November 2012 - mmf - University of Toronto

mmf
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year Master of Mathematical Finance
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3rd Edition, NOVEMBER
2012
MASTER
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FINANCE
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mmf viewpoint
mmf viewpoint
3rd Edition, NOVEMBER 2012
University
of
Toronto
From investment managers to book
writers, from risk managers to quants,
from baseball players to musicians, the
universe of mmf alumni continues to grow.
And this year's class is busy at work
already. mmf is always proud of our
students and alumni, but it is particularly
rewarding to witness them progress
through the ranks, and achieve increasing levels of seniority at their
institutions, and in some cases even emerge as true business
leaders. With this growth comes a new phenomenon, which is the
development of intern-mmf business relationships. mmf alumni on
the buy side are talking business with mmf alumni on the sell side;
service providers engage in mmf-centric sales presentations to their
mmf family members. And this is true not just in Canada, but on a
worldwide basis, and our recent reception in Asia provided us with a
first-hand look at how mmf is sedimenting in that part of the world.
This brings a very interesting new dimension to the value of our
brand. Not without an element of coincidence, we created a while
ago the alumni web site, where students, past and present, can go
and check who their fellow druids are; our hope is that they will
continue to perform the mmf wizardry amongst them, to further
develop them as business leaders, as honourable employees, and as
people.
-mmf Director, Luis Seco
SCHOLARSHIP
www.thorekscott.com
Thorek/Scott and Partners is a leader
in the field of Executive Search. As
strong supporters of the mmf program,
they endorse one student annually
with a scholarship.
mmf viewpoint
“I chose the Master of MathemaGcal Finance ( m m f ) b e c a u s e i t seemed the best way to make the jump from mathemaGcs to finance.”
2012
3rd Edition, NOVEMBER 2012
Principal Financial
Engineer
Export Development
Canada, Treasury
Department
2010 to present
2010
Senior Financial
Engineer
Export Development
Canada
Treasury Department
2007-2010
FRANÇOIS VILLENEUVE IS THE PRINCIPAL Q&
A FINANCIAL ENGINEER WITH EXPORT DEVELOPMENT CANADA. HE GRADUATED FROM mmf IN 2001 AND HAS WORKED FOR THE CANADIAN GOVERNMENT FOR OVER 10 YEARS Please describe in detail how your career path has taken you from mmf to
where you are now?
Portfolio Manager
2006
I joined the Treasury desk of Export Development Canada (EDC) in
September 2001 as a Portfolio Manager. EDC provides financial solutions in
support of Canadian international trades. For example, EDC lends to foreign
buyers of Canadian exports.
Master of Mathematical
Finance
University of Toronto
2000-2001
EDC’s Treasury department borrows on the capital markets through bond
issuance to fund such activities. The Treasury department also invests EDC’s
liquidity holdings and manages asset-liability mismatches on EDC’s balance
sheet.
I initially focused on EDC’s structured notes issuance and their associated
swaps. EDC issues structured notes to borrow low cost money. It then uses
structured swaps to hedge their inherent market risk. I quickly developed an
in-depth expertise regarding valuation models of such products.
EDC promoted me to Senior Financial Engineer in 2007. It aimed to bring my
capital markets and analytical expertise to other portfolios. I put in place a
multibillion dollar portfolio management framework to manage EDC’s capital
base while neutralizing market risk. I also coordinated and executed
numerous swap hedges as part of EDC’s public bond issuance program.
Finally, I developed an advisory function to other EDC teams who required
expert capital markets advice.
In recognition to my expanding role, EDC named me Principal Financial
Engineer in the fall of 2010. In that role, I expanded my advisory function to
EDC’s lending teams. I also developed an education function through finance
lectures at EDC and the University of Ottawa. Since April 2012, I have been
working with EDC’s Project Finance team on a six months temporary
assignment.
Did your internship during the mmf program kick start your career? How so?
Yes and no. No, because my internship did not lead to full-time employment.
Yes, because my internship allowed me to understand myself better. After my
internship, I better understood my preferred work environment. Furthermore,
I also learned what kind of life I was hoping to lead. All that helped determine
what I considered to be truly important for me.
Export Development
Canada
Treasury Department
2001-2006
2001
2000
B.Sc., Honours
Mathematics-Science
summa cum laude
University of Ottawa
Gold Medal for highest
standing in all B.Sc. Honours
programs,2000
Why did you choose mmf?
I chose the Master of Mathematical Finance
(mmf) because it seemed the best way to make
the jump from mathematics to finance. I did my
undergrad studies in mathematics and computer
science, but knew I wanted to find a way to link
them to the world of finance. The mmf offered
the best of both worlds: An advanced
mathematics degree that focused on solving
real life financial problems.
