Baruch MFE Quantlab

The program has the ability to change lives.
Submitted: 1/30/12
Score: 10/10

Unique about this program
The personal attention given by the program director is something I have not seen at any other school. In addition the commitment of the alumni to help grow the program is outstanding whether it is in monetary terms or in terms of employment opportunities. Not only do the alumni assist from the outside, they come out to the events that are organised by the program. A really good friend that I made after coming to this program was someone who graduated before me. There are MANY great qualities to this program but that is what I think might be a bit unique although many schools have great alumni who help out a lot. The usual.. great placements..great job opportunities are not unique because all the top 3-4 programs provide this.

The program not only prepares you for a wall street career by giving u education but also psychologically.

Worst things about the program
This question is a bit strange in my opinion. There was nothing that I would say I “hated” or would consider “worst” but there were some things that could be improved. The question before should have been what is “good” about this program. The two part stochastic calculus requirement can be a bit cumbersome on students who are not really interested in becoming heavy quants. It would be nice to have the first part as requirement and the second as optional. The course when I was taught was by a very mathematically oriented person leading to very minimal real world examples in my opinion. The course is taught in a three professor rotation so maybe the other professors are great.

From what I have heard this is something that is actually being looked at. Other than that I really have no complaints about this program. I was treated well, I was helped whenever possible with any queries and I made some great friends in the program.

Career services
This is probably the best thing about the program. I was someone who had no finance or business experience before I came here. I was an engineer and had mostly engineering experiences. The placement services in my mind are outstanding. I had several internship interviews and offers through the program although I chose to go with an offer that I attained myself. 
The way the career services primarily works at Baruch MFE is through Dan Stefanica. We get emails around recruiting season and a few during the off-season with jobs from alumni/contacts/recruiters/firm hr/etc. The email usually asks us to send our resumes to Dan and then he takes care of it. There were students in my year who got interviews to position they never even applied to. It is a true “placement” system. You send your resume to Dan and you show up prepared for the interviews. 
We now have companies who have made us a target program and the MD’s come and try to recruit us personally with talks and presentations. Dan also hand picks students who he knows will succeed so if you get the interview you most likely will get the job because the program prepares you well. 
When I was there, Morgan Stanley and JP Morgan came onto campus and gave us a talk for their quant program. We went to UBS and got a presentation from them. 
I am told now that many other quant programs of different firms are coming on campus to recruit us and the procedure has got a bit more structured where we have to apply on their website and the resumes get sent through Dan and the university recruiting system. 
The best part is that, the jobs are not just entry level positions. Several jobs at senior level are sent out too since as an alumni you are put on the mailing list and anyone can apply even 5 years after graduation. Hedge funds, software and technology companies, investment banks and prop firms are all part of the firms that recruit with us now. There were a few students who got full-time positions through the career services within the 2nd semester in the program and switched to part time. There are people who are working in algo trading,research, risk management, software development, etc from my year.

I chose to go work for an investment bank for my internship out of several offers, where I was given a full-time offer for after graduation. I worked as a trading assistant at a hedge fund during the school year before I went over to the bank. There were two more in my year who got part-time jobs at financial firms in their first or 2nd semester.

The program has great career services and I can only see it getting better.

Students
I spoke about the student body above. I have been fortunate enough to make some good friends. The two friends that I hang out regularly since I graduated include one who was in my year and another who graduated before me from the same program. There was a lot of competition between students in my year but I am sure that is everywhere.

I am a recent graduate of the program and thought I would provide my perspective in the hopes of informing prospective students as well trying to improve the experience. The program’s strengths revolve around a very committed academic environment. Students work very closely with one another and have constant interaction with professors. Professors are always available and have a very good sense of how students are developing through the program. To me, this is what really separates Baruch’s program from its peers. There is a constant push from professors to improve, and I get the sense that professors take great pride in their students’ development. This is aided by a relatively small class size and stands in contrast to many other MFE programs where professors sometimes view teaching as a tertiary concern.

The course selection is well done. There is a basic pricing and programming class, and two semesters of numerical methods (monte carlo, trees, pde’s, every possible way to decompose a matrix…). The numerical methods courses are very C++ heavy, and I learned to love the cruel mistress of objected oriented programming. There are more topical courses, such as risk management, structured finance, and market microstructure. The largest departure from the standard MFE curriculum is the two semesters devoted to probability/stochastic calculus. This tends to be more than other programs do. While perhaps somewhat theory heavy, it does give students a very strong mathematical background, and with the addition of Gatheral to the faculty, allows students to fully appreciate stochastic volatility. The more topical courses tend to be taught by industry professionals, who then often recruit promising students for positions.

Placement is good. There are plenty of statistics on this, and I don’t think they need to be rehashed here. I will say that career services tends to be somewhat informal, with much of the actual placement coming from the program director, Dr. Stefanica. The advantage of such an arrangement is that he has a very good sense of a given student’s strengths and interests and is therefore able to place students in appropriate positions. I think as the program continuous to mature this process needs to be formalized and perhaps some of the work shifted to another professor or dedicated resource, as the current process seems hard to scale.

I have only one major complaint about the program, which is the lack of a formal statistics/econometrics class. This may be changing soon with a statistics class added as an option for Fall 2011. There was a three-day stats seminar that many students attended, but I don’t believe that one can really absorb such a topic in 10 hour marathon sessions. For prospective students, I would try to learn this outside the program.

Excellent students and faculty
Submitted: 5/11/11
Score: 8/10
Would you recommend this program to a friend: Yes

I believe the quality of the students and faculty represents the core strength of the program. From my experience, the students are intelligent and competitive but not to the point where it hinders collaboration. I truly felt that all the students from my cohort were willing to take the time to help one another. It’s easy to see that the faculty enjoys teaching and are there to ensure that students really learn and acquire skills needed for employment.

Reviewer’s background:
My educational background was originally in electrical engineering and materials science. I worked in the semiconductor industry for a few years before deciding to enroll in the Baruch MFE program in the hopes of switching my career to finance. I chose Baruch since I felt that it provided the best value, given its high job placement rate and low tuition. I was also very impressed by the fact that the program director was genuinely interested in the success of his students.

The following review was submitted on 1/14/2011 by a student who studied full-time in the program from 9/2009-12/2010
Can you tell us a bit about your background?
I entered the program straight out of undergrad in finance, with 2 years of part-time experience in consulting. My math and programming knowledge was coming mostly from high-school. GRE: V450, Q790

Why did you choose this program?
Strong syllabus, good location, low tuition.

Tell us about the application process at this program
Application process was smooth; everyone I had to contact was very nice. The online application tracking system is very helpful

Does this program offer refresher courses for incoming students? How useful was it?
Refresher courses are very useful. I kept referring to my notes from refreshers throughout whole program.

Tell us about the courses selection in this program. Any special courses you like?
The course selection is very well structured, if not that flexible. Since I am coming from financial background, my favorite classes were those which concentrated in finance more that math or programming. Two very best classes were Pricing of Financial Instruments and Structured Finance.

Tell us about the quality of teaching
Teaching is done by both practitioners and academics. All professors were available to help students, regardless of whether they work in the industry or not. Mostly I was using Lecture Notes, taken or provided by professors. Lecture notes provided in Probability and Stochastic Calculus were very helpful

Programming component of the program
Mostly C++, some VBA. We had a separate class for OOP in C++. Also program offers many weekend workshops where students can pick up basics of other languages

Projects
Everyone in the program has to do a Capstone Project, which depending on the student’s preferences can involve more programming or research. Project can be done individually or in groups.

Career service
Career service is amazing. Professor Stefanica is doing great job of placing his students for both internships ans full time positions.

What do you like about the program?
There are many great things – curriculum, professors, students. The thing I like most is that MFE students have a separate library, which has all the necessary books and where we could all study together.

What DON’T you like about the program? What changes would you like made?
Some of the courses are taught by multiple professors, which makes material less structured. As I mentioned, there was little flexibility. If you were a FT student in my year you had no choice for first two semesters. I know it is changing now, and I think it’s great.

What are your current job status?
Research analyst

On a scale of 1 (lowest) to 10 (highest), how would you grade this program?
10

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The following review was submitted on 1/13/2011 by a student who studied part-time in the program from 9/2007-12/2010

Can you tell us a bit about your background?
no extensive background in math, but met the application requirements.
degrees in finance and banking, international business.
4.0 GPA
worked as a strategy consultant

Why did you choose this program?
Very tough to get into, great reviews on the PT track. I didn’t apply to other programs

Tell us about the application process at this program
Pretty straightforward – make sure you have everything required for the application, attend the info session. then submit everything and hope you’re called in for an interview. do well on the interview and hope you get an offer. worked well in my case ;]
I used QuantNet, general reading, personal contacts to learn about the program

Does this program offer refresher courses for incoming students? How useful was it?
A must, at least for this program. Everyone who took it, regardless of their background, were happy to have taken it.

Tell us about the courses selection in this program.
I like the combination of courses covering the fundamental concepts, and the more practical classes. the former were rather tough at times, but surviving those made the practical courses much more enjoyable.

Tell us about the quality of teaching
Combination of academics and practitioners, with “more academic” professors mostly assigned to early classes in the program (e.g. probabilities, linear algebra, etc).
always ready to help, during and after the class.
TA are very helpful, partly because many had been in current students’ shoes themselves.
Teaching materials are a combination of traditional textbooks, additional reading and instructors’ own materials.

Programming component of the program
C++ is the king/queen in the program, with occasional use of xls/VBR. 2 classes dedicated to C++, plus numerous assignments that require C++ skills

Projects
Projects tended to be rather practical, not much pure academic research. At times involve coding, but coding did not serve as a goal in and of itself. Quite a few trading strategy projects, risk management, and related areas. Mostly group projects, but some professors insisted on individual assignments.

Career service
Extremely helpful, and that’s an understatement. The Director is personally involved in each student’s success with getting an internship and a job. Tons of helpful seminars, postings, and relevant information.

What do you like about the program?
Strong values
Student body that is helpful, respectful, not arrogant
Value

What DON’T you like about the program? What suggestions would you have?
With so many activities and projects, the staff looked a little overwhelmed/overworked at times. Work on improving the brand recognition, though that’s definitely a matter of time at this point.

What are your current job status?
Employed FT, Head of Financial Services Team at NYCEDC

On a scale of 1 (lowest) to 10 (highest), how would you grade this program?
9

Other comments?
Overall, it’s been a great experience, very happy to have chosen and gone through the program.

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The following review was submitted on 1/11/2011 by a student who studied part-time in the program from 9/2006-12/2010

Can you tell us a bit about your background?
Worked in finance for 8 years. BBA from Baruch

Why did you choose this program?
Liked the program director, very impressive from first time meeting him. I didn’t apply to other programs

Tell us about the application process at this program
Liked the program director, very impressive from first time meeting him

Does this program offer refresher courses for incoming students? How useful was it?
Yes refreshers are offered for about $2000. They’re great but tough as heck

Tell us about the courses selection in this program. Any special courses you like?
I was allowed to take some interesting classes in addition to the required ones which was great for someone like me. I like finance but I did not want to spend my entire program debugging C++ code or doing tough as nails Math if there was no finance that was shown by the instructors. Dan was really good about making sure that this was not forgotten in the classes he taught.

Tell us about the quality of teaching
Dan is great at teaching in general and specifically in the subjects he taught such in intro to pricing and numerical methods and PDE’s. I had the privilege of taking a class with the late Professor Neftci and it was unbelivable, he was really great at teaching.

Programming component of the program
C++, there is a dedicated class. I suck at programming so I spent quite a bit of time

Projects
Group work in class which helps students learn together, reall sense of togetherness here which is much better than the experiences I heard from other students.

Career service
Dan is always available(program is larger now so I get a response to my emails within the hour as opposed to 1 minute ). The placement is great, even during financial crisis most students were able to get internships and jobs. I did not need this service specifically though my resume getting tweaked led to more interviews when I needed them but the career service was definitely available.

What do you like about the program?
Very small group like atmosphere where everyone knows everyone (not a cog in a wheel). You can make lifelong friends (I have) and especially networking contacts. People have gotten jobs/interviews just by knowing each other because you work together and see each others strengths and weaknesses.

What DON’T you like about the program? What kind of changes would you make if you were in charge?
Some classes can be taught too theoretically without remembering finance. It might be beneficial to have the theoretical stochastic calculus taught by a professional from the industry rather than a “math” person

What are your current job status?
I work full-time for an investment bank in risk management

On a scale of 1 (lowest) to 10 (highest), how would you grade this program?
10

Other comments?
Great program, I always recommend to people looking to go into financial engineering

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The following review was submitted on 8/21/2010 by a student who studied full-time in the program from 9/2008-12/2009

Can you tell us a bit about your background?
Education: BA Mathematics
Prior work Ex: approx 1.5 years

Did you get admitted to other programs?
NYU Math Finance

Why did you choose this program (over others, if applicable)?
There were two deciding factors: close attention from the faculty (Dan comes on strong), and superior teaching. Other programs I observed had, what I considered to be a very poor learning environment.

What alternative sources of info you used to learn more about the program?
Quantnet, information sessions, sitting in on classrooms, talking to students & alumni, talking to instructors

Tell us about the application process at this program
Application process was straightforward and responsive.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
8

Does this program offer refresher courses for incoming students? How useful was it?
Baruch has refresher courses, although “refresher” is a misnomer. They are stand-alone courses of their own, which cover material you are not really expected to have known previously, although they will probably be a real challenge if you haven’t learned those subjects before. When I took them, there was some push back from students who also had full-time jobs (even part time admits take four days a week of refresher courses!) and found it very difficult to keep up.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
8

Tell us about the courses selection in this program. Any special courses you like?
When I attended there were roughly 14 courses of which you took 11 and a capstone (give or take one course). I felt at the time that the offerings were somewhat restricted and narrowly focused; if you had an interest in algo trading, there was nothing for you. However, if you had an interest in equity options, this program was perfect. Now, they have broadened the offerings somewhat, so you have more flexibility in this regard.

