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

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

***************************************************

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

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

Database trends in financial services that quants should know

Image

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.

Image

(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!

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

*****

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

Image

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.

Image

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.

Image

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.

*****

"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

 

NC State’s Financial Math 10 year anniversary celebration

On Friday, April 25th 2014, NC State's Masters of Financial Math program celebrated it's 10 year anniversary. Alumni, employers, faculty and current students enjoyed an evening together catching up, networking and enjoying authentic Szechuan cuisine in SAS Hall. Big thanks to our sponsors: Andrew Davidson & Co., Progress Software , and The Sloan Foundation.

Below are a few pictures that captured the fun event.

Image

Image

Image

Image

Image

Image

Image

Image

Image

Image

Image

Image

Image

Image

Thanks to everyone that came!

Keep a lookout for an upcoming post on the recap of the Alumni Panel discussion that proceeded this event.

NC State's College of Science article about the Financial Math program

Photography- Michael Zirkle

Music- Bruce Emery

These students made it through the rigorous Financial Math program at NC State

Image

(Left to Right- Xue Miao, Xinyuan Huang, Director- Jeff Scroggs, Director of Career Services- Leslie Bowman, Zhe Wang, Zhexing Zhang, Meenakshi Ramchurn, Sohaila Shaukat). Not pictured- Rana Kashif, Haozhi Wei, Zhengran Zhou, Samuel Busch, Kathy Varga, Xiangju Wang, Cheng Yu, Shihao Zuo, Meng Yang, Wen Zhong, Ying Xu)

The students (pictured above) proudly graduated on May 9, 2014 and received their Masters in Financial Mathematics (MFM) degree. They are excited and happy to achieve this meaningful accomplishment. Their hard work and long hours of studying paid off!

Sohaila Shaukat shares more details:

What was the most rewarding assignment or project of the program?
"The most rewarding project of the program was the one we did on asset pricing in 'Computational Methods in Economics and Finance' course. The project solidified my interest in derivative pricing and helped me build on what I had previously learned in Monte Carlo Methods for Financial Mathematics and Asset Pricing. Also, this added a lot to my resume, as employers are constantly seeking people who can build financial models and have a little bit of experience in it. It was also the reason I landed with an internship over the summer with Tata Consultancy Services."
What was the most interesting or favorite course and why?
"Most of the courses were rewarding. But my two most favorite courses are 'Computational Methods in Economics and Finance' and 'Time Series Analysis'. Both are difficult courses with brilliant professors, and helped me enhance my skills in data modeling, derivatives pricing and financial modeling. These courses also introduced me to R-programming and enhanced my skills in Matlab."
How many hours a week did you spend studying (on average)?
"I studied 20 to 30 hours per week on average. 20, when we didn't have to submit assignments in every course, and 30 or more usually when exam week/ mid terms are near."
Anything you would have done differently throughout your time here?
"I would have worked harder on the courses that involved a lot of Statistics and Stochastic Calculus. Since I had a non-mathematics background, I should have spent a lot more time on them. Also, I would have started applying for full time positions in July, 2013, instead of delaying it till January, 2014. This is because most major banking/wealth management firms hire their graduate trainees between July to December."
Sohaila's hard work paid off since she had several interviews and received a job offer. Look forward to a future post about her story.

Image

(Xinyaun Huang, Xue Miao, Zhe Wang, Zhexing Zhang)

Image

(Sohaila Shaukat, Director, Jeff Scroggs, Meenaski Ramchurn)

Image

(Time to celebrate!)

We congratulate them and wish many, many years of success!

To learn more about the program: Financial Math program details

 

Financial Math Job Shadowing Program- first event!

