1. Financial Engineering: Career and Perspectives
Artur Sepp
Bank of America Merrill Lynch
24 March 2011 │ University of Leicester Postgraduate Careers Symposium

2. Financial engineering jobs
Bank of America Merrill Lynch quantitative group
Personal career path
Advice

3. Financial Engineering Jobs
Provide quantitative analysis of financial products, their present values and risks
− Support trading (good for MSc)
− Assist risk-management (good for MSc)
Develop and maintain firm-wide trading and risk management systems
− Implement valuation models (need a PhD)
− Interface between data and models (IT job)
− Store data, time series of prices, dividends ets (IT job)
Trading strategies
− Develop and test automated trading strategies
− More typical for hedge funds, trading firms
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4. Financial Engineering Jobs
Quantitative positions (Mark Joshi 1))
Front office / desk quant
− work on implementing/improving models, assist traders
Model validating quant
− review existing and new models, assist risk-management
Research quant
− develop/examine new models
Quant developer
− build/maintain firm-wide valuation/risk-management systems
Statistical arbitrage quant
− develop automated trading strategies
Capital and counterparty risk quant
− analyze firm’s credit exposures and counterparty risk
1) On becoming a quant, www.markjoshi.com/downloads/advice.pdf
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5. Financial Engineering Jobs
Product lines
FX
− foreign exchange market
Fixed income
− bonds, interest rates products
Equities
− stocks, indices, convertibles
Commodities
− energy, soft commodities, industrial and precious metals
Credit
− credit default swaps, swaps baskets
Hybrid
− equity-interest rate, equity-credit
Algorithmic trading
5 − orders execution, proprietary trading

6. Financial Engineering Jobs
Employers
Investment banks (GS, MS, JPM, BAC)
Commercial banks (RBS, HSBC, Santander)
Hedge funds
Insurance, asset management companies
Software companies
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7. Financial Engineering Jobs
Educational requirements: MSc (support roles), PhD (development roles) in a
quantitative subject
Work life: use computer science and mathematical methods for quantitative analysis
and decision making
Computer skills: C++, Excel spreadsheets
Working hours: 8:30 – 7:00 (vary from role to role)
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8. Bank of America global quantitative group
Co-Heads: Alex Lipton (London) and Leif Andersen (New York)
Globally about 160 quants ( ~50% PhD, ~50% MSc/DEA)
Global support for rates, equities, currencies, commodities
Intern opportunities for year 2012: looking for smart and motivated graduates
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9. Personal career path
Undergraduate
− BSc in Mathematical Economics at University of Tallinn
− Developed keen interest in quantitative models for finance: Markowitz and
Sharpe portfolio models, Black-Scholes-Merton models
Graduate
− MSc degrees in Financial Mathematics and in Probability and Statistics at
University of Tartu
− PhD in Probability and Statistics at University of Tartu
− Went to study in US and obtained MSc degree in Industrial Engineering at
Northwestern university in Chicago
First job
− Started internship in equity derivatives group with investment bank Bearn
Stearns in New York
− After completion got full time position
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10. Advice for graduates
During studies
− Develop keen interest in the subject
− Make emphasis on understanding and applications
− Foundations of financial engineering
− Excel, C++
During interviews
− Present the most competitive sides of your background
− Do not put on your CV things you don’t know
− Ask questions about the position, job responsibilities, team, career perspectives
− Show confidence
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11. Summary
Thank you for attention
Good luck with your studies, job search, and career!
(Brief) inquiries: artur.sepp@baml.com
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