I felt that Sylvain’s courses on structured finance were very instructive, since they were project based. I also benefited greatly (at large personal cost, given how demanding it was) from the programming courses.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
4

Tell us about the quality of teaching
The quality of teaching was variable. Some instructors were very good, whereas some were too busy to prepare for class, or did not structure the curriculum well, or did not answer questions and were generally unavailable. As a result, more than one course in the program yielded little benefit to me or other students, who were quite vocal about this problem.

On the other hand, some courses were very demanding and I learned a great deal, which continues to be useful in my work. (For the doubters, that includes Stochastic Calculus.)

TAs were extremely helpful and responsive. The other students are also very collaborative and provide assistance on homeworks.

The support from TAs in each class is great and an invaluable help to comprehend better the class work.

On a scale of 1-10, how would you grade the quality of teaching?
8

Materials used in the program
All the books are shown on quantnet (master reading list for MFE students)

On a scale of 1-10, how would you grade the practicality of the curriculum?
8

Programming component of the program
C++ primarily. VBA and R were also used at times

The programming component is very intense. However, pedantic programming instruction is minimal, and (in my opinion) not important. It seems to me that the biggest determinant in what you get out of the programming courses is what you came in with; I had a strong background in programming and learned a great deal, and it earned me a great deal of attention from employers. On the other hand, students who came in with weak programming skills struggled but did not receive adequate support to improve, in my opinion. Unfortunately, the only way to become a good programmer is to devote significant time to it, and this is not easily taught.

Projects
We did a number of individual and group projects. In our C++ course we did a PnL calculator for stocks and bonds, and a series of projects based on Mark Joshi’s options book (highly recommended). We also programmed a linear algebra library for the linear algebra course. For structured finance we programmed a deal using excel & VBA. For a handful of other courses, we used R (or our language of choice).

Career service
There is very good career service, with good placement and close attention. Placement is a very high priority.

Of course, this was a challenge when I was a student and few positions were open. Nonetheless, Dan devoted significant time and resources to opening new avenues of hiring.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
9

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
Students did form ethnic groups, but also interacted a great deal with the larger student population. Since the program is so small, everyone fits in a room and works together, which breaks down those national barriers.

What do you like about the program?
The intensity of the program is crucial to its success. It strains personal relationships in particular in the first semester for full-time students. However, you move quickly up the curve and resources are there for those who want them. Given its small size and value placed on enterprise, a student who decides to take leadership and responsibility is rewarded with it, in the classroom and in the community. However, you will be allowed to languish if you choose not to participate.

On a scale of 1-10, how would you grade the value of the program for the price tag?
10

What DON’T you like about the program?
The rest of my review has a number of criticisms; inconsistency of teaching and course material was my biggest objection.

Suggestions for the program to make it better
Since I have left, I think many of my peeves have been improved. Furthermore, there are many proposals and countervailing opinions floating around among the faculty of their vision for the program. These are suppressed now; it would be best to listen to them both to increase faculty satisfaction and to improve the coursework from seasoned practitioners and educators.

On a scale of 1-10, how would you grade your experience in the program?
9

What are your current job status? What are you looking for?
Employed as quantitative analyst

On a scale of 1-10, would you recommend this program to others?
10

Other comments?
What you put into any masters program is what you get out. Baruch MFE gives you a path for success, but you must apply yourself, and selectively choose what is important to learn and what interests you. (Presumably much of it interests you as you chose to attend the MFE). It will always be a mistake to choose an “Easier” course at this level of education (solely for that reason); the goal should be to maximize exposure to topics and improve your skills; leverage other students, the school’s resources, faculty. Again, Baruch has those available, so use them.

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The following review was submitted on 8/17/2010 by a student who studied full-time in the program from 9/2007-5/2009

Can you tell us a bit about your background?
French engineer, started my career as an Information System consultant at Altran. A couple of years ago, moved to NYC to start the MBA Honors program at Baruch College, worked for Citigroup, CSFB. Realized his interest for financial engineering so completed the MFE at Baruch and works as a structured finance quantitative analyst at Vero Capital since then.

Did you get admitted to other programs?
Did not apply to other programs.

Why did you choose this program (over others, if applicable)?
Top program from a public university.

Tell us about the application process at this program
No issue, the application process was very smooth.

Besides the program’s websites, what alternative sources of info you used to learn more about the program?
While completing my MBA at Baruch, interacted on several occasions with the MFE body, attended lectures.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
10

Does this program offer refresher courses for incoming students? How useful was it?
Yes, extremely useful. Besides the obvious material value, those refresher courses are a great way to meet and get familiarized with the student body, the school system, professors within a relaxed and friendly set of interactions. Although the material cover in such a short time requires some non negligible work.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
10

Tell us about the courses selection in this program. Any special courses you like?
The courses selection in this program are excellent and some classes are presented by practitioners which gives an invaluable insight on the job world outside the theoretical environment.

The excellent structured finance course work presented by Sylvain Raynes is unique among MFE programs.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
10

Tell us about the quality of teaching
Practitioners are dedicated and surprisingly accessible for the students given their professions.

The support from TAs in each class is great and an invaluable help to comprehend better the class work.

On a scale of 1-10, how would you grade the quality of teaching?
10

Materials used in the program
Textbook used in the program are the usual top teaching material.
For some classes, the Professor being also a published practitioner, it made sense to use his book which is a great complement to notes.

On a scale of 1-10, how would you grade the practicality of the curriculum?
10

Programming component of the program
The official language of the program is C++, all classes will have coding homework/projects in C++.

Excel/VBA will be the second language.

Projects
Both individual and group projects were assigned.

A “capstone” project to be completed during a semester is a more consistent and require a great amount of work and dedication, but very rewarding in terms of learning and experience.

Career service
The Baruch MFE provides a great internship and full time placement service through the great connection and reputation of it s alumnus and professor body.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
10

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
The MFE program at Baruch is like an extended family. The class size is relatively small and we formed a great group inside the larger Baruch College cohort.

What do you like about the program?
I liked the challenging and great quality of the learning, the great interaction with professors, TA and students, facilitated by an online forum tool used for classes, but also other topics such as members helping others in their area of expertise.

The students have all great human qualities and the general atmosphere is not so much competitive but rather everybody helping out to get all learn the most and the fastest.

On a scale of 1-10, how would you grade the value of the program for the price tag?
10

What DON’T you like about the program?
I have to admit that I did not enjoy too much the logistics for some classes.
Those non-core classes very popular were packed and it was sometimes bothering me to be squizzed in inappropriate size classrooms. I believe that this was quite a long time ago and with the rising popularity and success of the MFE program within Baruch, more and larger classrooms are available now.

Suggestions for the program to make it better
The Director is the greatest asset of this program, he is doing a remarkable work. I may try to talk to the Dean in order to better organize the logistics for those few very popular classes.

On a scale of 1-10, how would you grade your experience in the program?
10

What are your current job status? What are you looking for?
Structured finance quantitative analyst

On a scale of 1-10, would you recommend this program to others?
10

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The following review was submitted on 1/11/2010 at 12:39:15 by Roger Trimble who studied full-time in the program from 9/2008-12/2009

Can you tell us a bit about your background?
BS Mechanical Engineering, West Point, 2001. Five years active duty in the U.S. Army as a cavalry officer.

Did you get admitted to other programs?
I was also admitted to Columbia MSOR.

Why did you choose this program (over others, if applicable)?
I basically had a choice between an MS in Operations Research at Columbia and an MFE at Baruch. After a challenging interview with Professor Stefanica, I realized his vested interest in maintaining a world-class program at Baruch. I was genuinely impressed with his level of involvement, and knew that was where I wanted to earn my master’s degree.

Tell us about the application process at this program
I followed the published directions and no administrative problems in the application process. I think I remember the process taking longer than other places, but learned that it is because Professor Stefanica personally reviews every application after it passes an initial filter through the admissions committee. He takes time to interview, in person if possible, each potential candidate. During the interview you get an honest appraisal of your chances as a candidate.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
10

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
Yes, and they are essential. These rigorous courses enable an incoming student to achieve a base level to begin the fall semester. Even though the courses have general names, like calculus refresher and probability refresher, they introduce fundamental concepts in finance that are built upon during the program.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
10

Tell us about the courses selection in this program. Any special courses you like?
For full-time students, the courses are front loaded with the basics one is expected to know coming out of an MFE program. In the second and third semesters there are electives that focus on optimization, market and credit risk, structured finance and statistics. The courses I valued the most were Numerical Linear Algebra, Stochastic Calculus and Statistics for Finance. Although the program offers an array of electives, students are free to take courses from the business school.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
8

Tell us about the quality of teaching
Most of the elective courses are taught by practitioners, which provide diverse exposure to how concepts are applied in industry. The only classes where an active TA was important was in Probability and Stochastic Calculus. Otherwise, close interaction with fellow students and professors was sufficient to learn the material.

On a scale of 1-10, how would you grade the quality of teaching?
8

Materials used in the program
Shreve for Probability and Stoch. Calc. Otherwise, courses reference multiple texts and are mostly taught from lecture notes.

On a scale of 1-10, how would you grade the practicality of the curriculum?
10

Programming component of the program
The official language of the program is C++. However, there is opportunity for one to learn many other languages like VBA, R, Python, Perl, .NET, Java, Matlab.

Projects
Most projects are group oriented and depend on the nature of the subject. Market Risk and Advanced Computational Methods involved trading simulations. However, most of the home work assignments are projects in nature.

Career service
Professor Stefanica is fully vested in this process. He is integral ( and tireless ) with regard to internships and full-time placement.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
10

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
Due to the small class size, each year group develops cohesive bonds. Every one admitted into the program is qualified to be there, so there is a high level of respect between students from the beginning.

What do you like about the program?
Hard work is rewarded with career opportunities.

On a scale of 1-10, how would you grade the value of the program for the price tag?
10

What DON’T you like about the program?
Some of the elective courses are taught by multiple practitioners, which in some cases dilutes the depth of instruction. But this is a case-by-case issue.

Suggestions for the program to make it better
Modularize the elective courses to give students more choices and give full ownership of the module to one instructor. The obvious constraint, though, is ensuring there are enough practitioners able to teach the modules, and enough students taking each one to make it worthwhile for the instructor.

On a scale of 1-10, how would you grade your experience in the program?
10

What are your current job status? What are you looking for?
Graduated with multiple offers, and will start working at the beginning of February as a commodities trader for a hedge fund.

On a scale of 1-10, would you recommend this program to others?
10

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This review was submitted on 1/4/2010 16:26:47 by a student who studied full-time in the program from Jan 2004- Dec 2005*

Can you tell us a bit about your background?
I had a Masters in Management Science with computing and had worked in India for 1 year. I had a certificate in portfolio management from NYU.

Did you get admitted to other programs?
Yes

Why did you choose this program (over others, if applicable)?
This was the most competitive and cost effective program

Tell us about the application process at this program
No problems. The response time was great. Dan Stefanica is amazing.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
10

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
Yes they do and the refresher courses were brilliant.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
10

Tell us about the courses selection in this program. Any special courses you like?
I loved the Advanced stochastic calculus, Princples in Fiancial Engineering and the risk management course.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
10

Tell us about the quality of teaching
The teachers are from the industry and give the student a good perspctive on the real world.

On a scale of 1-10, how would you grade the quality of teaching?
10

Materials used in the program
Principles of Financial Engineering – Salih Neftci
The Analysis of Structured Securities – Sylvain Raynes and Ann Rutledge

On a scale of 1-10, how would you grade the practicality of the curriculum?
10

Programming component of the program
C++, Mathematica, Matlab. VB

Projects
Individual and group

Career service
Dan is great is finding opportunities and now with the help of alumni the program is becoming stronger in terms of finding opportunities.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
7

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
Its great.

What do you like about the program?
The love and care is unique.

On a scale of 1-10, how would you grade the value of the program for the price tag?
10

What DON’T you like about the program?
A little more practical training.

Suggestions for the program to make it better
I would not change anything except make it a little more practical so that the students are more marketable.

On a scale of 1-10, how would you grade your experience in the program?
10

What are your current job status? What are you looking for?
Business Development Manager. I am looking to work in Risk.

On a scale of 1-10, would you recommend this program to others?
10

Other comments
I think I have covered everything.

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The following review was submitted on 1/4/2010 at 17:24:31 by a student who studied full-time in the program from 9/2005-5/2007*
Can you tell us a bit about your background
MBA; 3 year working experience (2 non-us; 1 us)

Did you get admitted to other programs?
this is the only one i applied

Why did you choose this program (over others, if applicable)?
1) faculties are easy to access
2) working knowledge oriented
3) cost and benifit consideration
4) location
5) director was pushing very hard so that graduates can get a job (even before graduation)

Tell us about the application process at this program
1) send in all materials
2) schedule a meeting with the director
Initially the situation was tense due to it’s competitive nature, but then it turns out to be a very pleasant experience

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
10

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
I took only C++ in 2005 summer. (they offered probabilities and calculus as well).
I didn’t know how to write “hello world” before I went to the refresher course. After the refresher course, I can write basic application such as curve bootstrapping, matrix solver, etc.
No doubt that refresher course taught only entry level programming skills, but for people(like myslef) who didn’t aim at those hard-core programming type of jobs, the material is enough for someone who wants to descide their career path later (programming- or analytic-oriented type of work)

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
10

Tell us about the courses selection in this program. Any special courses you like
Calibration taught by Salih Neftci in 2006 fall.
Numerical linear algrbra I and II taught by Mayo in 2005 fall and 2006 spring.
Stochastic calculus.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
10

Tell us about the quality of teaching
Theoretical side is a bit weak. but the practical side (computing numbers) is strong
The instructors are always reachable for all kinds of matters. No need for looking for TA.

