Meet our Financial Math Alumni- Brandon Blevins

Meet Brandon Blevins, Product Controller at Credit Suisse in New York City. Brandon graduated from the Financial Math program in 2009. We were glad to catch up with him in Manhattan and learn about his job and life in the city.

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Part I: Education & Job Background

1) How did the program prepare you for your job?

Brandon: The Financial Mathematics program gave me the background about quantitative finance. It provided me with the basics on how financial assets work, how models applied to assets, and how interest rate curves work.

2) Describe your job.

Brandon: Currently, my job is Product Controller at Credit Suisse. The main point of Product Control is to ensure that the Profit and Loss (PL) generated by portfolios reviewed gets to the general ledger of the bank, which then is reported to shareholders and board members who make financial decisions based on Credit Suisse earnings.

My day involves reviewing risks on books, making sure risks are within tolerances, and P/L are in line with the risks. For example, suppose you have net Vega on a single position of $100K. The volatility moved on the position by 100 basis points and you did not make or lose any money on that position. Did that make sense? It is the Product Controller’s job to make sure it does makes sense. If something is wrong, we flag it. We make comments on any big moves, big losses, and provide reasons why money is lost.

Part II: Analytic techniques

3) Does your company use stochastic models? If it does, what kind of models are used? Is there any reason for choosing these models?

Brandon: We use Black-Scholes formula to build up implied volatility curve. Options with the same underlyings and maturity but different strike prices have different implied volatility. The same options with different maturities may also have different implied volatility. Thus, implied volatility is a function of strike price and maturity, and we can define a volatility surface. We also use jump-diffusion models to model certain protocols. For example, is there a big court case coming up in the next few years for a specific company, or does this specific company have any big products coming out in a few years? That is where jump-diffusion comes into play.

Part III: Risk management

4) How does the crisis and the regulation policies enacted afterwards affect the behavior of your company?

Brandon: Radically. Since then, many parts of businesses have been shut down. Interest rate products have been drastically cut by 90%, because the Feds have kept rates low. There is a huge push to move everything onto exchange and standardize all products. Any flow business has been hit hard such as the credit default swap (CDS) market. Junk bond market has been on fire lately. But it did excite the mortgage back portion.

5) The goal of risk management is to achieve a balance between returns and risks. Thus, with lots of capitals and human resource spent, risk management may, to some extent, reduce a company’s profits. Now suppose you are a leader of a financial institution. Driven by the motivation of maximizing the profits, will you pay enough attention for risk management?

Brandon: Lead traders will listen to risk management and work in conjunction to set risk limits and VAR measures. If the limits get breached, everyone will look at it.

6) You used to be an interest rate derivative analyst, but now you are focusing on equity derivatives. So in your opinion, what is the difference between the interest rate derivative market and the equity derivative market?

Brandon: Interest rate market and equity derivative market start to look alike with low volatility. The bond market did very well in the past, but now it hover sideways because of the flat yield curve environment. Equity market is experiencing the same problem. Rates are not moving and are low.

Part IV: Suggestion & Advice

7) What skills set are important to succeed in your field? And what kind of courses will you recommend for current students to take.

Brandon: Networking! Make sure people like you, so they will recommend you. I landed all of my jobs because I knew people who worked for companies that I wanted to join as well. I got the interviews because people recommended me. Therefore, students should get out there, meet people, talk to them, learn from them, make relationship with them, and then they will recommend you for jobs. Just get connected! People can put you in positions to succeed, and give you opportunities to help you succeed. If they like you, they want to you succeed.

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Thank you Brandon!

Quantnet Rankings

Where is NC State on the 2013-2014 and 2014-2015 Quantnet rankings? Great question. Summer of 2013, we were busy making enhancements to the program by adding a Director of Career Services position and planning our 10 year anniversary and alumni event. With those distractions we neglected to submit our data to the Quantnet survey. Due to this mistake, we were not listed for 2013-2014 and the most recent list.

We want ensure you that the Financial Math program is going strong with 100% placement for our December 2014 graduates. NC State University is ranked 4th in the United States for best value for high academic standard and low tuition. We believe the Financial Math program is #1 best value out of all Masters of Financial Math programs.

We are proud to say we have 100% placement for internships and high-paying full-time jobs for graduates (within three months of graduation). Current students participate in leadership roles as Career Ambassadors, engage in job-shadowing and networking events, and have the opportunity to gain more knowledge through specialized professional workshops.

We were ranked 19th in 2011-2012, and we are confident you will see NC State's Financial Math program back on the Quantnet ranking list for 2015-2016!

In the meantime, you will find us in the top 25 for the Financial Engineer rankings.

Upcoming “Unconstrained Fixed Income” workshop- by Jim Russo, Altrius Capital

NC State's Financial Math program is proud to host workshops taught by alumni, professional experts and area employers to provide practical industry techniques and training for students. The series of workshops include topics of financial risk, credit risk, stress testing and fixed income. Workshops are intended to provide opportunities for students to enhance their professional and career development, as well as strengthen soft skills highly sought by employers such as presentational skills, business writing, teamwork, and conflict resolution.

Jim Russo, Founder and Chief Investment Strategist at Altrius Capital, will be leading a series of workshop on Fixed Income. Jim is also a Board Member for the Financial Math program. Below is an outline of what will be discussed:

Unconstrained Fixed Income Workshop

Learn how to invest differently than traditional fixed income management.

· Use contrarian thinking to help identify opportunities

· Employ quantitative screens to fixed income marketplace

· Address importance of Global Macro strategy

o Duration

o Credit

o Yield Curve

o Sector rotation

· Fundamental Analysis utilizing Income statement vs. Balance sheet

Thank you Jim! Students are looking forward to this workshop!