Congratulations to all of our December 2016 graduates! We are so proud of your hard work!
Our graduates were placed at Bank of America, TD Bank, Financial Risk Group, EY, SAS & First Citizens Bank. We wish you all success!
We are pleased to announce that NC State's Financial Math Program's Quantnet Rankings have improved as the program continues to grow and succeed. In it's 14th year, the MFM program has expanded and advanced into a well-respected graduate program sought out by students from all over the world. Currently, the program is ranked #18 in the list of top programs.
We are grateful for our students, alumni, faculty, employers and advocates who all contribute to the program's progress!
The Masters of Financial Mathematics at NC State is offering a new course, Practical Portfolio Management. This course is about bridging the gap between academic knowledge/modeling and the practice of managing a portfolio. If you are a student studying in a quant/finance field, you might have asked yourself questions like "how can I apply this theorem in practice?" or "how practitioner operate things in practice?" These questions are critical to successfully moving your academic knowledge from the classroom to the workplace.
The course starts by considering what contributes to the risk premium; business risk, financial risk, liquidity risk, exchange rate risk, and/or political risk. Students make their own asset allocation decisions, by first creating their own policy statement, creating an initial portfolio, then rebalancing their portfolio on a weekly basis.
Portfolios can be composed of a wide variety of assets, such as the S&P 500 Index, Equity ETFs, Treasury bonds, Stocks, and etc., is a typical example. The course will cover the pros and cons of quantitative tools. Decisions to adjust portfolios or asset allocations may be based on the managers’ view, or on more quantitative algorithmic strategies implemented in R (portfolio-trading) or Python (see crowdsourcing ideas leader Quantopian).
A critical aspect of managing their portfolio is the justifications for the asset allocation and rebalancing decisions. The decisions will be influenced by the rapidly evolving financial landscape, and will necessitate considerations of events that can have strong impacts on your portfolio, such as Brexit (see discussions by Schwab and Forbes), Greece returning to debt markets, and the November elections in the US.
The course will have a nontraditional structure. The traditional lecture-homework-exam structure is replaced by actively managing their $100,000,000 portfolio throughout the semester. Similar courses are sometimes offered through extension courses, such as Options, Trading and Strategies at UCB and Strategic Portfolio Decisions at Stanford.
Dr. Richard Ellson created this course. He recently joined NC State’s Masters of Financial Mathematics as an Adjunct Associate Professor. Dr. Ellson’s career started as a tenured professor at the University of South Carolina. He was recruited to work at Wall Street firms and spent 25+ years in the finance industry. Richard has worked in several areas, and has deep experiences in residential whole loan mortgages and agency/non-agency mortgage-backed securities. His broad experience in research, trading/hedging, structured finance (domestic and foreign), and product development will guide FM students to success in their prospective career.
Textbook: Analysis of Investments and Management of Portfolios. Keith C. Brown, Frank K. Reilly, 10th edition.
More about Dr. Ellson: http://www.ellsonconsulting.com
blog post created by J. Scroggs and Daihon Kwon.
I am excited to welcome the class of 2017-2018 to the Masters of Financial Mathematics. The largest reward for me comes from working with talented and motivated candidates. Students always come from a variety of backgrounds and countries. This year, the main countries of origin are China, US, and India, but Korea, Kyrgyzstan, Iran, and Malaysia are also represented.
While in NC State’s Financial Mathematics Program, you’ll learn synthesize theory with practice to analyze, quantify, manage and predict risks associated with financial instruments and price options, derivatives, and futures. Joining the MFM program means you’ll have a holistic educational experience, developing skills that enable a lifetime of personal and professional growth.
"Go beyond the program!" -Sai Raman
Sai Raman graduated from the Financial Math Program in May 2015. He is currently working as Business Controller at Credit Suisse, in North Carolina. Sai did his Bachelors in Mathematics in India before completing his Masters in Financial Mathematics at NC State. Sai had the opportunity to do a summer internship at GE in Australia and was an active student participating in several musical events at NC State.
Why did you decide to get a Master’s Degree in Financial Math program at NCSU?
Sai: I completed my Bachelors in Mathematics and was planning to further my studies. I felt a combination of Computer Science, Finance and Mathematics would be my area of interest. I did some research on graduate programs that combined those focuses and decided Financial Mathematics was the right direction to head in, and I liked NC State's program.
Did you do an internship while you were in the Financial Math program, and if so, please tell me about your internship experience?
Sai: Yes, I did an internship at GE (General Electric) in Australia. My internship work combined mathematics and statistics. I built metrics tool to calculate the online time delivery for GE equipment for an oil project. I used Data Manipulation techniques and Statistical analysis models to build a dashboard that could give desired output in 30 seconds.
It was a great learning experience to work for a big company like GE. The internship helped me to enhance my professional business skills such as improving my communicational skills. I am able to carry the knowledge and experience into my current role at Credit Suisse.