On a scale of 1-10, how would you grade the quality of teaching?
10

Materials used in the program
Besides some must-buy “big name” text books in the field, papers and notes (published or un-published) from other practioners are used as well. I would say the techniques in the papers are much more helpful in terms of interviewing for a job (provided that you are already 80% comfortable with the material covered in the text books)

Programming component of the program
C/C++ required.
VBA/mathematica if you are interested.
Long in short, i suffered while i was in the program. But I am now happy that i was suffered.

Projects
Implementing/computing projects (option pricer, sensitivities, CDO, VaR, etc) done in C/C++/EXCEL/Mathematica

On a scale of 1-10, how would you grade the practicality of the curriculum?
10

Career service
The director basically asked (haunt) you about the status every time he saw you. He also hooks up a lot of opportunities for you.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
10

What do you like about the program?
I spent 20k on tuition (and roughly another 20k on living expense). I got a lot more than those back first year at work.

On a scale of 1-10, how would you grade the value of the program for the price tag?
10

What DON’T you like about the program?
none

Suggestions for the program to make it better
I would have done nothing different.

On a scale of 1-10, how would you grade your experience in the program?
10

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
Groups get assigned by director based on different background (good chance to practice on how to get along with others even if you dont like them in the real working environment).

What are your current job status? What are you looking for?
Working in a major financial institution as a senior quantitative analyst. At current stage, i am happy about where i am.

On a scale of 1-10, would you recommend this program to others?
10

The following review was submitted on 1/8/2010 at 18:34:34 by a student who studied part-time in the program from 9/2002 – 12/2004*

Can you tell us a bit about your background?
Baruch College BBA in Computer Information Systems, and Minor in Mathematics

Did you get admitted to other programs?
No, I did not apply to any other MFE program

Why did you choose this program (over others, if applicable)?
Same college as undergraduate studies, therefore convenient in many ways.

Tell us about the application process at this program
Easy to apply. Very friendly and helpful people taking care of application process.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
10

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
This program offers these courses. They were quite useful to me.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
10

Tell us about the courses selection in this program. Any special courses you like?
Numeric Linear Algebra was my favorite course. The selection of courses in the program was good.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
8

Tell us about the quality of teaching
The teachers are well prepared. TAs are quite helpful. The athmosphere is positive.

On a scale of 1-10, how would you grade the quality of teaching?
10

Materials used in the program
All good textbooks.

On a scale of 1-10, how would you grade the practicality of the curriculum?
8

Programming component of the program
C++. Enough programming is done to give a good amount of practice.

Projects
Depending on the course, either individual or group projects were assigned. When group projects were assigned, the class was divided in groups with similar overall strength.

Career service
The director of the program puts a lot of effort into helping with the placement of graduates and alumnis. A very good alumni network is available for this purpose as well.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
10

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
I recall networking and socializing with students from all sorts of ethnic backgrounds.

What do you like about the program?
The people in the program (both students, teachers, the director, etc) made the program what it is. There was and still is a positive good feeling being part of it. We became a group of friends, not only colleages at school. Extracurricular activities helped us bond and relax even more.

On a scale of 1-10, how would you grade the value of the program for the price tag?
10

What DON’T you like about the program?
A couple of courses were quite difficult for me, so I ended up needing extra help with them. Of course this was my shortcoming, not the program’s

Suggestions for the program to make it better
It couldn’t be better!

On a scale of 1-10, how would you grade your experience in the program?
10

What are your current job status? What are you looking for?
I am now a consultant for my previous employer on a part-time basis, as I am taking care of my child.

On a scale of 1-10, would you recommend this program to others?
10

Other comments
Quantnetwork is the icing on the cake!

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The following review was submitted on 1/24/2010 at 23:16:25 by a student who studied part-time in the program from 8/2004-12/2006*

Can you tell us a bit about your background?
No previous experience in finance

Did you get admitted to other programs?
No. The only program I applied to, and was admitted to, was Baruch MFE (known as Applied Mathematics for Finance)

Why did you choose this program (over others, if applicable)?
I audited a class and was immediately attracted by the way the instructor interacted with the students. Moreover financially it made the most sense for me at the time.

Tell us about the application process at this program
After submitting my application and being interviewed by Dr. Stefanica, I was informed of my admission to the program.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
10

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
Yes, attended Baruch’s three refresher courses: linear algebrea, advanced calculus and probability. Absolutely a must as the MFE program builds on these courses.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
10

Tell us about the courses selection in this program. Any special courses you like?
Elective courses that I particularly enjoyed:

Risk Management class taught by Dr. Lev Borodovsky (Guest lecturer and co-founder of GARP). Why? the course focuses on the PRACTICE of risk management taught by a leading practitioner.

Structured Finance by Dr. Sylvain Raynes. Why? taught by a practitioner who believes in making a science out of finance, particular structured finance.

Required courses that I particularly enjoyed:
Advanced Computational Methods in Finance by Dr. Salih Neftci. Why? Dr. Neftci made seemingly difficult suggest accessible. One of the best professors I ever had. Will be dearly missed.

Numerical Linear Algebra and Numerical Methods for PDEs in Finance by Dr. Stefanica. Why? The foundation of financial engineering numerical methods and computation.

Required courses that I particularly appreciated:
Probability and Stochastic Calculus by Dr. Elena Kosygina. Why? appreciated the rigorous teaching handed down by Dr. Kosygina.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
8

Tell us about the quality of teaching
Program had a nice blend of practitioners and academicians. TA’s for the most part were helpful.

On a scale of 1-10, how would you grade the quality of teaching?
9

Materials used in the program
Standard textbooks in financial engineering were used.

On a scale of 1-10, how would you grade the practicality of the curriculum?
8

Programming component of the program
C++ and VBA. Except the probabililty and stochastic calculus classes, almost all courses had a programming/computation element.

Projects
These were mostly group projects. The exception being the probability and stochastic calculus courses.

Career service
1. Program director and faculty referral (extremely helpful)
2. Alumni referral (extremely helpful)
3. The standard school career service (somewhat helpful)
4. Career fair (not so helpful)

Most of the students got placed via the first two routes. I have also heard of people getting internship via school career service.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
9

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
People from different ethnicities got along extremely well. There were no divisions along nationality or ethnic lines.

What do you like about the program?
The high degree of interaction between the faculty (including the director of the program) and the students. Every student receives individual attention from the director.

Leading industry practitioners such as Peter Carr, Jim Gatheral, as guest lecturers in the program.

On a scale of 1-10, how would you grade the value of the program for the price tag?
10

What DON’T you like about the program?
Hard to say since the program has improved significantly since I have graduated.

Suggestions for the program to make it better
Establish direct and formal recruiting relationships with more leading financial institutions (this has been the focus for a while and significant progress has been made through persistent efforts from the director and growing alumni base)

On a scale of 1-10, how would you grade your experience in the program?
10

What are your current job status? What are you looking for?
Working for the current employer since graduation.

On a scale of 1-10, would you recommend this program to others?
10

Other comments
Joining Baruch’s MFE program has been one of the best decisions in my life.

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Georgia Tech Tower

Master of Science Financial Engineering program with most focus on computational mathematics and options pricing.
Review 12/16/2011
Rating 9/10

What is unique about this program
It is very computationally intensive with niches in energy risk/quantitative analysis and machine learning applications. The coursework is very rigorous, and it focuses on more practical projects with an intense development of the foundations of underlying theory. Overall, the education is outstanding.

Worst things about the program
Career services for the students within the program. Although, the director helps out in this respect and does a good job with placements. They are just short staffed in this regard.

Career services
Career services is almost there for someone to recruit for the students. Students find internships and jobs either through the school’s career services or on their own. For domestic candidates, there is 100% full-time placement for the 2011 class. Overall, out of 60 students, there was about 80% placement, although that number will be larger in a few months in general.

Most students obtain jobs in their home country. For the few that receive offers in the US, they get jobs as traders at prop shops, Quants at trading firms, market risk analysts at trading firms, private equity analysts, investment banking analysts and associates, consultants, trade platform application engineers, trade clearing quants at exchanges, financial analysts at banks (25/60 get placed in the US). Overall, a successful 2011 year.

Student body
75% Asian
10% Indian
10% American
5% Other

Lacks diversity in some sense. This most likely will change soon.

This review was submitted on 7/28/2010 by a student who studied full-time in the program from 08/2008-12/2009

Can you tell us a bit about your background?
Bachelor in Construction Management and Economics from Tsinghua University, Beijing, China
No prior work experience. Prior internship experience include securities company, real estate management company and oil company.

Did you get admitted to other programs?
Columbia University and Illinois Institute of Technology

Why did you choose this program (over others, if applicable)?
The tuition and the time admit me.

What alternative sources of info you used to learn more about the program?
Online BBS in China

Tell us about the application process at this program
online submission of resume, cover letter, transcript and recommendation letters

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
9

Does this program offer refresher courses for incoming students? What do they offer and how much it costs?
Yes, I can’t rememeber the cost

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
8

Tell us about the courses selection in this program. Any special courses you like?
Derivative Securities, Stochastic Process, Practice of QCF

On a scale of 1-10, how would you grade the flexibility of the curriculum?
9

Tell us about the quality of teaching
Good.

On a scale of 1-10, how would you grade the quality of teaching?
8

Materials used in the program
Teacher’s notes, most of time.

On a scale of 1-10, how would you grade the practicality of the curriculum?
8

Programming component of the program
One course for programming, C and Java

Projects
Computational Finance and Mathematical Finance

Career service
Average

On a scale of 1-10, how would you grade the career service for internship and full-time job?
7

What do you like about the program?
Good

On a scale of 1-10, how would you grade the value of the program for the price tag?
8

What DON’T you like about the program?
The career service is not good enough. Atlanta is not an excellent location for finance students already, so they should strengthen their career service to improve the placement of students.

Suggestions for the program to make it better
Career service and connection should get better.

On a scale of 1-10, how would you grade your experience in the program?
8

What are your current job status? What are you looking for? What would you prefer to work in?
Prefer to work in statistical finance area.

On a scale of 1-10, would you recommend this program to others?
8

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This review was submitted on 7/25/2010 at 12:20:25AM by a student who studied full-time in the program from 06/2006 – 12/2007

Can you tell us a bit about your background?
Bachelors in Electrical Engg from IIT Kanpur India. GRE 800 Q, 640 Verbal. Prior work experience as software engineer/consultant.

Did you get admitted to other programs?
MFE Michigan

Why did you choose this program (over others, if applicable)?
Focus on Practical Learning and Concepts related to Financial Engineering and Low Cost of Tuition.

What alternative sources of info you used to learn more about the program?
Internet mainly.

Tell us about the application process at this program
The application was online and updated time-to-time. Dr Kertz (Program Director) was also very kind and helpful in answering questions related to admissions and course of study.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
9

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
No

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
1

Tell us about the courses selection in this program. Any special courses you like?
Stochastic Processes in Finance I & II, Practice of QCF, Fixed Income, Numerical Methods.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
9

Tell us about the quality of teaching
Most Faculty members are established and high calibre academicians from Math, ISYE, MBA departments. In the final semester some courses are offered by industry practitioners and professionals from Investment Banking and Trading.

On a scale of 1-10, how would you grade the quality of teaching?
9

Materials used in the program
Teacher’s Notes and Standard Texts. But Notes are more useful. Classroom discussions are also quite productive and useful for the student.

On a scale of 1-10, how would you grade the practicality of the curriculum?
10

Programming component of the program
C++, SAS, Java, MATLAB, GAMS.

Projects
Mainly a mixture of Coding and Research projects are assigned at group and individual levels.

Career service
The Director submits the Resumes of the student batch to Industry connections.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
8

What do you like about the program?
Emphasis on practical methods of solving real world problems in finance and also helping the students to develop hands-on skills on programming and financial research projects. The professors of ISYE/Math in particular are gifted scholars and invest a lot of time and energy on teaching the practical concepts and their application to real-world financial engineering problems like derivatives pricing, portfolio management, Time series analysis of stock prices etc.

On a scale of 1-10, how would you grade the value of the program for the price tag?
10

What DON’T you like about the program?
The MBA finance department is relatively weak. The department needs to boost its b-school rankings and should make efforts to add strength to the finance courses being offered to QCF students. The future looks promising because the gap is slowly narrowing down as the B-school is making good progress.

Suggestions for the program to make it better
The QCF program office should work on improving the finance curriculum.

On a scale of 1-10, how would you grade your experience in the program?
9

What are your current job status? What are you looking for?
Financial Officer in Work Bank Group.

On a scale of 1-10, would you recommend this program to others?
9

Other comments
Focus, Dedication and a strong penchant for finance and programming.

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This review was submitted on 2/20/2010 at 13:42:25 by Wanfeng Chen (contact him via gmail at wanfengc) who studied full-time in the program from 8/2008-12/2009*

Can you tell us a bit about your background?
B.E. Computer Science, Shanghai Jiao Tong University;
Internship: Machine Learning Group in Microsoft Research Aisa; Derivatives Dpt. in Haitong Securities; AXA HK.

Did you get admitted to other programs?
Minnesota MFE

Why did you choose this program (over others, if applicable)?
GaTech QCF is strong in its computational skills training and engineering math, due to the support form ISyE school, ranking #1 worldwide. They have a bunch of “real world” projects provided during the 1.5 years. Almost anyone interested in are able to contribute, which is very useful in job hunting. Furthermore, QCF has a large funding, so 1/3 students can get full scholarship during the 3 semesters.

