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!

Networking and making connections- tips for Financial Math students

Are you an introvert? Are you shy? Are you nervous talking and meeting professionals? Many Financial Math students have answered yes to these questions.

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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!

IAQF’s “How I became a Quant” comes to NC State!

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We are pleased to announce this event below:

Financial Engineers Give a Personal View of their Careers in Quantitative Finance

A Series of Panel Discussions For Students Interested in a Career in Quantitative Finance

How I Became a Quant: North Carolina State University's Financial Math Program

Friday, November 14
5:00pm Registration
5:30pm Program Begins
6:30pm Reception & Networking

North Carolina State University- SAS Hall
2311 Stinson Drive- Room 2203

Panelists:

Jared Bogacki- BB&T

Jeff Rockwell High- Captrust

Albert Hopping- SAS

James Russo- Altrius Capital

Moderator- Jeff Scroggs

Registration is Complimentary!
Please Click Here to Register

Meet our Financial Math Alumni- Coffee chat with Albert Hopping- Part 2

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Part II: Analytic techniques continued...

6) Do you believe the future movement of the market data is, to some extent, driven by the models used by major financial institutions, even though these models may not be correct?

Albert: Does the market move because the model is assumed to be correct? I would say yes. Consider the market crash in 1987. Prior to the crash, there was no “volatility smile,” but there was after the crash. The market had actually been acting correctly, according to the model, until they realized the model made terrible assumptions. The market moved much more than their model implied. One event is meaningless; however, this highlights an incorrect model driving the market.

For a more current example, look to the way mortgages were priced before the recent mortgage bubble. Banks priced mortgages with the assumption that housing prices wouldn’t fall. The entire market priced that way because that was what everybody else did; it was group think. They used this assumption because the price had never gone down in their historical data set. Models are only as good as their assumptions. Could somebody have built a better model and actually predicted the housing price collapse? Yes, it could have been done and a few people did it.

Unfortunately, in a time of high earnings, it is easy to ignore risk. Risk is especially underweighted when quarterly earnings are prioritized over long term security. I feel that compensation packages are lagging the culture shift at most companies. This disconnect leads people to act as individuals focused on their personal bonuses rather than acting as representatives of their company. Further, a system which provides bailouts for bad behavior begets that bad behavior. The “smart” companies wouldn’t receive a bailout, leading some to assume they are better off to employ the incorrect group think model. Of course, this would not work in a free market.

7) Does your company use stochastic models? If it does, what kind of models are used?

Albert: We primarily work with customers who have reasons for the models they use. Sometimes, they ask us to implement specific models in their system. Other times, they come to us for advice asking what model may be best. For instance, in regards to interest rates, I am a big fan of the Libor Market Model (also known as the BGM Model). It is a term structure model. However, the industry almost exclusively seems to use short rate models. The Hull-White Model is very common because it’s very easy to parameterize, simple, and everyone else is using it.

However, I enjoy commodities more than interest rates or equities. In commodities, we have different issues because it is such a physical market. These models can be much more complicated. If I picked a favorite model, it is one that I was lucky enough to have helped develop (I’m biased). That model takes the term structure for a commodity and relates it back to the spot price allowing them to be simulated together. I really enjoy working with that model. In general, my favorite model is the right model for the situation; a model that makes logical sense and fits the data.

Part III: Risk management

8) How do the recent financial crisis and the regulation policies enacted after that affect the behavior of your company?

Albert: As a vendor, our business is based on our customers’ business. A crisis like that causes additional regulation or at least the changing of regulation. To handling that regulation it is very logical that a third party, a vendor would make a solution and sell it to customers. Typically, that type of regulation would cause a company like SAS to make a new product and be able to provide that solution to more people. Unfortunately, the capital expended on satisfying regulations cannot be used elsewhere in the economy.

9) The goal of risk management is to achieve a balance between returns and risks. Thus, with lots of capital 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?

Albert: As a risk professional my answer must be yes. There are two aspects to consider in regards to risk: monitoring and management. Consider risk monitoring first. One should spend resource and pay attention to know the rules of the game. For an example, let’s think back to mortgages. What if housing prices could go down? I may go bankrupt. Well, that would be very important to know. If you don’t know the rules of the game, you cannot play your best.

In the same way, you need risk monitoring to help you see what the possibilities are. In terms of risk management, it’s like getting an insurance policy. Let’s say I have a house and all my money is in my house. If my house burns down, I may go bankrupt. I should clearly buy fire insurance on my house. That’s how risk management can be considered as well. Yes, if I am concerned about anything other than the very short term, I would spend enough resource on risk management and pay attention to my risk team.