Can you explain more about your current job?
Sai: I work as a Business Controller at Credit Suisse. My job is focused on reviewing the P&L (Profit & Loss) after every trading day. Generally, for every single trading desk, there is a control team behind it and I belong to Emerging Market Group trading risk. We review the trades of the previous day, see the impact of P&L for every market move in the trade and calculate the risk based on the linear approximation for a portfolio and then compare to the actual P&L. Then we check how accurate our models are and see if any assumptions were
considered wrong. Then correct the wrong assumptions and re-do everything. Mostly MS-Excel is used for the calculations.
Sounds interesting, can you tell us a little more about your job at Credit Suisse?
Sai: The job is rewarding and challenging. The first two weeks we had a training program from all new employees of Credit Suisse from New York. However, the job forces us to continually learn daily with new challenges and situations to problem solve. Dealing with P&L of big amounts daily makes my work interesting. There will be days where we see millions of dollars missing in the accounts, few due to some technical reasons and few due to real market reasons. It is the Business Controller's role to come into the picture and resolve the issue. Sometimes the work becomes very hectic, especially the month end and first 10 days of the month. Work day can start in the morning 8.30 and end by 8.30 in the night. The rest of the month the work-load is normal.
Tell us about the interview experience with Credit Suisse?
Sai: The interview went quite smoothly. I attended an information session held by Credit Suisse in our one of the Friday Seminar classes, Later I went and spoke to the people and applied online for a few finance jobs. The following week, I got a call from Credit Suisse asking for my work interest and was invited for an on-site interview. There were two rounds of interviews, mostly testing my knowledge and experience from my resume.
In your opinion, what courses are more important and which concepts are more useful at your current place of work?
Sai: In my perspective, all the courses are equally important. Financial Mathematics and Computational Methods in Finance are the courses that I am currently applying at my job. I personally like these subjects very much and I have always paid special attention to those courses. I did a project on pricing barrier options using a single algorithm; that was a very good learning experience.
Solid understanding of Financial Mathematics (MA 547) helps a lot in the Computational Finance course (ECG 766).
What are the suggestions you want to give for the current and future students of Financial Math?
Sai: Go beyond the program. The program gives you the foundation and direction, but take it one step further. Take the FRM exams. Do projects. Apply for jobs with plenty of time and apply for many positions as the job market is very competitive. Network and get connected to Human Resources and recruiters through
Thank you Sai!
Are you an introvert? Are you shy? Are you nervous talking and meeting professionals? Many Financial Math students have answered yes to these questions.
Networking and making connections can be scary. What do I say? What if they do not like me or want to talk to me? Networking and making meaningful connections is essential to increase your chances of landing an interview for a job opportunity. Here are some tips:
Plan a time limit. By setting a time limit, the event will not seem like an unending activity. Being around people can deplete your energy and that can make networking events uncomfortable. Plan to rest before and after networking events so you have energy while you are attending the event.
Set a goal. Give yourself a goal on how many people you want to have meaningful conversations with. This provides purpose and helps you to focus on talking to the right people rather than talking to everyone.
Understand your fear. When you understand what part of networking brings you anxiety, you can isolate the specifics and find resources to help reduce the fears. If needed, you can ask for help and alleviate stress from the next tip...
Bring a friend. You may feel more comfortable attending networking events if there is someone who can support you. They may also share the same anxieties and together you can work to overcome those fears. Just remember to not only talk to your friend.
Focus on the other person. Divert attention from yourself by asking questions to put focus on their career stories, experiences and advice. This will help to reduce your stress, and provide you the information you are seeking.
Finally, smile. 🙂 People who attend networking events are there to help others or gain advice and help for themselves. They want to meet you!
"Speak to people…Increase your network!"- Yi Chao, May 2015 Graduate
Yi Chao recently graduated from the Financial Math program in May 2015. She was an active student in our program as a Career Ambassador and Intern. While studying hard to be among the top of her class, she also took full advantage of all career development activities. Her hard work paid off as she received a full-time job opportunity to work at Maxpoint.
Yi Chao is currently working as a Product Analyst at Maxpoint in RTP (Research Triangle Park) in North Carolina. We are glad she took the time to share her experiences and advice to incoming, current and prospective students. Her interview below- by Preethi Kankanala
Why did you decide to get a Master’s Degree in Financial Math program at NCSU?
Yi Chao: I received a Bachelors in Applied Mathematics in China. While I was studying I always wanted to do something that can be applied to daily life situations. After taking courses Microeconomics, Econometrics and Game- Theory, I felt finance was the best direction for me to take as a career choice.
I was fascinated by real-time data, the movement of stock prices and how the daily market situations affect the price. With the Mathematics background I had, Financial Mathematics was the best field to choose.
How did the Financial Math program prepare you for your job?