Tell us about the application process at this program
Every thing went well.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
7

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
No

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
0

Tell us about the courses selection in this program. Any special courses you like?
1/3 courses are of selection from a pool

On a scale of 1-10, how would you grade the flexibility of the curriculum?
5

Tell us about the quality of teaching
Average

On a scale of 1-10, how would you grade the quality of teaching?
8

Materials used in the program
Generally texts are recommended reading. The professors prefer to use their own materials.

On a scale of 1-10, how would you grade the practicality of the curriculum?
9

Programming component of the program
C++, Matlab, SAS, R. Half of the homework are using simple programming.

Projects
Both

Career service
The director will send the resume book to the industry connection.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
6

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
N/A

What do you like about the program?
Real world projects

On a scale of 1-10, how would you grade the value of the program for the price tag?
8

What DON’T you like about the program?
Finance part is not strong

Suggestions for the program to make it better
N/A

On a scale of 1-10, how would you grade your experience in the program?
8

What are your current job status? What are you looking for?
Joined RiskMetrics.

On a scale of 1-10, would you recommend this program to others?
8

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Burkle building on CGU campus which houses the Drucker school.

Very weak. Number of students applying is on the decline.
Reviewed 12/16/2011
Rating 1/10

What is unique about this program?
There isn’t much to be said. It’s a weak program.

What are the worst things about the program?
So expensive for the quality eduction you get. Profsesors are leaving and going to other colleges.

Career services
None

Student body
Poor

What is unique about this program?
The MSFE program is a joint program of the School of Mathematical Sciences and the Peter F. Drucker and Masatoshi Ito Graduate School of Management where students have a unique opportunity to take management courses, MBA courses, along with advanced mathematical courses where your seat buddy might be a PhD student in Financial Engineering or Economics.

What are the worst things about the program?
The main shortcoming of the MSFE program is computer program, especially in C++. There are some courses that require programming in VBA, R and Matlab and most years a group of students come together and form a C++ study group. Having said that, if a student does have a background in programming, then the CGU MSFE program is absolutely excellent.

Career services
The career services has gone through some transformation in the last year or year and a half to the better. I personally received my job offer from an opportunity through the career services. The career fairs have become more relevant to the MSFE students and it seems as if the service is constantly getting better.

Student body
The students are close knit and are very supportive of each other. They come from all over the world and some of them are incredibly smart. The student body creates a great sense of community, probably in part due to its small size.

Can you tell us a bit about your background?
PhD student in Economics, SUNY-Albany 09/2005-05/2007
M.A. in Economics, Wuhan University, China 09/2002-05/2005
Equity Analyst, CITICS in Wuhan, China 08/2001-08/2002

Did you get admitted to other programs?
No.

Why did you choose this program (over others, if applicable)?
. It has a flexible course arrangement and a better balance between Mathematics and Management.
. A 40% tuition cut is affordable
. Southern Calif. is a better place to live.

Tell us about the application process at this program
1) Deadline is Feb 1.
2) Applied
3) Receive ad and fellowship 6 weeks later.
4) about 400 deposit.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
8

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
Yes if the probability and statistics is. I think it’s useful for those person who stayed out of campus for several years.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
9

Tell us about the courses selection in this program. Any special courses you like?
Management Part:
Financial Accounting
Corporate Finance
Asset Management Practium (An excellent project with a real money Fund)
Financial derivatives (a professor with experience in practical market)

Math Part:
Stochastic Process
Math Finance
Numerical Method for Finance
Credit risk
Financial Time Series
Asymptotic Method
Simulation
Math Clinic (A applied math project with industry)

On a scale of 1-10, how would you grade the flexibility of the curriculum?
9

Tell us about the quality of teaching
Several Lab classes were arranged in each course, including math course. And homework is plentiful but acceptable.

On a scale of 1-10, how would you grade the quality of teaching?
8

Materials used in the program
. Hull
. Derivative Markets by Mcdonald
. Stochastic Calculus (I&II) by Steven E. Shreve
. Portfolio Construction, Management, &Protection by Strong
. An introduction to credit risk modeling by Christian Bluhm

On a scale of 1-10, how would you grade the practicality of the curriculum?
8

Programming component of the program
VBA/R/Matlab/C++

Projects
Group projects were there in every course. And there is a special project in Asset Management that a real &300,000 fund was conducted by the this course students. You can test your strategies in the real market. Awesome.

Career service
Career center really work hard to help you, but seems it doesn’t work well in the bad market. Before 2008, many students had chance to do Intern or full time job in TCW and Countrywide. But it was difficult now.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
3

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
Most India students got their jobs with the help of their social network.

What do you like about the program?
flexible courses and high quality professors.

On a scale of 1-10, how would you grade the value of the program for the price tag?
5

What DON’T you like about the program?
. no special course or seminar for programming. And there was just a discussion group by students.
. placement is not good.

Suggestions for the program to make it better
. more programming seminar because most students were not come from computer science major.
. construct a better alumni network.

On a scale of 1-10, how would you grade your experience in the program?
6

What are your current job status? What are you looking for?
I graduated on Aug. 2009 and am looking for a job in New York City now.
I really hope that I can work in the quantitative field. Not easy. I am trying.

On a scale of 1-10, would you recommend this program to others?
8

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This review was submitted on 1/22/2010 at 20:43:00 by a student who studied full-time in the program from 9/2008-5/2010*

Can you tell us a bit about your background?
BS Physics & Mathematics, Loyola University Chicago
BA Economics, Loyola University Chicago

Did you get admitted to other programs?
Yes

Why did you choose this program (over others, if applicable)?
Flexibility. I am graduating in two years with both an MBA and MSFE because CGU has been very flexible in scheduling and allowed me to “overload” a couple semesters in addition to completing intensive courses.

Additionally I liked CGU’s access to studying abroad. FE or MBA students can spend a semester in Switzerland. Additionally there are travel courses at Oxford and the Chinese University of Hong Kong. I attended the Hong Kong course and it was a blast.

Finally, CGU offered me a fellowship including 50% off of tuition for the first 16 units each semester.

Tell us about the application process at this program
Very timely. Pretty typical stuff, essay, recs, transcript, phone interview.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
9

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
This course does not. The pre-reqs for CGU’s MSFE program are not as high as other programs. For example you need not have taken probability before. CGU starts with very basic courses so there is no need for an additional refresher.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
5

Tell us about the courses selection in this program. Any special courses you like?
I will only discuss the FE courses, not the courses I took additionally for my MBA.

MATH CORE (16 units)
Probability (4)
Statistics (4)
Stochastics (4)
Math Finance (4)

FINANCE CORE (16 units)
Corporate Finance (4)
Financial Accounting (4)
Financial Derivatives (4)
Asset Management Practicum (4)

Additionally students take 16 units of electives
I took Credit Risk (2), Quantitative Risk Management (2), Doing Business in Asia (this is the Hong Kong course) (4), Real Options Analysis (4), Energy Derivatives (2), Business Law (2)

On a scale of 1-10, how would you grade the flexibility of the curriculum?
10

Tell us about the quality of teaching
A couple of the professors have a few years experience in the “real world,” but for the most part courses are not taught by practitioners. The exceptions to this are Real Options Analysis and the Asset Management Practicum which have practitioners as guest lecturers. Asset Management especially makes use of this as about 1/3 to 1/2 of the lectures are by practitioners. I saw professors and TAs multiple times for help with homework and studying. They are extremely accessible. I am now a TA myself and feel a great deal of responsibility to my fellow students. The comradery of the program is pretty strong.

On a scale of 1-10, how would you grade the quality of teaching?
8

Materials used in the program
Obviously Hull and Shreve.

Lando’s Credit Risk Modeling
Mun’s Real Options Analysis
Copeland & Antikarov’s Real Options
McDonald’s Derivatives Markets

On a scale of 1-10, how would you grade the practicality of the curriculum?
8

Programming component of the program
There are quite a few options for programming courses but the core classes for the most part do not have any programming. Every year a student-led group does an into to C++. In the math courses there is generally one or two programming assignments in either VBA, R, or Matlab. This semester there is VBA lab to accompany the financial derivatives course. Aside from these courses, Harvey Mudd (a top math and science school) offers a number of programming/programming-based math courses that CGU students, as members of the Claremont Consortium, are more than welcome to take. I’ve had many friends take these courses and love them. The Mudd campus is next door to CGU so it’s rather easy.

Projects
The asset management practicum involves students running a portion of the university’s endowment. It requires everything from researching and backtesting strategies to a small group making a presentation to the board of trustees. Real Options required a small individual project applying real options analysis.

Career service
Very little currently. I would not go by past reviews for career services as this is a big priority among the current administration and should be changing. Call the program and ask them. They’re very honest about current offerings.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
4

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
To some degree student’s self-segregate, but when Thursday and Friday come around it doesn’t matter what your background is, everyone’s drinking and having fun together.

What do you like about the program?
The flexibility. If you don’t want to be a standard cookie cutter quant then come to CGU.

On a scale of 1-10, how would you grade the value of the program for the price tag?
9

What DON’T you like about the program?
The other side of the flexibility is that you are really responsible for your own future at this program. You can’t sit back and do interviews on campus. You have to hustle and get things working.

Suggestions for the program to make it better
More programing in the courses and more career resources.

On a scale of 1-10, how would you grade your experience in the program?
10

What are your current job status? What are you looking for?
I have a job offer for structuring and analytics in electricity markets with a large investment bank.

On a scale of 1-10, would you recommend this program to others?
5

Other comments
I put a five on the recommendation because it is difficult to say without knowing someone. If you are a real “mover” and get things done, then I really suggest CGU. You’ll have a lot of personal opportunities. But if you don’t feel like being creative and hustling the I don’t recommend this program for you.

Click here to submit a review of your program

This review was submitted on 1/24/2010 at 18:02:31 by a student who studied full-time in the program from 9/2009-5/2010*

Can you tell us a bit about your background?
I graduated in Physics from Harvey Mudd College and went to work for a year in a small business software company as a consultant.

Did you get admitted to other programs?
No

Why did you choose this program (over others, if applicable)?
N/A

Tell us about the application process at this program
I secured admission before leaving my undergraduate program. It was very easy to apply because Harvey Mudd and Claremont Graduate University are just across the street from each other. Thus, most of the admission process was carried out in person. During the rest of the admission process e-mail and phone communication was prompt and helpful. There were no problems with the admission process as the online application was straightforward and well thought out. I did enroll as part of a 4+1 year masters program available to undergraduates of the Claremont Colleges.

On a scale of 1-10, how would you grade the accessibility of the faculty and staff?
6

Programs like Baruch MFE, UCB MFE have refresher courses for incoming students. Does this program offer such courses? How useful was it?
While the program itself does not have refresher courses, taking courses at the undergraduate institutions of the Claremont Colleges is both possible and encouraged.

On a scale of 0-10, how would you grade the usefulness of these refresher courses?
0

Tell us about the courses selection in this program. Any special courses you like?
There is a set curriculum of core courses taught in a specific order. Of the 12 required courses, 8 are mandated parts of the curriculum and 4 of the courses are electives. Selection of elective courses is highly teacher specific. If a good teacher is teaching a class it will be gold. The courses I especially like were Financial Accounting (a required part of the curriculum) and Fixed Income (an elective) and I liked those courses because the teachers in the courses were excellent.

On a scale of 1-10, how would you grade the flexibility of the curriculum?
9

Tell us about the quality of teaching
The teaching quality is quite variable. One of my favorite teachers has won 14 teaching awards during his time at several of the Claremont Colleges. The other favorite teacher is a retired accountant and has put in the effort to write his own book that we use in the classroom. Due to both natural ability and conscious effort, he is an excellent teacher. Other teachers I have encountered have been ‘good,’ although one teacher was terrible. These solidly good teachers give instructive classes but would could to put more effort into coordinating their classes, better tailoring their homework problems, and sharing more ‘pearls of wisdom’ from outside the textbook.

My teacher rating of 8 indicates that there are at least two excellent teachers, and the majority are good teachers.

On a scale of 1-10, how would you grade the quality of teaching?
8

Materials used in the program
Shreve: Stochastic Calculus for Finance I and II
Hull: Options, Futures and Other Derivatives
Ferris and Wallace: Financial Accounting for Executives
Ross, Westerfield and Jordan: Fundamentals of Corporate Finance
McDonald: Derivative Markets

On a scale of 1-10, how would you grade the practicality of the curriculum?
3

Programming component of the program
This is the biggest weakness of the CGU MFE program. Little to no programming is done in the core curriculum and the possible programming electives are not well taught nor tailored to finance. The good news is that this weakness has been recognized and is starting to change this year. An independent weekly workshop in C++ is being tested this semester and the Financial Derivatives class from this semester onwards will include a weekly VBA lab.

Languages: C++, VBA, MATLAB

Projects
Two projects are offered. In the asset management class, the endowment for the Peter Drucker School and Masatoshi Ito school is partially managed by teams of MFE’s mixed with MBA’s. There is also a research project in Financial Derivatives.

Career service
The career services coordinator is incredible. He and his staff work very hard and he has significant connections with companies ranging from Disney and Barclays. The Claremont Colleges all share the same career services jobs and internships network, thus graduate students can also pursue opportunities from Claremont McKenna College and Pomona.

There is a small but growing web of alumni contacts, and Professors do pass along job prospects from time to time.

It is easy to find an internship or full-time position if you take charge. There is not as much active assistance as in other programs I have heard about but the resources are here if you put in the effort to make use of them.

