NC State’s Financial Math Program’s Quantnet Rankings are up!

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.

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NC State's Financial Math Program also made the list of top 10 employment outcomes.
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And was listed as most improved.
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We are grateful for our students, alumni, faculty, employers and advocates who all contribute to the program's progress!

Bridging Academics from the Classroom to Practice

New Class for NC State’s Financial Mathematics Graduate Program: Practical Portfolio Management.

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.

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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).

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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.

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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.

Richard Ellson

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.

 

2015 Summer projects- SAS credit risk project summary

SAS Credit Risk Project

Designed & led by Financial Math Alumnus- Jonathan Leonardelli

Objective:
For students to apply credit risk concepts while developing SAS programming skills

Goals:
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.

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"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

(All the project groups presented their summaries at the end of the summer session. More info to come soon from the other groups).
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The Financial Math program’s Executive Board welcomes 3 new members.

NC State's Financial Math program is excited to announce three new members to the Executive Board- Mike Bauer with AllianceBernstein, Sheila Baptiste with Credit Suisse and Rick Carter with National General Insurance.

Updated list of members can be found here.

The Executive Board is comprised of industry leaders and Financial Math alumni. Board members provide guidance, expertise and contacts to the program's two Directors. We sincerely thank the Board Members for their participation and commitment to the Financial Math program and its success.

Congratulations to our May 2015 Graduates!

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Congratulations to everyone who graduated this May 2015! We are proud of your hard work and wish you many years of success.

We our proud to announce that our recent graduates received offers and have started working at Bank of America, Genworth, SAS, BB&T, Credit Suisse, Deutsche Bank, Maxpoint, & Aohey, LLC.

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Re-cap IAQF’s “How I became a Quant” at NC State

On Friday evening, Nov 14th 2014, NC State’s Financial Math program and IAQF (International Association of Quantitative Finance) hosted the event “How I Became a Quant”. The panel included Financial Math alumni, Jared Bogacki with BB&T and Albert Hopping with SAS, as well as Altrius Capital Founder, Jim Russo and current student Jeff High with Captrust. They each took turns sharing their career path stories with the audience and answered questions about quantitative careers. Dr. Jeff Scroggs, Director of the Financial Math program, acted as the moderator for the event.

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To start, Jim Russo talked about his background and starting his company, Altrius Capital in 1997. He enjoys quantitative finance and visited investment firms to learn more about the field, which included networking with his best friend who got an MBA from Princeton and worked at Bernstein (Alliance Bernstein). This inspired him to open his own investment management and financial consulting business in New Bern, North Carolina. Altrius Capital also has an office in downtown Raleigh, North Carolina and is growing fast.

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Next, FM Alumnus, Albert Hopping shared his career path story. He got his Bachelors in Physics at NCSU and then worked in the energy industry as a Risk Analyst. Several years later, he enrolled in the Financial Math program at NCSU and learned more about quantitative analyzing. He found it be interesting and amazing. Thus, this led to his current role at SAS where he applies quantitative analysis to his daily work. You can read his personal interview here.

Jeff High is finishing up his Financial Math degree at NC State. He did his undergraduate studies in Finance and Financial Economics, and then got a job at Wells Fargo. In 2006, he noticed his job became more and more quantitative. During 2007 to 2009, he worked at another investment firm and managed a team in Valparaiso, Chile while supporting New York, London, and Hong Kong trading services. Due to the 2008 financial crisis, he came back to US and and started his Masters in Financial Math at NC State while working at other investment firms. He realized technology skills are very important, which he is enhancing through the Financial Math program.

Lastly, FM Alumnus, Jared Bogacki shared his career path and has worked at BB&T for more than 10 years. He is currently a manager about shared his expertise and advice to current students on getting a job in the field. Jared and Albert both emphasized the importance of communication as a top soft skill to sharpen as it is required to be successful in the industry.

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After they shared their stories, Dr. Scroggs asked them about careers and salaries in the Financial Math industry, and work and life balance. Mr. Hopping said there is a high correlation between working hard and receiving high rewards and benefits. Thus, the harder you work, the more you are rewarded. But that comes with longer hours and stress. Mr. Russo made the point that if you enjoy what you are doing, the long hours and hard work will pay off and the stress is worth it because you are doing something you value. Mr. Bogacki agreed and mentioned the importance of having passion in what you do. Being overly stressed and not enjoying your job is not ideal and students should choose a career path that closely aligns with their interests, talents and passion.

They also talked about specific courses and types of technical skills students need to gain to be successful. All panelists stressed to not only focus on academics but to enhance business and soft-skills such as communication, interpersonal and problem solving skills. Being able to clearly articulate ideas, processes and models to clients and business colleagues is very important. Mr. High gave personal examples of his own experiences to emphasize the importance of gaining and improving technical and soft skills as significant factors in succeeding with one's own career path.

The audience had an opportunity to ask several questions about interview tips, types of interview questions expected in interviews, and other tips to succeed in the Financial Math industry. Thank you Jim, Albert, Jeff and Jared! Everyone enjoyed hearing your career stories and expert advice. The evening ended with a reception held in SAS Hall.

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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!