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Financial Engineering - Artur Sepp


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Financial Engineering - Artur Sepp

  1. 1. Financial Engineering: Career and Perspectives Artur Sepp Bank of America Merrill Lynch24 March 2011 │ University of Leicester Postgraduate Careers Symposium
  2. 2. Financial engineering jobsBank of America Merrill Lynch quantitative groupPersonal career pathAdvice
  3. 3. 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
  4. 4. 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,
  5. 5. 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
  6. 6. Financial Engineering JobsEmployers Investment banks (GS, MS, JPM, BAC) Commercial banks (RBS, HSBC, Santander) Hedge funds Insurance, asset management companies Software companies6
  7. 7. 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
  8. 8. 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
  9. 9. 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
  10. 10. 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
  11. 11. Summary Thank you for attention Good luck with your studies, job search, and career! (Brief) inquiries: artur.sepp@baml.com11