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.

 

Fantastic Diverse Class of Students Starting Fall 2016 in the Financial Mathematics Program

Message from the Director...

Fantastic Diverse Class of Students Starting Fall 2016 in the Financial Mathematics Program

Class of 2016-2017

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.

Huanying – Welcome – Swagat

Prof. Scroggs

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!

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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Financial Math socials- a fun break from the rigorous coursework

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In the midst of the busy life with assignments and projects, Financial Math students have the opportunity to take a break with social events scattered throughout the semesters. The socials are fun and act as stress busters in between long hours of studying. More importantly, the socials bring everyone together and allow the students to bond outside the classroom.

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Last Spring 2015 semester, our Director of Career Services and Director hosted events such as bowling, Chinese New Years potluck and a spring picnic with team games. The Financial Math program does a great job of ensuring all students enjoy their time at NC State.

We had a great time and look forward to future Financial Math socials Fall and Spring semesters. Thank you Leslie & Jeff! - Preethi Kankanala, Financial Math Intern, December 2015 Graduate

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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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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!

Congratulations December 2014 Financial Math Graduates-100% placement!

Congratulations to our small, but successful December 2014 graduating class! These students hard work paid off as they enter the work world in January, 2015. Reshmi Paul will be working at T.Rowe Price, Changyi He will be working at Deloitte and Liye Wang will move back to Beijing, China to work for a commercial bank. We are proud of you and wish you all the best of luck!

Left to Right- Liye Wang, Leslie Bowman (Director of Career Services), Jeff Scroggs (Director), Changyi He. Not pictured- Reshmi Paul

Left to Right- Liye Wang, Leslie Bowman (Director of Career Services), Jeff Scroggs (Director), Changyi He. Not pictured- Reshmi Paul

"I enjoyed my time at NC State's Financial Math program. The people are nice and the program gave me a lot of opportunities to network with professionals, as well as learn practical knowledge on how to apply mathematics to the finance industry."- Changyi He

"The Financial Math program is excellent in combining financial knowledge, mathematics, and programming. It provides us the tools to help us be successful with our future professional careers."- Liye Wang

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

Bloomberg terminal for Financial Math students

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

The Bloomberg Terminal is a computer system provided by Bloomberg that enables professionals in finance and other industries to access Bloomberg Professional services through which users can monitor and analyze real-time financial market data and place trades on the electronic trading platform. Most large financial firms have subscriptions to the Bloomberg Professional service.  I am please to tell everyone that last spring NC State's Financial Math program received a Bloomberg Terminal!

So you may ask- what could you do with this Bloomberg Terminal? I have listed three most important features students may have interest in:

1) Market data: The most well-known function of Bloomberg terminal is the real-time financial market data, namely security values. This includes the data for stocks, fixed-income securities, derivatives, and foreign exchange. This function is powerful that one can even view historical pricing, read a description of the business, and view analyst reports.

2) News: The Bloomberg terminal can offer you the real-time news. By typing “NEWS” in the search bar, one can get the latest financial or non-financial news headlines from all over the world. The Bloomberg terminal also has job search function built inside of it. And you can filter by position and location to help pinpoint the right career that suits your needs.

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3) Education: If you are a beginner, don’t worry because Bloomberg terminal offers a lots of ways to help you learn it. You can choose to take Bloomberg Essentials Online Training program, which is designed to provide users with an introduction to the Bloomberg Professional Service. You can also find other seminars and events in Bloomberg University. And when you have no idea about how to use a terminal properly, Bloomberg services offers free help via phone and IM chat 24 hours a day.

Current students- are you excited about it? Don’t wait. Just go and play around with this powerful tool, and you will find more surprising features.