Part IV: Suggestions & Advice

10) What skill sets are important to succeed in your field?

Albert: I get asked that question often: by students, by some of my friends, and some of my peers. I change the details of my answer almost every time, but there are key components that remain consistent. First and foremost is communication. No matter how smart you are, no matter how brilliant your model may be, if you cannot convince others and if you cannot explain your ideas, it is not going to matter.

Another component in my list is passion. Passion is not a skill, but an ingredient to success. Is it necessary? No. But if you are not passionate about your field, why work in it? Your passion allows you to have better ideas and think outside of the box which is critical. If you just think like everyone else, you are very replaceable. This makes it more difficult to advance. Your passion may present itself in the form of problem solving. This is an important skill.

Another skill of importance is programming. In our field, people are often not formally trained in programming. We are more likely to be self-taught with at most one or two university courses in programming. This is very different than those people who come out of school with an entire degree in computer science. They have different level of understanding the way a machine thinks. In some parts of our field, this understanding is critical and you will need to learn it. Being skillful enough to have a computer automate you work is always important. Automation frees your time to think and add real value.

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Thank you Albert for inviting us to SAS for coffee and taking the time for this fun and informative interview!

 

Join our new workshop- “Introduction to Financial Risk”

NC State's Financial Math program has partnered with 2004 Alumnus, Jonathan Leonardelli, to create a new workshop series "Introduction to Financial Risk" for all NC State students and faculty. The workshop is also opened to the public.

Students and faculty in Mathematics, Statistics, Economics, Finance, Operations Research, MBA and other related programs are welcome to join!

Here is what you will learn:

Risk Workshop Overview

Presenter information:

Jonathan Leonardelli, FRM, MFM

Jonathan Leonardelli, Risk Consultant at the Financial Risk Group, specializes in credit and market risk management. Over the course of his career he developed a diverse knowledge of retail banking risk as well as the technical skills needed to integrate risk assessment processes into a company’s business and technology infrastructure.

Jonathan’s career started with positions in the credit risk groups at Wells Fargo (Wachovia) and BB&T. In these positions, he developed expertise in acquisitions and portfolio risk management.  In his current position, Jonathan develops and implements processes that provide quantitative risk assessment and reporting capabilities for clients that include banks, hedge funds, and asset management companies.

Jonathan is an experienced presenter and author.  He is a certified SAS® Risk Dimensions Instructor. His papers in financial risk management covered topics such as the Dodd-Frank Act and its implications for risk professionals, as well as techniques for handling missing data. He has also authored a Webinar for the Insurance & Finance SAS® Users Group (IFSUG) regarding loss estimation using roll rate matrices.

Jonathan holds an Masters of Financial Mathematics from North Carolina State University and is a member of the Global Association of Risk Professionals (GARP).

FRM designation since 2010

SAS Certified Advanced Programmer for SAS 9

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Those interested- please contact Leslie Bowman, Director of Career Services- leslie_bowman@ncsu.edu 

Workshop begins Friday, September 5th 2014- registration deadline, August 28th

New Series- “Meet our Financial Math Alumni”- Coffee Chat with Jonathan Leonardelli

"Meet our Financial Math Alumni" is an up-close interview series with select Financial Math alumni to learn more about their career, experience and knowledge after receiving their Masters in Financial Math degree from NC State University. Alumni are important part of our program for many reasons. They provide support, vision and strategy to ensure the success of our program. They are role models and mentors for current students. They strengthen the reputation of the Financial Math program. They provide job leads and recruitment activity for students. Our alumni are intelligent and awesome! Thank you to those who participant in this series"- Leslie Bowman, Director of Career Services

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Meet Jonathan Leonardelli, FRM, Risk Consultant (Graduated 2004)

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Interview conducted and summarized by Yi Chao and Xiaohong Chen, Financial Math Interns, May 2015 Graduates

Jonathan is currently a Risk Consultant at Financial Risk Group. He is also one of the first students to graduate from NCSU’s Financial Mathematics program. We were honored to have the opportunity to interview him.

Part I: Education & Job Background

1) Interviewer: Why did you decide to get a Masters in Financial Math at NC State?

Jonathan: I had just moved here and was interested in changing careers. I wanted to find a program that combined mathematics and finance. As it happened, NC State was in the process of creating the Financial Mathematics program. Although the start of the program was still a couple years off, that time allowed me to get the necessary mathematics background I needed. Entering the program produced the exact result that I wanted: it gave the mathematics I need to do interesting work in the banking industry.

