more algebra in the earlier years, so want to round off my learning in both stats and programming. Moreover, I find the spectrum of credit, particularly the more esoteric stuff, fascinating. Whether I'd want to cross back over is something I'd need to decide, and no better way to learn what you like than by doing.
To answer your question directly, given a rotational programme and a lack of experience, I went to all of the places I thought were interesting.
Thanks so much for this! Amazing that you didn't get the return offer as you seem like a perfect candidate. Shows how competitive it is. I've been mainly learning about rates and neglecting knowing enough about credit and mortgages. Seems like the structured stuff gives you a lot of flexibility between sales, trading, securitization and dcm which is cool. I'm curious how how s&t internships were structured at your bank. Was it a rotation across all of equities, credit, rates, and fx or was it a rotation across just equities and credit? Seems like the banks structure their programs all pretty differently.
not answering your question but curious. what were the models you used in mortgages structuring/trading desks
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