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Financial Engineering: Career and Perspectives
Artur Sepp
Bank of America Merrill Lynch
24 March 2011 │ University of Leicester Postgraduate Careers Symposium
Financial engineering jobs
Bank of America Merrill Lynch quantitative group
Personal career path
Advice
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 firms
4
Financial Engineering Jobs
�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
Quantitative positions (Mark Joshi 1))
1) On becoming a quant, www.markjoshi.com/downloads/advice.pdf
5
Financial Engineering Jobs
�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 trading
− orders execution, proprietary trading
Product lines
6
Financial Engineering Jobs
�Investment banks (GS, MS, JPM, BAC)
�Commercial banks (RBS, HSBC, Santander)
�Hedge funds
�Insurance, asset management companies
�Software companies
Employers
7
Financial Engineering Jobs
Educational requirements: MSc (support roles), PhD (development roles) in a quantitative subject
Work life: use computer science and mathematical methods for quantitative analysis and decision making
Computer skills: C++, Excel spreadsheets
Working hours: 8:30 – 7:00 (vary from role to role)
8
Bank of America global quantitative group
Co-Heads: Alex Lipton (London) and Leif Andersen (New York)
Globally about 160 quants ( ~50% PhD, ~50% MSc/DEA)
Global support for rates, equities, currencies, commodities
Intern opportunities for year 2012: looking for smart and motivated graduates
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 BearnStearns in New York
− After completion got full time position
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 confidence
11
Summary
Thank you for attention
Good luck with your studies, job search, and career!
(Brief) inquiries: [email protected]