2) Interviewer: How did the program prepare you for your job?

Jonathan: The program really gave me the depth of math that I needed to work in the field of risk. It also taught me how to apply rigorous logic to a problem to help find a solution. Beyond this, though, I learned that life was filled with randomness. This randomness, as a result, causes the quantification of some metrics to be difficult.

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Part II: Analytic techniques

3) Interviewer: "Big Data" is a hot specialization in the field. Do you see this as long term trend or something that might pass as a fad?

Jonathan: It is definitely not a fad. In this day and age many actions we take, especially when using a piece of technology, is probably captured and stored in some database. Now, think about all those action and all the data that comes along with it. What is a company going to do with this data? They are going to improve their sales, improve their risk practice…the list goes on. Having skills to work with big data, to be able to find the relevant information and then integrate it into a model, is very useful.

4) Interviewer: The trend of “Big Data” implies that historical data can shed some lights on future prediction. However, this contradicts with “efficient market theory” to some degree. What are your thoughts about this?

Jonathan: I think concerns should always be involved when using historical data because the tacit assumption is that the future is going to behave like the past. That being said, there are ways to mitigate these concerns. For example, when we calibrate models one of the first things we do is test it with a different period of data to see if the model is robust. Sometimes we might use the model on data representative of a stressed scenario (i.e., a scenario that is uncommon but still possible) and see how the model performs. If it performs badly, we try to assess why that is. Are the parameter estimates wrong? Are different variables needed?

5) Interviewer: Does your company use stochastic models to predict interest rate? What kind of models are used?

Jonathan: To be honest, in my current job the main stochastic (i.e., diffusion based) models I have used are CIR (Cox-Ingersoll-Ross) and GBM (Geometric Brownian Motion) with the occasional jump-diffusion model thrown into the mix. Most of the models I have worked with recently are linear regression, logistic regression, and Markov chains.

6) Interviewer: In your area of specialization, what is your favorite method or model and why? Do you believe it is perfect?

Jonathan: Markov chains and their resulting transition matrices. This comes from the years when I worked in the banking industry. At a glance, the transition matrix tells you the behavior of different segments of accounts. Depending on how the states of the Markov chain are defined, the transition matrix can tell you: 1) The probability of going to default, 2) the probability of paying off, 3) the probability of curing, 4) the probability of moving across multiple states over a given time, etc.

The transition matrix is a great summary tool. Of course, it is not perfect. Always keep that in mind when you build a model. Even though the model looks pretty and deals well with the data – now – it is not perfect. It is an easy move from complacency, when the model is performing well during good times, to anxiety when the model is performing poorly during a financial crisis.

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Part III: Risk Management

7) Interviewer: How do the regulation policies enacted after crisis affect the behavior of your company?

Jonathan: The regulations have not impacted the behavior of our company. However as a risk consulting company, we have seen more requests from financial institutions asking us to help them comply with the regulations.

8) Interviewer: The goal of risk management is to achieve a balance between returns and risks. Thus, with a lot of capital and human resource spent, risk management may, to some extent, reduce a company’s profits. Driven by the motivation of maximizing the profits, will the companies pay enough attention for risk management?

Jonathan: I may be biased, given my chosen career path, but I think with the recent financial crisis still fresh in our memories as well as all the regulations that were created as a result of it, businesses will continue to pay enough attention to risk management. And, I think, it will be that way for a while.

Part IV: Suggestions & Advice

9) Interviewer: Any tips for those interested in getting into the field?

Jonathan: First, be comfortable with the idea of randomness. Randomness is uncertainty and uncertainty is risk. Second, companies do not only seek candidates that are good at math and programming. They also seek those candidates who can clearly present their ideas in writing and presentations. Third, get perspective from areas outside of mathematics. I strongly suggest taking business classes because it gives you a different view of a business. A company is multifaceted and does not solely revolve around models.

10) Interviewer: What courses do you recommend?

Jonathan: The courses in the Financial Math program are very good. Among them, I definitely think the probability course is the most important one. That course takes you deep into the world of randomness and, hopefully, makes you comfortable with it. If you have an option of taking a course on risk or financial regulation that would be good. I took econometrics as an elective and, more often than not, draw upon the math tools I learned from that class more than others. Another very good course I took, and have used frequently, is time series analysis.

