Financial Engineering - Artur Sepp
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Financial Engineering - Artur Sepp

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Financial Engineering - Artur Sepp Financial Engineering - Artur Sepp Presentation Transcript

  • Financial Engineering: Career and Perspectives Artur Sepp Bank of America Merrill Lynch24 March 2011 │ University of Leicester Postgraduate Careers Symposium
  • Financial engineering jobsBank of America Merrill Lynch quantitative groupPersonal career pathAdvice
  • Financial Engineering Jobs Provide quantitative analysis of financial products, their present values and risks − Support trading (good for MSc) − Assist risk-management (good for MSc) Develop and maintain firm-wide trading and risk management systems − Implement valuation models (need a PhD) − Interface between data and models (IT job) − Store data, time series of prices, dividends ets (IT job) Trading strategies − Develop and test automated trading strategies − More typical for hedge funds, trading firms3
  • Financial Engineering JobsQuantitative positions (Mark Joshi 1)) Front office / desk quant − work on implementing/improving models, assist traders Model validating quant − review existing and new models, assist risk-management Research quant − develop/examine new models Quant developer − build/maintain firm-wide valuation/risk-management systems Statistical arbitrage quant − develop automated trading strategies Capital and counterparty risk quant − analyze firm’s credit exposures and counterparty risk 1) On becoming a quant, www.markjoshi.com/downloads/advice.pdf4
  • Financial Engineering JobsProduct lines FX − foreign exchange market Fixed income − bonds, interest rates products Equities − stocks, indices, convertibles Commodities − energy, soft commodities, industrial and precious metals Credit − credit default swaps, swaps baskets Hybrid − equity-interest rate, equity-credit Algorithmic trading5 − orders execution, proprietary trading
  • Financial Engineering JobsEmployers Investment banks (GS, MS, JPM, BAC) Commercial banks (RBS, HSBC, Santander) Hedge funds Insurance, asset management companies Software companies6
  • Financial Engineering JobsEducational requirements: MSc (support roles), PhD (development roles) in a quantitative subjectWork life: use computer science and mathematical methods for quantitative analysis and decision makingComputer skills: C++, Excel spreadsheetsWorking hours: 8:30 – 7:00 (vary from role to role)7
  • Bank of America global quantitative groupCo-Heads: Alex Lipton (London) and Leif Andersen (New York)Globally about 160 quants ( ~50% PhD, ~50% MSc/DEA)Global support for rates, equities, currencies, commoditiesIntern opportunities for year 2012: looking for smart and motivated graduates8
  • Personal career path Undergraduate − BSc in Mathematical Economics at University of Tallinn − Developed keen interest in quantitative models for finance: Markowitz and Sharpe portfolio models, Black-Scholes-Merton models Graduate − MSc degrees in Financial Mathematics and in Probability and Statistics at University of Tartu − PhD in Probability and Statistics at University of Tartu − Went to study in US and obtained MSc degree in Industrial Engineering at Northwestern university in Chicago First job − Started internship in equity derivatives group with investment bank Bearn Stearns in New York − After completion got full time position9
  • Advice for graduates During studies − Develop keen interest in the subject − Make emphasis on understanding and applications − Foundations of financial engineering − Excel, C++ During interviews − Present the most competitive sides of your background − Do not put on your CV things you don’t know − Ask questions about the position, job responsibilities, team, career perspectives − Show confidence10
  • Summary Thank you for attention Good luck with your studies, job search, and career! (Brief) inquiries: artur.sepp@baml.com11