On a scale of 1-10, how would you grade the career service for internship and full-time job?
6

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
The CGU MFE program is predominantly foreign of which the majority are Chinese. The program itself is nearly majority Chinese. There are several MFE program-wide events during which interaction occurs between all groups. On a day-to-day basis none of the groups all sit together in cliques.

What do you like about the program?
CGU’s best attribute: There are at least two excellent teachers, the majority are solidly good, and a terrible teacher can be easily avoided because they are only teaching elective classes. The teachers are accessible.

Second best: The high proportion of Chinese students allows for an intimate exposure to China. I sure will use my contacts in China in the future and I have been able to ask colleagues for their opinions on all news I get from China.

Others: The integration of the CGU job posting network with those of the excellent undergraduate universities nearby allow for a much broader range of opportunities. There is a lot of freedom to take advantage of the resources offered by the school, but the onus is on you.

On a scale of 1-10, how would you grade the value of the program for the price tag?
5

What DON’T you like about the program?
The fact that programming is not well integrated into the courses and homework is a severe shortcoming. Also, the program is quite theoretical and should be more applied. It many respects the program is a series of classes connected only if the courses are taught by the same teacher. Better integration of the classes into a coherent program would be desirable. There was an attempt to have the Mathematical Finance class integrate with the Numerical Methods for Finance class, but due to a lack of communication between the different professors the classes complemented each other very little.

Suggestions for the program to make it better
The suggestion that more programming be introduced into the curriculum has already been somewhat addressed with an independent C++ workshop and weekly VBA lab period. The integration of classes into a coherent program with a single well designed syllabus is a must.

On a scale of 1-10, how would you grade your experience in the program?
7

What are your current job status? What are you looking for?
The connections the CGU MFE program has in East Asia have been invaluable. I have an internship lined up in Tokyo with Barclays Capital for the Summer of ’10. The internship is in Fixed Income IT support.

Since I trained as a physicist and worked in business software for a year, I am not sure where I want to head. I will be better informed after my internship.

On a scale of 1-10, would you recommend this program to others?
9

Other comments
This program is very close to making it big. The alumni network is growing under the expert management of the current career services office, and programming classes are being incorporated into the curriculum. I expect my degree to be worth much more than I paid for it in 3 to 4 years as those graduates in my class and the year before begin reaching high-level positions. I plan to be actively involved with the school in the years ahead and am working to improve the program myself.

Click here to submit a review of your program.

Introduction

Let’s face it guys, bank regulation in the US is a total mess. Mind you, this is not really surprising, for any system left to its own devices and desires will eventually fly off the handles into the proverbial décor. Like the rest of Wall Street, and mostly unbeknownst to themselves, regulators large and small have wandered into enemy territory without proper ammo and are now operating purely on gut instinct. Ask any hedge fund manager when he’s a little tipsy, and he’ll be glad to tell you how much money he’s already lost with his “gut”. Unfortunately, there is nothing more dangerous than high-level functionaries out of their comfort zone. When they have time to breathe at all, these bold defenders of the realm must be wondering how things could get so out of control, so fast. Like the Eagles in their hit-song “Lying Eyes”, we too wonder how it ever got this crazy. Did we get tired, or did we just get lazy?

Turf wars and power grabs are just the last refuge of the damned. Likewise, concentration of regulatory authority is not the remedy, but merely the symptom of a fundamental sickness gnawing away at the banking system. In the end, Murphy’s Law is the only credible maxim in this topsy turvy bunker.

Is there a sane way out of this dreck? For starters, this is not America’s first crisis. Neither is it its last. Based on statistics alone, it would thus appear that the answer to our rhetorical question should be a resounding ‘yes’. Yes, but how? Pretty much everything else has been tried and failed, from battleship QE2 to European threats and intimidation of rating agencies. Y’a les cons, y’a les super-cons, et puis après, y’a les agences de notation! By the way, the next time you speak to a rating agency analyst of the old school, just remember that the man or woman trying to tell you about your own future doesn’t have one.

Is it really better to have tried and failed than never to have tried at all? When you don’t understand finance no, it’s not better. Perhaps Janis Joplin was right after all when she said freedom is just another word for nothing left to rate, so to speak. At this point, we are happily and busily fooling ourselves to the Doors’ refrain of “this is the end” of the recession, while Angst and primal fear remain thinly disguised as “enforcement” actions. As Pyrrhus said long ago, one more such victory over the Romans and we are through.

Over the past 30 years of regulatory experimentation, we have scarcely moved beyond the momentous Basel 1 Accord. Regrettably, we crashed and burned on our way to Basel 2. At this very moment, as Nietzsche would no doubt diagnose, we are living dangerously between Basel 2 and some mythical, yet TBD Basel 3, and calling that Basel 2.5. The substance of the current proposals seems to be 7% capital everywhere, and either 1% or 3% more for “systemically important banks”, whatever that may eventually signify.

This silly fight about 3% reminds one of the old Soviet-era joke in which Tsar Nicholas II and Vladimir I. Lenin meet in Hell after the latter’s untimely demise. This is a rough translation of the ensuing conversation:

Tsar Nicholas: Vlady baby, why don’t you tell me about Mother Russia!

Lenin:              It would be a great honour, your erstwhile Majesty. What may I tell your Lordship?

Tsar Nicholas: Well, do we still have censorship of the press?

Lenin:              Censorship! We’ve got censorship coming out the wazoo!

Tsar Nicholas: OK fine, but what about bread lines and food shortages?

Lenin:              Majesty, you will be pleased to know that people are starving in greater numbers than ever before. Don’t sweat it; we’ve got that one covered too.

Tsar Nicholas: Great, and is our vodka still 95% proof?

Lenin:              I’m afraid not Majesty. It is now 98% proof.

Tsar Nicholas: Vlady, was another 3% really worth a Revolution?

One can easily foretell that soon, every money center bank will be forced to engage in a childish form of self-deprecation and debasement, claiming to be “systemically unimportant” or some similar hogwash, just to make sure they end up at 7%. Most likely, lobbyists will prevail and 7% will be the “right” number on Wall Street for the foreseeable future. Since Basel 1 was 8% flat, we have gone basically nowhere, save for the 1% of course, over the past 30 years, and this after mountains of literature and dozens of incomprehensible formulas apparently necessary to come to grips with the product of three real numbers [EAD, EDF and LGD.]  At this juncture, capital rules are by far the most complicated no-brainers in the world. Yet, they have failed across the board, and definitely across the Street, to keep us “safe and sound.”

Fundamentally, 8% was designed to address two operational modes and, to our utter amazement, it did so brilliantly. In most cases, it was way too much, except in the rare instances when it was way not enough. In other words, 8% was wrong all the time. This will not change because we use 7% or 10%. Finding the right number is a false, Wittgenstein problem, a red herring, for there ain’t no such thing. This is like a man looking for the right woman. Rather, the crux of the issue is how capital ought to adjust dynamically to keep up in lock-step with an objectively measured risk conjecture in the field, not what the static value should be. Besides, this elusive static level could be determined easily by reference to rating agency corporate-bond default studies, which address the residual risk inherent in corporate and other exposures given their industrial affiliation.

For example, the label “AAA” is not intended to refer to a company in trouble among its peers, but to a relatively well-functioning organization in a given context, which context then defines its average, not its current risk profile. Static capital allocations under enlightened regulation need to be pegged to this a priori construct since banks presumably make loans with this situation in mind. Should the target’s risk conjecture change meaningfully however, allocated capital ought to adjust automatically and objectively to reflect such changes. This is what safety and soundness truly means, i.e. the government should not punish banks for making risky loans, for we should all be happy that they can do so profitably, but only when they are unable to collect them.

In this context, 1% could be more than enough a priori when a bank makes short-term loans to investment grade obligors, while 5% could be less than appropriate for one with a large portfolio of long-term, sub-investment grade exposures on steroids. Once the reward side of the coin is included in addition to that of risk, everyone ends up on a level playing field seemingly by magic. The way things now stand perverse and powerful incentives are created daily whose objective is simply to arbitrage irrational capital rules using various Viagra-laden contraptions masquerading as “transactions”, for instance unsupervised synthetic CDO’s. These so-called “deals” were fatally flawed simply because the problem they addressed was fatally posed.

Speaking of Lenin, we are also tempted to ask: Что делать?

The following paragraphs are a fledgling attempt by a humble servant of the people to answer this difficult question. We propose a rational and workable regulatory schema aimed at restoring the public’s confidence in the fundamental safety and soundness of the financial system, one where even Devils now fear to tread.

Despite its simplicity, in truth because of it, we believe the following proposals go a long way towards resolving inter-agency turf battles and provide well-defined and transparent areas of responsibilities with no direct jurisdictional overlap. Were they one day to be implemented, granted this is a scenario with vanishingly small probability, we would venture that a crisis of magnitude 8.0 on the Richter scale like the current one would soon acquire the same probability. This is because there are three kinds of people in finance: those who make things happen, those who watch things happen and those who wonder what happened. We are merely suggesting that regulation ought to be able to let regulators move temporarily to the first in order both to be able to soon return to the second, but mostly to avoid having to live through yet another close encounter of the third kind.

The New Federal Reserve: the Unknown Ideal

The basic model for bank regulation was created in December 1913, i.e. the Federal Reserve. The latter came into being to address one issue only: liquidity in the banking system. The Fed was supposed to operate on auto-pilot, at least according to its creator, the suave, worldly and debonair Paul Moritz Warburg. Warburg had immigrated to America from Germany by accident, some mauvaises langues would even say by mistake, as a result of his marriage to Nina Loeb, the last remaining single daughter of Solomon Loeb, a former managing partner at Kuhn, Loeb and more famously John Pierpont Morgan’s archrival on Wall Street. Trained as an aerospace engineer, Warburg was intimately familiar with non-linear feedback systems and their criticality in control theory. By contrast, today’s Fed Governors are not exactly transcendental engineers like Warburg. By and large, they are garden-variety economists unable to grasp that pumping cash into the system is not a “solution” to a credit crisis, but strictly to a liquidity crisis. If the first core dump fails to do the trick, who knows, maybe the second one will. Yeah, right!

The original intent behind the Fed was to allow the market to regulate itself except in rare instances during which a temporary imbalance had disrupted the equilibrium, i.e. whereby liquidity was lacking and banks needed to scramble to borrow from each other without the proper means to do so. By formally pooling liquid resources, a conduit could be established that would allow them to borrow from Daddy Warbucks, albeit at a rate higher than the market’s equilibrium rate, the so-called discount rate. Otherwise, banks would be tempted to borrow from the Fed constantly, thus defeating the purpose of the entire enterprise. In passing, this system (the Real Bills Doctrine) was already in use at Germany’s central bank with which the Warburg family had long been associated. Therefore, the Fed was never intended as a government take-over of the banking system, but merely as a liquidity-pressure release valve. In most cases, the open markets were to be left undisturbed, and the money supply was not to be manipulated for political purposes. Needless to say, later, Warburg-less Feds quickly moved as far away from this attainable dream as they possibly could, as Warburg himself eventually discovered when he tried to cancel the Minnesota Fed shortly after becoming chairman. However, the fact that the Fed has wandered away from its true mission is by no means an indictment of its essentially righteous intent and purpose, for the measure of a man lies not in what he achieves, but in what he longs to achieve.

Our first conclusion is that the Fed is a wonderful institution as long as it sticks to its originally appointed sphere of excellence: managing liquidity on behalf of US commercial banks. It should not be involved in either regulating credit risk or in examining banks that assume credit risk, which means anybody and everybody. Frankly, wouldn’t you also like to be examined by someone who fundamentally believes that everything you own is a Treasury bond? Don’t bring a knife to a gun fight.

Despite its notable failings and missteps, the Federal Reserve has shed more blessings on the American people than anyone could reasonably expect. What is truly wondrous, rather, is not so much that the Fed stumbles on its way up the Golgotha, but that it keeps walking at all, bearing as it is the collective weight of our financial sins on its noble shoulders.

Therefore, our second conclusion is that one cannot do much better than the Fed’s apparatus, at least in this insane world of ours, to address the main risk inherent in the banking system: credit risk. In other words, credit risk needs its own “Fed” if it is to perform as well as the first one in fulfilling its appointed duties. To this, our chief proposal, we now turn.

The New FDIC: the Fed for Credit Risk

Our proposal is exceedingly simple in concept: to transform the FDIC into the Fed for credit risk. The FDIC now acts as the mortician to the banking system, presumably enjoying funerals more than weddings. We note that the structure of the FDIC is ideally suited to credit risk management simply because it is already an insurance company, i.e. the type of entity sorely needed in times of crisis. Although we do not have the space herein to go into details, the concepts are clear enough and the resolution exceedingly simple to execute, perhaps too simple.

Basically, it would work as follows. Banks would be forced to partition their allocated risk capital into its long-term and short-term components, something they already do anyway. Short-term capital would be both more expensive and more deeply subordinated than long-term capital. Under normal, equilibrium conditions commercial insurance companies would be called upon to provide this portion of any bank’s capital needs, most likely in the form of SLOC instruments, and at a price freely negotiated between the respective parties. The FDIC’s price for the same instrument, i.e. the discount rate for credit risk, would normally settle at a level higher than the free market’s equivalent rate for the same bank. Of course, a bank could easily self-insure, thus obviating the need to procure an external SLOC with its attendant standby fee in addition to the standard draw fee. However, doing so would quickly turn out to be more expensive than using external sources. After all, does anybody you know self-insure her house against fire? On a normal basis, a bank’s capital charge would be linked to its current balance sheet, and additional capital would be required only if it became aggressive in its lending practices, with feedback for such behaviour provided daily via automatic random sampling of its loan or exposure book by the very same, IT-savvy FDIC.