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"It is a great experience to interview Jonathan. He is humorous and smart. We learned a lot when we talked with him. Thanks Jonathan for participating in our interview! We are sure that your answers will shed some light for those interested in Financial Mathematics!"- Yi Chao and Xiaohong Chen

 

Networking and the Financial Math Board – a student’s perspective

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Every year, NC State’s Master of Financial Math (MFM) program holds Fall and Spring Board meetings. (Background- “MFM’s Board consists of alumni, faculty and professionals from industry. They meet to support and discuss the future direction of the program. The Board advocates for the MFM program within NC State and with external constituents. Board members may mentor students and provide related work opportunities such as internships and job shadowing experiences,” Leslie Bowman, Director of Career Services)

This past fall semester 2013, was my first opportunity to engage with board members from SAS, Genworth, Duke Energy and Local Government Federal Credit Union. The Career Ambassadors, including myself, helped the Director of Career Services ensure the board meeting events occurred smoothly. Their appropriate behavior and professional dress received compliments and left employers a wonderful impression.

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“I am excited that it is my first time to exercise my elevator pitch”, Yi Chao (May 2015 Graduate) “My task was greeting the employers upon arrival and showing them to the meeting room. I was still a little shy and nervous when leading the first employer; however, I turned out to be more brave and natural the following time”.

“I talked with Mr. Jeffrey Lovern from Genworth with my elevator pitch”, said Xun Ma(May 2015 Graduate), “The employers are much nicer than I imagined. Just be brave and talk to them; you’ll find any anxiety you have will decrease as the conversation continues. Just be yourself!”

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After the Board meeting, there was a reception where all MFM students could engage with the Board members. The discussion topics covered specific skill sets required for internships, future job opportunities and the future development of course selection.

Catherine (May 2015 Graduate) felt very beneficial from talking to Mrs. Megan Jennings from Duke Energy (MFM Alumni). “Our talk initiated my passion to work in the energy industry”, she said, “I think it is suitable for me. However, the job will demand more statistical knowledge. So I will consider taking more statistic courses.”

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Yi Chao, Jason Massey (May 2015 Graduate) and Priya Padher (May 2015 Graduate) had an interesting conversation with Mr. Albert Hopping from SAS (MFM Alumni). Mr. Hopping’s success and experience in risk management was inspiring. Yi Chao asked technical questions about catastrophe risk controlling which created the group's interest in learning more. Priya asked the qualifications SAS requires in potential interns. “It is never too late to improve our technical, communicational and problem solving skills to become qualified candidates.”

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The board meeting and reception was successful, and the students were happy to meet and converse with the board members.

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“I am glad I was an active participant in this event. I really learned a lot and improved my conversational and networking skills. We appreciate our time spent with the Financial Math board members, and are thankful for their knowledge and support with our program.”- Yi Chao

By Yi Chao, May 2015 Graduate, Financial Math Intern & Career Ambassador

We look forward to the Spring Financial Math Board Meeting to take place this Friday, April 25th, 2014 along with a celebration to mark 10 years! 

Meet Xiaohong Chen- Career Ambassador of the week!

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"Hello, My name is  Xiaohong Chen, a current student in the Masters of Financial Mathematics Program of NCSU. I have been in the United States for over nine months now and I feel this is one of the greatest times in my life!

To me, ‘quant’ was once a mysterious but exciting word, which captured my imagination. I can still remember the first time I learned about the binomial tree option pricing model; I became instantly fascinated with learning more. Since then, becoming a 'quant’ was my dream. Thus, I decided to come to NC State to chase this dream!

During my time here, I have realized that being a quant is challenging. Through the Financial Math’s career development services, I attended a job shadowing program to a local financial institution. Through this learning experience I got the chance to communicate with employees (in risk management and investment departments) to understand their job responsibilities. The job shadowing event was a great opportunity and I realized which career path I did and did not want to pursue. (Tip- it is just as important to know what you do and do not want to do in life) 

After carefully consideration, I have decided to pursue a Ph.D. in math after graduation. I know there is long way to go, and I will never give up my dream. If possible, I wish to be a Quantitative developer one day. I have talents and gifts in programming and I want to make full use of this skill in my future position. For next several years in academia, I plan to build a solid foundation for math and complement my background in computer science in order to make myself qualified for this job. This is a long way off, but it is a laudable dream. And I believe I can make it one day!

Life here is not tedious. I have enjoyed some of the greatest moments of my life and I made best friends in the past year. NC State’s Financial Math program offers several professional events during the year, and I am honored to be a Career Ambassador and actively participate in these activities. These experiences have already helped me improve my social skills and professionalism, which will help me network to land my dream job one day. I appreciate all these opportunities I have within this program and I quite enjoy my life here."