Yi Chao: I took mostly statistic courses as I was interested in analyzing data. Also, I enhanced my programming skills after coming here. I did not have much programming experience before coming here, but after the Monte Carlo class, the assignments and projects in the course helped me improve my programming skills and I ended up with an A+ in that class.
Also it is very important to concentrate on all the courses equally, because you never know which one will help you more during the job search, so I put equal effort in all classes.
How was your experience with your summer internship at Altrius Capital?
Yi Chao: Working with Altrius Capital Investment company gave me a great hands-on experience on valuation and real world concepts behind trading. My project at Altrius included doing market research for a fixed income market trader. I used financial statements & balance sheets to analyze the different companies, and give suggestions to the trader.
The other project I worked on is more quantitative, using Morningstar software we transferred the data to excel and analyzed the data of public companies.
Can you explain more about your current job? And how is internship helping you for this job?
Yi Chao: I am now working in Maxpoint as a Product Analyst. My job mainly consists of market research, analyzing data, try to get insights from it and improve our product. My project is mostly done in Python. We use statistical models to analyze the data, find target users and serve advertisements.
From the surface, my present job and the internship projects seems to be different but at the core they are almost the same. The thinking method is similar by using quantitative methods to do research and solve problems.
Important to note, at work we give lot of presentations. My internship allowed me to enhance my soft skills and learn how to communicate better. I am now more confident in giving presentations in my current job.
What are the different position you have applied for the full time and how did you apply for those?
Yi Chao: I applied mostly for the Quantitative jobs, Risk Management and Data Analyst roles. Most of the jobs I have applied were through LinkedIn and Glassdoor. However, besides applying to jobs online, it is also very important to follow up with the application through the respective HR manager or with any alumni working in the same company (If there are any).
How did the career fairs help you?
Yi Chao: Career fairs gives you a lot information. You will get to know the companies and the different positions they offer. It is the best place to network and market yourself. Many job requirements ask for 3-5 years of experience in any of the programming languages, but if you show you have great analytical and problem solving skills and learn quickly, there is a chance they may hire you. It helps to be confident in the skills you have.
What are your suggestions for the current and future students?
Yi Chao: The main advice I would like to give to the students is, network with the people, do not let your fear or inhibitions to take a back step on this. There is never a harm if you speak to people, only good happens. Keeping aside about job, you will get to know lot of information from their experience. Also contact people through LinkedIn. I talked to lot of Financial Math Alumni and learned a lot from them. I also got a few interview calls because of my network.
Grasp every opportunity to talk to people, professors, alumni and people coming from industry. Keep looking for what you are interested in because that is what gives you the passion to learn or work. Push yourself to be the best you can and then you will know your potential.
Regarding jobs and internships, make sure you start applying as early as possible and make a very good resume, and be clear on each and everything that is written on your resume.
Thank you Yi! We appreciate your time and advice.
SAS Credit Risk Project
Designed & led by Financial Math Alumnus- Jonathan Leonardelli
For students to apply credit risk concepts while developing SAS programming skills
1. Become Base SAS certified
2. Have an understanding of CCAR and Basel II calculations
3. Learn how to model PD / LGD / EAD
4. Use equations to calculate Expected Loss (EL), RWA (Risk Weighted Assets), and capital ratios
By Aisha Barnes & Preethi Kankanala- The purpose of the summer SAS case study was to develop an understanding of the different steps that are involved in calculating the loss portion of CCAR (Comprehensive Credit Analysis & Review). CCAR is a regulatory framework that ensures Bank Holding Companies (BHCs) have enough capital under the worst scenarios. This is tested under various stress-testing scenarios.
In our case study, we analyzed a portfolio of different products and estimated the capital that is required to hold the portfolio under three different scenarios. For this, we have estimated the historic Probability of Default (PD)*, Loss Given Default (LGD)* and Exposure at Default (EAD) and forecasted the future values using a variety of techniques (e.g., regression models) in SAS. Then we used these values to estimate risk weighted assets and capital.
This exercise helps BHCs ensure that they have enough capital if there is any change in the economic conditions. If the capital plan does not pass regulatory review, then the company has to change it to ensure there is adequate regulatory capital.
"Throughout the project, Financial Math Alumnus and Board Member, Jonathan Leonardelli, directed and mentored our team. We gained knowledge and enhanced our technical and business skills under his guidance. The project provided us hands-on experience on estimating the credit metrics and how to apply them with real world problems."- Preethi Kankanala, December 2015 Graduate
"This summer I experienced real application of how I will use my Financial Mathematics degree. I learned how to program in SAS and plan to gain certification. I used SAS to find the amount of capital a bank reserves to meet the Basel II requirements. I feel confident in having these skills."- Aisha Barnes, December 2015 Graduate
*PD (Probability of Default) = likelihood that a loan will default in the future
*LGD (Loss Given Default) = amount a bank will lose if a customer defaults on their loans