Under this system, a well-functioning bank would be slightly over capitalized since it would usually prefer to procure excess long-term capital rather than rely on instantaneous draws on expensive short-term lines, unless of course by conscious action. Thus, the optimal capital mix would tend to favour tiny excesses of aggregate current risk capital allocation. In the final analysis though, this situation would not be as traumatic as it sounds since banks would quickly figure out how they could alleviate their excess capital burden while increasing earnings by lending it to other banks rather than having it lay idle on their books. This would be the credit-risk equivalent of the Federal Funds market.

Some readers will have already recognized that, in essence, the foregoing amounts to a rebirth of the CDS market in a more organized and stable form. Obviously, the instrument we are describing is none other than a uniformly-structured CDS contract issued by banks and freely traded among them. Ladies and gentlemen, commoditization is a necessary and sufficient condition for the existence of liquidity.

This is all well and good you might say, but what about the FDIC’s role in all this?

In the rare cases where some random bank would be playing fast and loose with credit risk, in no time at all free market players would set their credit discount-rate significantly above the equilibrium level where it previously hovered quietly. This would happen because such bank would now suddenly have to draw on its hitherto dormant SLOC in order to satisfy its mandatory capital allocation. This would force it to have recourse to the suddenly cheaper FDIC-issued and standardized CDS contract instead of accessing the open market. Any bank making sudden and ample use of such instruments would show up on the FDIC’s radar immediately, since it would be unusual for any institution to raise risk capital at such a high cost. The FDIC would then be put on notice that the target institution may be entering a danger zone, and this would happen long before it is, in fact, in trouble. This signal would not arise via examination or meddling into its affairs, but strictly from the free interplay of market forces. Since the FDIC would end up with the tab in the event the bank failed, it would quickly engage in a dialogue with it. Maybe there is a good explanation to all this, but then again, maybe there’s only a bad one. Either way this proactive action would be initiated with a lead time sufficient to ensure that no real crisis had a chance to develop. Even better, this would take place one bank at a time, not system-wide.

If the bank decided to pay for the risk it is taking anyway, then it might find itself worse off than before and would quickly and voluntarily recoil from the abyss. Conversely, if it could no longer pay the resulting CDS premium, it would stop doing whatever it is doing without coercion or regulatory fiat. As we all know, the best regulation is self-regulation. Effectively, such bank would be brought face to face with its own Kantian categorical imperative, and would soon be contemplating its own death. Either way, the equilibrium would be re-established quickly and the system would remain unscathed.

Clearly, our approach would require some major rethinking on the part of the FDIC’s senior managers, not to mention a face-lift and most likely, a name change. However, by the same token its area of expertise would be squarely delineated as credit risk and nothing else. It would not have to “examine” banks, but simply enforce uniform rules in credit-risk capital allocation. Although this may seem overly complicated, a country as diverse as Brazil largely succeeded with the promulgation of Regulation 2682 by the Brazilian central bank [BACEN]. Given the current soul-searching environment in Washington, this type of forward-looking rule-making ought to become a model to be emulated by the rest of the worldwide banking community. In fact, through direct experience we can tell you that Brazilians could teach us a trick or two about money, and then some. One can say many things about Brazil, but one cannot claim they have no experience with credit risk.

The New OCC: Examinations and Operational Risk

The last pillar of our proposal is the OCC, the institution that now examines Federally-chartered banks. In doing so, it has been relatively successful, although the complexities of transactions undertaken by its client-banks immediately prior to the crisis did tax its ability to keep up in real time with purported risk-transfer mechanisms. This is something the OCC brass would freely admit, at least in private.

Under our framework, the OCC would take over all banking examination nationwide and would focus primarily on operational risk, i.e. things like Herstatt risk, clearing and settlement of CDS contracts, the integrity and reliability of IT systems, “model” risk, conflicts of interest, etc., and in general, on the “policies and procedures” inside its supervisees. Unlike credit risk, presumably now under the exclusive purview of the born-again FDIC, operational risk is an area much more amenable to meaningful analysis within an examination context. This is in sharp contrast to the bottomless pit of credit risk when looked at without a comprehensive view. Given the average complexity of even a small bank’s balance sheet, credit risk analysis is well beyond the synthetic capacity of most human beings, and should not even be attempted outside a fully empirical and statistical framework.

The authority of the OCC would be enhanced in that it would become the sole direct point of contact with bank personnel, as is the case now with respect to the largest US financial institutions it regulates. In addition, thanks to its newly circumscribed set of roles and responsibilities, it would be able to cast its regulatory shadow in a much more pervasive and long-lasting manner vis-à-vis the safety and soundness of the system via its influence on the various checks and balances based on which a bank’s well-being may be conditioned and from which its relative health-indicators can be measured.

The OCC’s apparent reduction in credit-risk related supervisory influence would be more than compensated by its newfound ability to make meaningful and lasting contributions to areas of financial activity that have hitherto been sadly neglected. Its relationship to its supervisees would clearly change and become much more consultative and collegiate. Because the OCC would no longer be in a position to pass judgment on the perennial and always thorny issues of credit and liquidity management, it would be regarded by the banking community as an enabler of enhanced access to credit and liquidity, something all banks seek to preserve at all costs.

The Supervisory Trinity and its Übermensch

Thus far, we have outlined conceptually, albeit superficially, how the US regulatory apparatus for banks ought to be reorganized both for the sake of capital efficiency, and in order to restore financial markets to their original function and purpose. We used existing institutions that are now operating more or less successfully and attempted to give them back their true self while adhering to the ubiquitous political realities under which we all live.

As stated, the proposed framework establishes the following supervisory Trinity:

The three members of the Trinity are to be regarded as forming a whole. None of them is more “important” than the others in properly regulating the banking system. But acting as a whole is not something that would come naturally. On the contrary, we can expect that such essentially self-contained and insular centers of regulatory power would normally operate independently and rarely, if ever, coordinate their actions. Coordination requires external reinforcement in the form of a supervisory committee, some sort of institutional Übermensch sitting atop these institutions to ensure that no regulatory “black hole” exists in which a client-bank could eventually and comfortably fit.

It would be pointless to belabour this issue at this juncture, but one can easily imagine a 5-member board consisting of one member with demonstrable expertise in each of the three newly-minted regulatory functions, but without explicitly belonging to the associated institution, plus two outside appointees. Most of the time, the committee would be idle but would spring into decisive action in times of trouble. One of its first tasks would be the diagnosis of the current problem. As any doctor knows, a misdiagnosis is usually worse than the disease itself.

In a nutshell, we are proposing to do for bank regulation what was done at the dawn of the 20^th Century in the area of corporate governance. The framework proposed hereunder originated in the military with the notion of the “General Staff”’. Some readers may not recall that, prior to the origin of inherently neutral “boards of directors” as we have come to know and love them, all major US corporations were managed based on a different organizational principle, one that might be called the “departmental” principle.

Under this now obsolete framework, each corporation was led by a committee on which sat one member of each functional unit or department. These are things like purchasing, manufacturing, marketing, sales, et cetera. Although this made perfect sense to an outsider unaware of political behaviour, the upshot could easily have been predicted. As soon as a significant problem arose in any area, it became basically impossible for the chair to do anything about it. For instance, if something was amiss in marketing, either in truth or perception, other committee members were forced to stand by and smile, just as they do now in DC, while the head of marketing explained in excruciating detail to a crowd necessarily mesmerized by his marketing talent that, in point of fact, there was “nothing wrong” with marketing at all and that in any event, what could anyone else present at the meeting contribute to the discussion since “you know squat about marketing” was the usual pushback. Yet, each department had to be allowed to operate monolithically and relatively unfettered if it was ever going to achieve the level of functional cohesion and unity required for the proper operation of any reasonably large enterprise.

What was needed, it was felt, was a body no longer subservient to defensive departmental attitudes but, rather, motivated by the welfare of the corporation as a whole. Prior to that time it had been thought, wrongly as it turned out, that if each department head cared deeply about his own area, somehow the corporation would be just fine. The epiphany was the realization that the sum of the parts and the whole are not the same, i.e. that linearity and non-linearity are fundamentally alien. Of course, the average CEO had no clue what to do about this, but the Dupont Corporation was not run by the average CEO. He had a military background he was able to bring to bear on the situation.

The problem back then had been the same, i.e. the Navy would favour the Navy, even at the expense of either victory or an increase in expected casualties. No doubt, the same was true of both the Army and the Air Force. This was a much more serious problem than marketing widgets, so the resolution came quickly with the creation of the General Staff (labeled the JCS in the USA), a body supposedly motivated primarily by the wellbeing of the country and its armed forces without regard for potential glory. At least, that was the military’s best shot within a human, all too human world.

The application of JCS-type thinking to corporate life gave rise to the reorganization of senior management into a body similar in its intent, one that we have come to know as the “board of directors”, i.e. a purportedly independent set of individuals solely concerned with maximizing “shareholder value”, a term taken to mean general corporate health in some global, timeless and non-local sense.

As stated above, each of the three regulatory silos outlined above would soon become exceedingly protective of its own turf and area of expertise, as it should be, and would not be willing to entertain easily the notion that it might be deficient in discharging its functions properly. At that moment, it would be incumbent upon the supervisory committee to arbitrage the differences, real or imaginary, in the perception of the origin of the problem. It is quite acceptable and understandable for people responsible for credit or liquidity risk management across a country like ours to develop a certain degree of pride and arrogance vis-à-vis those challenging its premises. We should all encourage public officials to build esprit de corps and cohesion within their ranks and to think of their particular department as an elite body responsible to no one but itself. Rather than destroy such unity of purpose, our aim is to harness it appropriately.

For some time now, the world of modern finance has been too interconnected and too fluid to allow risk to escape notice through some inadvertent faux pas, which is exactly what happens all too often under the current system, if we may even label such a disparate collection of sundry objectives and worldviews a “system.” We live in a community in which one pseudo-savvy banker can play one regulator against another with impunity within some sordid game of credit risk hide-and-seek. The global village no longer tolerates partition into fiefdoms where Renaissance men and women apparently ply their trade in splendid isolation. What the US banking system needs badly, now more than ever, is a unified view vis-à-vis each of its three main functional areas, one that enables a comprehensive approach to the regulatory dilemma free from dilettantism. What is amazing is not the plain fact that capital rules are now a ship without a rudder, wandering aimlessly from failure to failure, but that the system “performed well” apparently until recently, since its false premises and preconceptions have remained unaltered for over a century. In reality, it was nothing but the historical disconnectedness of the world’s financial centers that was chiefly responsible for the fantasy that global stability was a natural outgrowth of the existing paradigm, instead of what it truly was, i.e. an sheer miracle predicated on the Balkanization of the financial landscape, and slowly simmering in the cauldron of cultural reluctance cum bureaucratic inertia. Our goose started cooking the moment “globalization” became a worldwide leitmotiv. By the way, as far as we can tell globalization is usually a meaningless term based on the notion that a Châteaubriand à la Hollandaise and a Big Mac are both “food”. In case of disagreement, anyone with too delicate a palate can be handled via judicious use of surgical marketing.

Although it is true that the existing regulatory bodies already coordinate their functions and actions to some extent, this is not done with a view to delineating responsibility by functional area the way we have outlined hereunder. Instead, it is simply an attempt to partition the workload by size, scope and political sensitivity. Everyone is still responsible for everything, and this is why things fall between the proverbial cracks. The current system is squarely departmental and therefore, the US needs to move to the “board of directors” concept that seems to work more or less efficiently in the corporate context. In fact, the type of institution we are proposing already exists in the United Kingdom [Board of Banking Supervision] and has performed fairly well throughout the recent turmoil.

Parting Words

If you are still reading, thank you. Admittedly, the foregoing was a bird’s eye view of what we are proposing. If you were looking for meat on the bone, you are no doubt disappointed, but rest assured that technical implementation is the least of our problems compared to the political heavy-lifting needed to convince Congress to re-organize the three august agencies at issue. Believe it or not, the proposed framework is much less onerous in terms of actual and political costs than the existing one. Most of the action happens behind the scenes and, as a result, bankers have a lot more time to do deals than they do now, assuming there are deals to be done at all. As JR Ewing was fond of saying “I reckon I’ll go to my office, while I still got an office!”

Most of the structural elements of our plan are already in place and apart from a change in thinking, something always difficult to achieve inside any institution, only a few administrative and cosmetic changes would be required. Although we have little hope that our framework could ever come to pass, by no means would such failure imply that our spirit was somehow misguided. In fact, if the truth be told, it would mean exactly the opposite.

In the meantime, the American jobs-clock will keep on ticking.

No one cared who was the first person to think of a CMO, or pairs trading or VaR; lots of people had related ideas around the same time; and lots of people worked together to turn these ideas into profits. What participants wanted to tell the world is this was a cooperative project by smart researchers motivated by curiosity and adventure. Of course they wanted to be paid for their work, but they all had easier ways to make money. Participants also liked the message that quants were the driving force of the change. Wall Street did not change by itself in a way that induced it to go out and hire more quants. And maybe most important, participants liked a story that emphasized quants were engaged in a rational reengineering of the financial system, not foolishly building a disaster-generation system because they couldn’t understand anything other than equations. There were mistakes, of course, and some big ones. But innovation entails some failure, and quants were quick to learn from errors.

I had similar results with most of the rest of the material. Probability theorists had some comments about the material on that subject, economists differed in some details on my history of money and historians pointed out some minor issues in my history of risk. Finance professors and behavioral psychologists made suggestions to improve the material in their fields. Practitioners provided insights to add to my discussion of quant trading strategies and risk management principles. One diligent mathematician checked all the calculations and found some errors. But almost everyone found the material important, the basic arguments sound and the exposition clear (no doubt there is selection bias at work, the people I like and respect enough to send drafts to, and who are willing to do the work for me, are more likely to think the way I do; but a book that does not appeal even to like-minded people will probably not succeed when offered to the general public).