Xiaohong Chen, May 2015 Graduate, Financial Math Intern & Career Ambassador

A student’s interview experience- the benefits of planning and preparing for the big day!

Internship Interview Experience at a Financial Security Company

(Disclosure- this is a true interview story. This student received an offer and is currently working at this company. Her interview experience and interview format is typical but may not reflect all interview experiences. For privacy reason, the interviewee and company are made anonymous.)

I had an interview with the risk management model group of a financial security company. The main financial products of the company are mortgage loans insurance and long term care insurance.

The interview lasted two rounds, and each round covered two parts with two interviewers from the risk management model group. In the first round interview, the interviewer mainly asked about some questions ranging from mortgage loans, basic statistical knowledge of data mining to regression techniques and models. (Tip- Researching the employer was an important part of this round.)

Questions about mortgages loans referred to concept of premium, prepayment and interest rate. The interviewer introduced their mortgage product to me and I expressed some of my points of view about the product combined with financial terms that I learned in some related classes. (Tip- show employers your educational knowledge through related courses.)

In the basic statistical question part, I was asked about questions of distribution of certain scatter plots that were prepared by the interviewer. Besides, the interviewer asked me to come up with some fast data mining methods that can help a modeler quickly deal with data in an efficient way. (Tip- be prepared to show examples of your quantitative skills)

Most technical questions were focus on regression. The interviewer discussed with me two econometrics models that I had implemented before. Based on the discussion of certain regression models, the interviewer thoroughly asked questions about data cleaning, explanatory variables choosing and model modification. It was a nice progression since the interviewer guided me to take more practical problems into consideration in the process of model construction. (Tip- actively listen to the interviewer and be aware of the direction their conversation is heading, including tips they may give you.)

The second round of interview was an on-site visit to the company. During the second part of first round interview, the interviewer was interested in my interpretation of Logistic model application. I was also asked about basic SAS programming skills. Three interviewers interviewed me and gave me have a tour of the office. The SVP (Senior Vice President) of Risk Management introduced the team corporation of different groups in the division.

During the first part of the second round of interview, I had the opportunity to gather more details about the company’s business and culture, and had a nice communication with the interviewer about team contribution. All the questions were focused on the type of role that I could participate in the risk modeling team, and why I chose this company.

The Director and Modeler from the Risk Modeling team asked me to talk about some opinions on default probability model construction. Furthermore, they gave me concrete examples to show what kind of data that is usually dealt with and gave me chances to discuss practical techniques of data processing implemented by SAS programming. (Tip- be prepared to give  examples of your programming skills.)

The whole interview process was nice. The interviewers were willing to guide candidates to answer questions through practical problems solving techniques, come up with different solutions and opportunities for further discussion. The interview was a great way to communicate with professional people in the finance industry.

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Have you had an interview yet? If so, was your experience similar or different? Share your thoughts and comments.

Bloomberg visit- women have more influence on the economy than men!

He is one of Bloomberg’s top economists.

He predicted the 2008 financial crisis in 2007.

He was hailed as “Nostradamus of the Financial Industry” by Bank Advisor in 2008.

His name is Richard Yamarone. Mr. Yamarone recently visited North Carolina State University and talked with Financial Math students about career paths in Wall Street, and well as outlook on the economy.

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Mr. Richard Yamarone started his speech by talking about how to prepare for jobs in Wall Street. He stressed the importance of networking, pointing out that even your classmates and alumni are great resources to socialize with. He also stated that grades may not have much impact on your career developments. Instead, your transferable skills and personal ability matters more and should be highlighted in your resume and interview.

In terms of preparing for interviews, Mr. Richard Yamarone suggested that we should read the news everyday to keep up to date on the latest trends and news in the industry. He also discussed the tough job market and getting used to rejection. He shared his personal experience as an example, and how he landed a job in Wall Street.

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Later, Mr. Richard Yamarone changed his topic to indicators for economic forecasting. He believes that there is no holy grail of economic indicators but the ‘Fab Five’ indicators he summarized may shed some lights on predicting. The ‘Fab Five’ refers to:

(1) Dining out

(2) Casino Gambling

(3) Jewelry & Watch

(4) Cosmetics & Perfumes

(5) Women’s Dresses

Yes, these are all related with women’s consumption. Mr. Richard Yamarone concluded that women have high influence on the economy not men!

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Thank you, Mr. Richard Yamarone for your wonderful and enlightening presentation!

Share your thoughts- Do you think women have more influence than men on the economy? Do you think grades matter or not?

-Xiaohong Chen, May 2015 Graduate, Career Ambassador