"In efforts to add more career development programs for Master of Financial Math (MFM) students, I developed a job shadowing program for selected students to assist with their career planning and goals.  Job shadowing experiences allow students to learn more about a particular career field of work and observe first-hand how professionals spend their day. Through informational interviewing, students are able to ask specific questions about career paths and jobs that they may (or may not) picture themselves working in the future. The job shadowing experiences also provides students the opportunity to network and develop important connections."- Leslie Bowman, Director of Career Services

Local Government Federal Credit Union (LGFCU)- First Financial Math Job Shadowing Employer

Image

(Left to Right- Xiaohong Chen, Jing Lan, Changyi He, Lei Mao - all May 2015 Graduate) In the Lobby at Local Government Federal Credit Union, Raleigh, North Carolina

In continuation of efforts to give students greater exposure to the real world, a visit to Local Government Federal Credit Union (LGFCU) was arranged by the Director of Career Services, Mrs. Bowman, with the help of Mr. Sander Casino, Vice President of Finance at LGFCU and Board Member of the Financial Mathematics program at NC State.

IMG_1894

Entering Local Government Federal Credit Union- Lobby

Four students  plus two Financial Math interns including myself (Priya), were eager to learn more about the banking industry; specifically, how credit union works. On our visit to LGFCU, we got the opportunity to have round table discussions with the Vice President of Investment and Vice President of Risk Management, along with Mr. Casino.

Mrs. Renee White, Vice President of Investments, started the presentation with an elaborate discussion on the credit unions’ investments. Her dedication to her job was evident and she inspired intelligent questions from the students. Answering each of the questions, she also gave an insight into what the future of the bond markets looked like.

LGFCUjobshadow3

Mrs. Renee White's presenting the credit union's investments.

This was followed by a presentation on risk management by Mr. Gary Schuette, Vice President of Risk Management and Strategy. His passion for implementing the most optimum risk management techniques kindled an urge amongst the students to know more. Mr. Schuette graciously submitted to the student’s requests and explained his work and the field of risk management in further details.

Mr. Casino was present through the meeting to answer any further queries from the group. It was through his encouragement that the visit was made possible and he made sure that it was a success. Among the various topics he discussed, was the difference between commercial banking and credit unions. The spirit of community that credit unions inspire and the resulting model of sustainable banking through community involvement gave an insight into how fulfilling working at LGFCU must be.

LGFCUjobshadow

Mr. Gary Schuette's presentation on risk management. Mr. Sander Casino, MFM Board Member on the right.

As the meeting came to an end, we could not help but wish for further information and time with these seasoned professionals, who despite their busy schedules had been kind to allot time for the job shadowing visit. Thus, representing the very spirit in which LGFCU works.

In conclusion, the visit to LGFCU was insightful and helped all of us with our career plans. It was a valuable in-person learning experience. A few students in the group who envision working at LGFCU or a similar environment plan to keep in touch with Mr. Schuette, Mrs. White and Mr. Casino.

LGFCUjobshadow2

Great visit with Local Government Federal Credit Union- thank you!

We are grateful to Mrs. Bowman, Director of Career Services,  Dr. Scroggs, Director of the Financial Math program and Mr. Casino and LGFCU for providing us this opportunity.

Written by- Priya Padher, May 2015 Graduate, Financial Math Intern

 

Staying in contact with alumni

Rockefeller Center, NYC

Image

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)

Image

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

Image

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

Image

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

Welcome to NC State’s Financial Mathematics Blog!

"This blog is dedicated to all things related to NC State’s Masters of Financial Mathematic (MFM) program. This blog will feature posts from the Director, Dr. Scroggs; the Director of Career Services, Leslie Bowman; and current students including Career Ambassadors. Occasionally, local employers and MFM alumni may post content too. Keep checking back for up to date information, news and events of the growing and successful MFM program at NC State!"- Leslie Bowman, Director of Career Services

"I am pleased that NC State Financial Mathematics now has it's own blog.  This is an exciting time for our program.  Recent developments include the addition of Leslie Bowman, Director of Career Services, new courses, and companies opening offices in Raleigh.  I look forward to using this web space to explore these developments, and I hope you (the readers) enjoy reading about them." - Jeff Scroggs, Director