The one major exception was the second-to-last chapter, five pages in a 432 page book. In it I discussed risk management degree programs and sketched out what I consider to be an ideal curriculum. That ideal differs considerably from what is offered today. This generated passionate comments, some positive and others less so. The striking thing was no one defended existing programs, but there were a variety of strong opinions about how to improve them. I rewrote the chapter after seeing the range of ideas. Now that the book has gone to press, I’ve inclined to the view that the most important improvements apply to all quantitative finance degrees, not just risk management ones.

The improvements I suggest here are all for the benefit of students, as opposed to program administrators or employers. Most administrators I know think the same way and are passionately committed to student welfare. It takes great energy and patience to put an academic program together and people do it mainly for love, not money. Still, you can’t ignore the fact that these programs are very profitable and allow academic departments to expand. Some of the flaws stem from these factors. Programs can charge based on the salary differential between applicants and graduates, which encourages accepting desperate people and getting them into the highest salary jobs available rather than the ones that offer the best career prospects. As programs get older the long-term success of graduates becomes more important. But at the moment, most programs are too young to evaluate this. Another potential flaw is offering courses existing faculty want to teach instead of designing the best courses for student development.

The interests of employers can also differ from that of students. Wall Street has always chewed up talent. It hires lots of bright young people at higher salaries than other industries offer. It then works them hard and treats them badly in most respects other than cash payment. During its periodic downswings, it lets most of them go. When the good times resume, Wall Street prefers to hire cheap, up-to-date newcomers than to rehire former employees. To paraphrase Thomas Hobbes, many Wall Street quant careers are solitary, rich, nasty, brutish, and short. There may be some students who enter a quantitative finance degree program with the intention of earning a million dollars in a few years on Wall Street before getting on with their lives. But I assume most are looking to enter satisfying long-term careers and to advance the state of the profession.

1. Data

A common stereotype of inexperienced quants is that they are model-driven. They have a model they either wrote or got from a paper or textbook. They wander around asking for data to put into it. “What interest rate should I use?” “Where do I get the price?” Useful work is data-driven instead. You figure out what you know and, if it’s not enough, you find out more. You explore your data gently, letting it speak to you, not forcing it into a predefined analysis. Only when you have the right data and you understand that data, do you start building a model to process it. And just as important, you make sure your model produces useful data to feed into other firm processes.

Data flows in financial institutions and markets are complex and filled with noise. There are important subtleties to the individual items. A price might be a bid or an ask or a mid, it might be actionable or indicative or nonsense, it might be a trade or it might be a model output. It has a time and a size and a currency attached. It may be most relevant as a spread to something else. And prices are probably the simplest pieces of data that a quant will encounter. Mistakes from pure modeling are rarer and less serious than mistakes from models built on flimsy data foundations and mistakes because model outputs are not firm foundations for decisions and monitoring. And profitable quant advances are more commonly from better data or better understanding of data or better communication of data, than from improved models.

I like to see a quant with pre-degree experience in real, objective data. Ideally in finance in control, audit, operations or IT (but real IT with completed projects that satisfied users, not as a cog in a gigantic boondoggle); but also possibly in scientific research (again, real research) or another practical field. Fortunately, most good schools have accounting and computer science professors who keep up-to-date with the profession and have extensive practical experience. There are plenty of practitioners who can give guest lectures on financial data flows. These teachers can build on what students learned on the job before entering the program, but I’m skeptical that they can do much for someone who never tried on his own, or in a class dominated by such neophytes. Moreover, quantitative degree programs seldom put enough emphasis on these essential data skills.

These lessons can be reinforced by giving homework problems and exams on realistic data systems. Don’t give a student a few numbers and ask her to calibrate a zero-coupon treasury curve, give her a Bloomberg terminal or a Wall Street Journal. Then when students have hand calculations down, ask them to write useful procedures to do the calculation, using realistic systems for inputs and outputs, and insisting on rigorous IT standards.

2. Responsibility

An interview question I ask quants is, “Have you ever done a computation on which an important decision depended, and you have hard objective evidence that your answer was correct?” If you don’t make decisions based on computations, you’re no quant, however good your math skills. If you don’t test your results, rigorously and regularly, you will never be a successful quant. Ditto if you’re always wrong. Nevertheless, the majority of candidates with quantitative finance degrees flounder at the question. It baffles me why they think I can afford to let them find out if they are good quants on my time, with real money at stake.

A common bad answer I get describes a project in which the candidate made a computation, relying on someone else for the data and a third party to evaluate the result. The candidate’s role was limited to doing a calculation and delivering the result. The candidate may not admit this at first, but it becomes obvious when they cannot give any reason they had for believing the data were correct or that the decision was a good one—it’s only “someone told me” or worse, “everyone agreed”. If there was a bad decision, it was someone else’s fault, either a data error or a misinterpretation of the computation. The candidate is never responsible.

This person is a major danger in a financial institution, and probably anywhere else outside a classroom. They not only induce lots of errors, they poison the work atmosphere. Quantitative finance degree programs should have significant coursework where students are graded on results with real future data: do portfolios perform within parameters, do trading rules make money, do hedges hedge? No excuses for “irrational markets,” or “unexpected events,” or “you didn’t tell us to check that,” or “I got the answer right but the sign wrong.” Of course that introduces some luck into the grading (but it eliminates subjectivity which is a good trade in my book, at least for some of the coursework). I think any loss in fairness is offset preparing students for interviews, not to mention jobs. And if this discourages some students from getting the degree, it saves both them and the financial system a lot of trouble.

3. Rigor

My first two suggestions fall in the category of making instruction more like the job. This one goes in the opposite direction. Under the pressure of supporting a business, you seldom have time to go back to first principles. It’s handier to know how to guesstimate a one-touch price in your head than to remember the proof of Ito’s lemma or ponder the true meaning of randomness and information. But in the long run, principles matter more than techniques. Quants whose practical knowledge is firmly grounded have a compass that prevents them from getting completely off-track, and will be able to add to the profession. Quants who are quick at applying equations without thinking too hard about what anything means are much less valuable. These degree programs are not vocational training to show students how to do entry-level jobs, they are supposed to be producing professionals who will advance the state of the art.

When I look at the faculty and coursework for most programs, I do not see enough diversity beyond finance, physics, engineering and applied mathematics. None of these are rigorous fields. Some practitioners understand and can teach rigor, but it’s not a requirement; getting the answer right is what matters most. I would like to see more rigorous theory built into the curricula. That could come from pure mathematicians, philosophers, probability or statistical theorists, historians or theoretical economists. I would also like to see more original sources. Students should be familiar with the development of probability, economics and finance, not as summarized by modern thinkers but as described by the people who invented the fields.

One reason for all of this is I believe that training brains is more important than imparting facts. Breadth and depth of instruction will lead to better-trained brains than narrow drilling on solving textbook problems. But another reason is paradoxical. Because the financial world changes so dramatically, it is imperative to have training that goes to historical and philosophical basics. The speed of change is not the point. Physics also changes fast, but physicists do not need a deep appreciation of Isaac Newton. The change in physics is additive. In finance, by contrast, yesterday’s truth often turns out to be today’s trap. People who update their knowledge incrementally, with no grounding, eventually end up knowing nothing. That is one reason Wall Street quant careers are often short.

4. Betting

However much math you know, finance comes down to making bets. Successful betting requires skills that can be taught. Now not all quants will end up in portfolio management or trading jobs that require constant betting. But most will work in support of such betting. For this you don’t have to be good at betting, but it sure helps if you understand it. And, of course, skill in betting elicits respect in many financial circles and abject incompetence at betting elicits scorn.

If it were up to me, poker, advantage gambling and sports betting would be required courses and students would have to demonstrate consistent profitability at each one. With real money and significant stakes. I understand, however, that is unlikely to happen. Some daring programs might go so far as to encourage student organizations to nurture these skills. That helps, but I have another idea that might allow betting into the formal curriculum without causing apoplexy among conservative administrators and alumni.

Iowa Electronic Markets runs small-money betting markets on various current events. It is academically respectable. I would have entering students take a one quarter course in strategies for beating this market. I would let them bet with play money, using the mid of bid and ask prices. This is a huge advantage, if you actually bet you have to take the unfavorable side of the price, or offer your own price and be subject to adverse selection. It is not difficult to win consistently if you can buy and sell at mid. But it takes training to identify good opportunities and, most crucially, size bets successfully.

A student would be required to double a play $1,000 during the quarter to pass the course. Students who failed would get a fresh $1,000 the next quarter to try again. This would continue until the student either succeeded or completed the last quarter. The penalty for failing at all attempts would be to write an analysis of the mistakes.

5. Perpetual education

When I started on Wall Street in the early 1980s, there weren’t many quants and there weren’t many computers. We communicated on dial-up bulletin boards. We had used DARPANet in school so we were familiar with digital information exchange, but the only available private technology required one individual to set up his computer and modem to answer telephone calls and allow uploads and downloads. This was the communications infrastructure that nurtured all the quant advances of the 1980s, until UseNet and Compuserve came on the scene.

As time passed, quants got more dispersed and were less likely to meet other quants, especially quants in other areas of finance. Firms became more careful about letting information leak out. An unfortunate result is many quants embark on idiosyncratic, firm-specific and market-specific, learning curves. Articles and seminars are nowhere near detailed enough to be much help. The problem is most acute for quants in smaller firms, outside the main financial centers and without support for professional development.

For similar reasons, no quantitative finance faculty can keep up with all areas of finance. Bringing in practitioners for seminars can help, as can guest lectures and adjunct faculty but by far the best resource for a program is former students learning on the job. Some programs are pretty good at developing a loyal body of graduates, some only seem to hear from former students who want placement assistance. But I don’t know of any that couldn’t improve their two-way communication so current students have access to the state of the art in all areas of finance, and graduates can remain balanced and up-to-date in their skills.

I am not a program administrator, and I have no doubt there are naiveties and errors in my suggestions. They are not offered in the spirit of criticism, but as sincere agitation for better quantitative finance degree programs. Despite claims that there is a glut of financial quants, the truth is that the need for properly-trained, talented people is huge and growing. The best quantitative finance degree programs can help fill this need, if they are run in the right spirit and, most important, run for the benefit of the students.

Illustrations by Eric Kim

New York - Quantnet today released the 2011 edition of its MFE rankings which rank the top masters programs in Financial Engineering, Mathematical Finance, Quantitative Finance in North America. The 2011 Quantnet ranking is the most comprehensive ranking of such programs to date.

The 2011 ranking surveyed programs on admission, placement, career services. 86% of those surveyed provided the neccessary information for the ranking. Hiring managers and recruiters from many financial institutions were also surveyed on their records of hiring graduates from programs in the ranking.

The CMU’s Computational Finance program is ranked #1 in the latest ranking, followed by Princeton’s Master in Finance and Columbia’s Financial Engineering program. The full ranking of 22 programs can be found here.

Founded in 2003, Quantnet.com has grown to be the most comprehensive research tool online for graduate students considering education and career opportunities in the field of quantitative finance.

It turns out that a course in C++, the lingua franca in quant finance, is not always available to many MFE applicants, whether they come from China, India or study in the US. Many currently available courses are either too expensive, inflexible for working professionals, or not constructed with Financial Engineering applications in mind.

That’s why we are very excited to announce the online certificate “C++ for Financial Engineering” offered by the Baruch MFE program and developed by Dr. Daniel Duffy, the best-selling author of C++ and numerical methods books for financial engineering, via an online platform developed by Quantnet.

Core features

• Each student will interact with a dedicated Teaching Assistant, chosen from alumni or students of the Baruch MFE Program
• Students living in the tri-state area (NY, NJ, CT) can take the final exam at Baruch College
• A Certificate of Completion will be issued by the Baruch MFE program to students who pass the final exam and obtain a 70% or higher average. A Certificate of Completion with Distinction will be given for 90% average
• The certificate will meet the programming requirement of the Baruch MFE program
• Pace of study can be personalized over a maximum of 16 weeks from the date of enrollment
• Tuition cost is $1,450 and syllabus can be downloaded here
• Many more details can be found in our FAQ 

Registration is ongoing.

CMU MSCF students at the 55 Broad Street campus

Carnegie Mellon University (CMU) announces today that it will offer an online version of its Master in Computational Finance (MSCF) program, to be called MSCF ONLINE starting in Fall 2012.

Among the first universities to offer a master degree in financial engineering (MFE) degree in the US during the 90s, CMU MSCF program attracts a large pool of applicants vying for 90-plus slots available at both main campus in Pittsburgh and its downtown NYC campus. For the 2011 admission year, CMU MSCF received an all-time high 1,123 applications, most among all MFE programs.

While not the first university to do so, the decision by CMU to offer a quantitative finance online degree marks a new phase in the increasingly competitive MFE education landscape. University of Southern California recently introduced an online MFE degree, delivered through Viterbi School’s Distance Education Network (DEN). Stevens University is another offering an online certificate and degree equivalence of its Financial Engineering program. University of Washington offers two online certificates, one in Computational Finance and another in Financial Risk Management.

These are not the only educational options available online to anyone unable to take the usual night-time courses for part-time students. Certificate in Quantitative Finance (CQF), a $20,000 six-month online program run by 7City and started by Paul Wilmott, claims to “educates many hundreds of people every year, all around the world, in the highest level quantitative finance“. Despite the fact that CQF does not lead to a Master degree as those offered by many aforementioned universities, the low cost, short-time, access to online material, contribute to attract many to enroll.

