“Meet our Financial Math Alumni Series”- Meet Sai Raman

"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.

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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
LinkedIn.

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Thank you Sai!

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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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!

Database trends in financial services that quants should know

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Recent trip to New York City included a small alumni meet-up and Data Summit 2014. At Data Summit 2014 we learned about several database trends in financial services well beyond the popular RDBMS (relational databases) including Hadoop Big Data Platforms, NoSQL, NewSQL, and in-memory databases.

Quants know SQL, and it's important for them to be aware of the above database trends and what's driving them in financial services - such as risk analytics and reporting, market data feeds, high frequency trading, regulation, among other use cases driving demand for high volume and scalable, specialized databases.  While many quants are proficient in programming, it's not reasonable to expect them to learn each programming language driving these technologies to access data (Erlang, Javascript, C#, Java, etc).  This is not unique to quants as we're seeing SQL enable wider adoption of the Hadoop Big Data Ecosystems.

Sumit Sarkar of Progress Software (Gold sponsor of our program) talks about how professionals such as those in quantitative finance can easily work with data in the growing landscape of highly specialized database technologies, MongoDB for example, using standard based SQL interfaces such as ODBC and JDBC.

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(Alumni Left to Right- Emmanuel Sanchez with Allianz; Director of Career Services, Leslie Bowman; Yoshi Funabashi with Credit Suisse; Brandon Blevins with Credit Suisse)

Keep a lookout for their  "Meet our Financial Math Alumni" interviews.

We will be back again in October, 2014- so all NYC alumni, plan for another fun gathering!

Staying in contact with alumni

Rockefeller Center, NYC

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On our last trip to New York City in October, 2013 for the annual IAQF Career Fair (http://www.finmathjobfair.org/), we got the opportunity to meet up with several alumni who work in the city. Keeping in touch with alumni is important for many reasons and we are glad to catch up on their latest news and career successes at Credit Suisse, JP Morgan Chase, Allianz, A.R.T. Investors, Centerbridge Partners, etc.

(Below left to right, Christian Wypasek, Jeff Scroggs, Leslie Bowman)

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(Below left to right, Leslie Bowman, Jeff Scroggs, Stephen Zhou- 2002, Emmanuel Sanchez-2004)

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(Below left to right, Miao Yu- 2008, Jeremy Smith- 2010, Jeff Scroggs, Leslie Bowman, Cheng Chen-2012, Xuan Fu-2013, Samuel Busch-2013)

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We look forward to our next trip to New York and future alumni meet ups!