financial engineering - artur sepp

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

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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

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�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

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�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

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�Investment banks (GS, MS, JPM, BAC)

�Commercial banks (RBS, HSBC, Santander)

�Hedge funds

�Insurance, asset management companies

�Software companies

Employers

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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)

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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

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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

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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

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Summary

Thank you for attention

Good luck with your studies, job search, and career!

(Brief) inquiries: [email protected]

financial engineering - artur sepp

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