Rick Bryant, Executive Director of the CMU MSCF program sounded plenty optimistic in his conversation with Quantnet. “We believe high quality, on-line instruction will continue to gain traction and are persuaded that this option will meet the needs of many individuals keen to develop their knowledge and skills in the field of quantitative finance but cannot relocate to Pittsburgh or New York”, he said.

Long known for its use of live telecast lectures between Pittsburgh and NYC campus, CMU MSCF plans to leverage the technology to give MSCF ONLINE students the most bang for their buck. Besides giving online students access to live and recorded video lectures, the program is actively exploring other modern technological venues such as forum for homework discussion, social media for networking.

With an estimated $3,228 per course, the 25-course MSCF ONLINE would cost close to $82,000, the most expensive among similar online offerings. Adding to the overall cost is a list of required hardware that all ONLINE students must obtain. Among them are a projector, a scanner, a HD webcam, and an approved computer. And no applicant who lives within 50 miles of either Pittsburgh or NYC campus need apply.

Realizing the obstacles to attract students to the MSCF ONLINE, CMU plans to pilot test the program on few applicants. Qualified applicants with a complete application by August 22 may be able to attend this Fall. This would allow CMU MSCF to work out technological kinks and logistical problems before Fall 2012.

CMU certainly would not be the last university to venture into online quant education. In September, Quantnet will introduce its own online C++ certification for MFE applicants in partnership with the Baruch MFE program and author/trainer Daniel Duffy.

With much of the world’s communication, entertainment, and learning gradually moves online, it’s not hard to imagine a future world where one would get an entire post-baccalaureate education online, even in such a highly specialized as financial engineering. Whenever it will be, it will certainly be just as competitive as their traditional counterparts.

The author of this article works as an associate for an investment bank in NYC trading exotic derivatives. The author holds a master degree. SHARE YOUR STORY

5:30 am: Alarm goes off. Told myself last night that I’d go to the gym downstairs in my building for a quick workout before work today. Not happening. Back to sleep. I really do go through this process most days. I probably should stop even bothering to set my alarm for this time.
6:00 am: OK now I’m up. Shower, get dressed, get on subway to work. You’d be surprised how few people are out on the street at this time.
6:40 am: I’m at the desk now in lower Manhattan. I log in to my PC, start up all my applications. I have a pricer, risk management system, Reuters, Bloomberg, chats, broker screens, etc. There’s a reason I have to use 6 screens piled on top of each other. One of the most senior sales guys is already in, wants to refresh a price I showed him yesterday for an important customer. Quickly make it for him. Don’t have to think too much about it since I thought about this one yesterday. Just have to get it into my pricing toy and check that vanillas are truly trading where the system says they are before I show the price.
7:00 am: Good morning, London. I announce that I am ready to start my day formally to my London counterpart, who fills me in on what happened in the markets in Asia and London morning, how we’ve made or lost money since yesterday, what horrible trades got stuffed into our book, and how we’ve hedged and/or are planning to hedge them.
7:15 am: London goes to get lunch. I’m in charge of trading deltas for a little bit until he gets back.
7:30 am: Start running risk reports for our book. Since the markets moved since yesterday and there have been some trades done overnight, our positions have probably changed a bit. They probably haven’t changed a huge amount, but it’s good to keep on top of it since small changes unwatched do add up.
7:45 am: Breakfast is served! The new junior on the desk brings everyone coffee and breakfast. It wasn’t so long ago that I was doing this.
8:00 am: A flurry of price requests from custies in London and New York come in just as I’m chatting with my partner in London about our positions. We split up the work and get down to making price after price. It’s important that prices go out quickly and it’s even more important that they’re correct prices. You can’t spend five minutes coming up with a price for a commonly traded product even if it is exotic. As I’m taking a bit long to get every price out I remember I should make some prices for the brokers as well – they get a request from a bank and ask each other bank anonymously to price it for them and proceed in an auctioning process until they match a buyer and seller and take a small commission on the trade – this is the best way to know exactly where the commonly traded exotic products are trading. This will in turn make me faster with price making since I won’t have to think as much. Sadly as markets change every day, you have to continually follow the pricing in the broker markets every day and can’t take a break. Otherwise you’ll get run over on a big customer trade. So after all the prices go out to the customers I make all the unmade prices in the broker market as well.
8:30 am: Talk risks and positioning with my London. What risks are we running in terms of the greeks? How have they been performing? What deals are they from exactly? Should we keep them? If so, should we add to them? What’s the best way to go about adding to them? There’s not just one product that we can trade that gives us certain greeks. To get stuff done it’s helpful to be a little clever about what we ask the market so people don’t know exactly what we’re trying to do. Any deals in our book that we think could turn into big headaches? What can we do about them now to help us if/when they become issues later? We’ve also got a reasonably sized prop book. We decide to punt something. So far this year we’ve just about broken even in the prop book, hopefully that’ll change.
9:00 am: Time to execute what we’ve decided to do in our conversation. We both ask our various brokers for a bunch of stuff. We’ll be working those interests for a while, probably.
11:00 am: The day has slowed down. We’ve gotten prices back on all our interests. Some we’ve gotten done, some we’re still waiting, some are just too far away or wide to do anything with. Oh well.
11:30 am: Corporate sales asks us some weird structure. No clue why a corporate would want to do this, but we show a price. Corporate sales shows the company a price much worse than what we showed them. The corporate trades and has its eyes torn out.
11:45 am: I quickly get lunch from the cafeteria and bring it back to my desk to eat. No lunch breaks in this job.
12:00 pm: London’s making an exit. I’m in charge of trading deltas now.
12:30 pm: Get an email with a resume attached from a current graduate student at my old program. Says a professor referred him to me. We don’t really have all that much in common and his resume looks about the same as everyone else’s. No real reason to go to bat for this guy unfortunately – I save that privilege for actual friends and even then I probably couldn’t do anything.
1:00 pm: Some announcement has come out. The market’s moving. I’m short gamma. Awesome. Stopping out like an idiot. I curse out loud in complaint to the trader next to me. He’s also short gamma and doesn’t feel sorry for me.
1:05 pm: Just got paid for one of my interests. I was on the offer. Probably should have raised my offer when the market started moving. Not really impressed with myself. Won’t be mentioning that in my end of day report. History will only be recorded as I got the interest done.
1:10 pm: Stuff still moving around, which is just when sales like to ask us for something to pitch to a client. I suggest someone sells me some gamma at an off market price. Nobody finds it funny. They ask for some prices. I make them.
1:30 pm: Customer asks for a refresh of one of the exotic prices I showed earlier, now that market is calmer. Is it any tighter now? Sure. He trades with me. Salesperson does the delta hedge for me. I ask a vanilla in the market against some of the risk I’ve just taken on.
2:00 pm: Day seems over. Nothing much going on now. Chat with the other guys on the desk about weekend plans.
3:00 pm: Our most prized customer asks a pretty large exotic price request. I’m a bit nervous. I can’t get this wrong. I show sales a price for it and promptly hide under my desk.
3:10 pm: Customer comes back, my ask was too high, doesn’t trade. Worse things have happened. He says he’ll be back tomorrow morning. Good. Then it can be my problem as well as my London’s jointly. Truthfully it’s this sort of stuff we make a lot of money on – doing this product with a customer and then hedging the component parts using vanillas. I’ll send an email out to the rest of the exotic team explaining my price and asking for their opinions.
3:30 pm: Couple small trades done here and there, nothing earth shattering. Just take them into the risk and don’t bother hedging (except of course for the deltas).
4:00 pm: Now the day is really over – hedge fund guys must have a nice life since they all seem be out of their offices already. Then I remember how often hedge funds unwind trades with us because the PM that put them on had been fired.
5:00 pm: Finish up all my end of day routines and send out a few emails. I like my job but they really do make you earn your money. I finish every day pretty mentally exhausted.
5:30 pm: Looks like I can head out now. Usually I can leave around now, definitely by 6pm. There are some days though I may have to wait for my Asia to get in, which is about 7pm. If there’s a disaster in the markets I might be staying well past 7pm to help them catch up, get up to speed, and start the day. The latest I’ve ever stayed was 11pm but that was a big outlier. 9pm is a more reasonable estimate of how late I would stay if something awful happened. Thankfully this is rare anyway. Say goodnight to the other guys on the desk and go home.
6:00 pm: Make it home. Change. I’m not a fan of business casual outside of work.
7:00 pm: Meet up with my girlfriend for dinner.
9:30 pm: Have to get to bed early if I’m going to make it to the gym at 5:30 tomorrow morning…

It has been a little while since my last post. I have been very busy with interviews and the recruiting season. It has been quite a ride. I have interviewed with several firms as I had mentioned in my last post. I have narrowed down my offers to the firm I will be doing my internship at. It is a large European BB. I will get out more details later.

The purpose of this post is to give out as many tips as I can as to how I believe a person can secure their dream internship. I am relatively new in finance but I worked VERY hard the last few months to attain my internship. I was lucky enough to have the option of having a couple offers to choose from.

So here are my tips…

1. Location – This is probably the most important thing. If you go to a school where there are strong placements you literally have to do absolutely nothing but show up to the interviews since your career services takes care of the rest. But if you don’t goto a target school then you have to be in New York. There are many that will say Chicago is a good alternative but your choices are basically restricted to prop firms. There is very few BB trading happening in Chicago. It literally comes down to New York or nothing. The proximity to New York is the most important. So pick a school in New York City or in the tri-state area. If you get into Harvard or Yale or any of the target schools then it doesn’t matter where you are, but if you don’t, be as close to NYC as possible. I have found this to be VERY effective.During my first four months in New York I went to almost every finance conference I could find. Many conferences will let you in as students. But more about this in next tip..
2. Networking – This has been my strongest suite. I have networked networked networked like a maniac over the last 8 months. As I mentioned during my first four months in New York I went to as many conferences as I could find and talked to everyone I could. I tried to get as many business cards as I could get and tell as many people my name. I made my own custom business cards and basically gave them to everyone I could meet. I tried to speak to everyone, big or small. I spoke to John Hull, I spoke to a tech analyst at a small hedge fund. I did not leave anyone out. My motif was to get my name across to as many people I can in finance. I had built up a good database of emails after a while that I used later on for internship requests.  I made a lot of good friends during this period too. I would say the friendships and the mentors I have built during this period are the most valuable to me. I am able to call Managing directors of large banks (CS,JPM,GS) hedge fund traders, private equity portfolio managers and quants my friends.

   People might say, “I don’t have the money to go to all these conferences.” I have taken significant loans to pay for my schooling. Even though I go to Baruch where tuition is low, I live in midtown Manhattan and my cost of living is high. I chose to live in manhattan since I wanted to be in the middle of it all. I did not have money to goto conferences. My loan was just about enough to pay for tuition, food and rent. I literally was eating less so that I could save money to goto conferences. I was emailing the conference organisers and pressuring them into giving me significant student discounts so that I could attend. You have to make sacrifices. I did, and it was all worth it now. Be pro-active.

3. Applying – Many people say applying online does not result in much. This is not true. It does have a very low probability of working out into an interview but there is a chance that you might get called for an interview. My friends have got interview calls from Goldman, UBS and JPM by just applying online. I myself have got interviews at two large hedge funds and a big bank by just applying online and having no connections inside. So, take the time and work on your applications and apply to AS MANY companies as you can. You apply to 100 firms and maybe one of them will hit, so apply to as many as you can.

   Quantnet maintains a list of firms with quant internship positions.

4. Be Flexible – Everyone wants to be a trader and become rich overnight. That is most likely not going to happen. Even if you want to be a trader it won’t happen for a very long time. But there are possibilities that it might. Be flexible in terms of what you want to do. Risk management is an area of big growth right now. It will be a lot easier to get full-time offers if you do internships in risk management compared to Sales and Trading. If you are so fixated on money, trust me you can make a good living in risk management. One of my friends is working at a large bank in their risk management group and is a fresh graduate of an MFE program and has been working for almost a year now and his total compensation for this year was around 120K. I think that is pretty awesome. So be flexible, and look into risk management, technology and analytics and don’t just be fixated on getting trader jobs.
5. Knowledge – No one is going to ask you to code a finite differencing scheme during your interview or to solve stochastic differential equations. Here are some basic things you MUST know before going to ANY interview. These are things you should know in GENERAL even if you don’t go to an interview as it could come up during a conversation at a conference or event.
   • Black-Scholes – You must know black-scholes like the back of your hand. It has come up in EVERY interview I have had. You should be able to derive the BS equation by ATLEAST one method. Wilmott’s FAQ book has 12 methods.
   • Greeks – You should be able to say exactly what happens to the Greeks when variables in Black-scholes are manipulated.
   • Bond – Know how duration and convexity work and how they are used in portfolios. You must know absolutely how yields work.
   • You must know these values:
     S&P Index
     Dow Jones Index
     VIX
     EUR/USD
     CAD/USD
     Stock of the company
     Market Cap of the company
     Fed Funds rate
     6 month, 10 year US Treasury Yields
     10 year Bund Yield
     WTI Oil
     Copper
     Latest Employment Data
   • Always be ready to pitch a stock. This is VERY common in Sales and Trading interviews. Be ready to pitch a stock with accurate price target and reasoning behind it.
   • Read the WSJ or FT as often as you can. Know what Bernanke has said the day before.
   • Product knowledge – In internships you are not expected to have a significant amount of product knowledge. You should the following products:CDS , IR swaps, Vanilla Options(European and American), Asian options, Barrier options, Corporate Bonds, MBS, CDO, Index’s , Equity, Futures, Forwards

At the end of the day, what I have noticed is that most of the decisions made for finance positions are purely based on fit. If you answer every answer wrong, but show strong enthusiasm and personality, you will probably get the job. It is all about communication.