The mmf’s one year duration also appealed to
me. I was eager to finish school and start my
life.
mmf viewpoint
Q & A with François Villeneuve cont’d:
How would you describe the atmosphere and/or culture of
your work place?
What are the demands and challenges that typically
accompany this type of work?
As EDC’s sole shareholder, the Government of Canada
requires it to pursue a public policy mandate (i.e. support and
develop Canada’s export trade) while operating in a
commercially sustainable manner. Those two directives often
contradict each other. A successful EDC employee should
smoothly navigate through the ambiguity and put forward
solutions that satisfy both requirements.
What abilities do you think are most important to be
successful in this specific occupation?
The obvious ones revolve around what an mmf student learns
during the course of the program. Then, one should quickly
learn how the market works and how to smoothly execute
derivatives transactions. Finally, one should develop the
ability to gets things done with tact, regardless of bureaucracy
and office politics.
Is this a rapidly growing field? Is it possible to predict future
needs for workers in this field?
The EDC workforce has experienced limited growth since I
joined almost 11 years ago. EDC continuously finds ways to
generate cost savings, thereby reducing the need to expand
its workforce. EDC then re invests those cost savings in
initiatives that improve Canada’s success in international
trade.
What are the rewarding aspects of your work?
International trade makes a significant contribution to
Canada’s prosperity. As part of the EDC team, I can make a
direct impact on Canada’s economic success in the world. I
find it rewarding to connect my work to the lives of Canadian
people.
EDC’s work environment mixes government and commercial
bank culture. This odd mix can sometimes prove confusing
and even frustrating. But it also provides for wonderful
relationships with colleagues and a feeling that the employer
truly works hard to create a supportive, positive and healthy
work culture.
What inspired you, or motivated you, to pursue this career
path?
As an undergrad student, I did not entertain lofty ambitions for
my career. I had little desire for fame or power. I simply
wanted to pursue a career that would interest and challenge
me. It turns out that math and finance interested me the
most. I therefore applied to the mmf program, and the rest is
history.
What career advice would you give to a new mmf graduate?
I would advise new mmf graduates to take some time to get to
know themselves.
A new graduate should ask him/herself tough questions.
What do I want in life? What kind of job gets me there? Are
fame and power important for me? How much am I willing to
invest in my career? How much do I want to work? Where
do I want to live? Do I want to be close to my family? Do I
want to have clients (investment bank) or do I want to be the
client (borrower, pension fund, corporate treasury)? Why am I
in finance? I am here to compete and gain power? Am I here
to make a lot of money? Or am I here just because I happen
to like the topic?
No one should pass a moral judgement on your answers.
This is not a test. There’s no right or wrong. Answering
truthfully will lead to what’s right for you. Your answers
provide you with the clues you need to shape a fulfilling and
happy life. Ultimately isn’t that what we all want? ¶
Events in the last year.
University where Dr. Luis Seco was the
keynote speaker.
It has been a busy start to the year
2012/2013 at mmf.
We held a small reception for our alumni
and industry contacts in Beijing. It was
hosted by Beijing Innofi Management
Consulting Company.
There were close to 500 applications, 180
interviews and a class size of 32.
The mmf students were invited to more
information sessions for full time
rotational programs than any other year.
Sessions were held at CIBC, Scotiabank,
Bank of Canada, National Bank, Omers,
Bank of Montreal,
Internship sessions were held at Manulife
and Ontario Teachers Pension Plan
(OTPP).
We participated in a conference in Beijing
China 3-C Risk Forum at Beihang
3rd Edition, NOVEMBER 2012
Recently, I was in NYC and had dinner
with our Alumni. It was great for
graduates from different years to meet
and form relationships in the Big Apple.
We are reaching out to our alumni - a
reception is planned for Mexico City in
May 2013.
We are in the process of planning
receptions in the following cities:
London
New York
Beijing
Shanghai
Hong Kong
Singapore
We have implemented a new web-based
internship CV list where our sponsors can
see in real time which students are
available for internships. This is working
very well. Please contact
[email protected] if you
want to view the CV’s.
We are reaching out to all of our Alumni.
Please visit our website:
http://www.mmf.utoronto.ca/
and enter your information/CV to have
this information available for all alumni.
Shari Kurgatnikov
External Relations Officer
mmf viewpoint
3rd Edition, NOVEMBER 2012
MICHAEL CHANG IS AN ANALYST AT CPPIB, AND AN mmf GRADUATE FROM 2011. “As with most quanGtaGve finance jobs, problem solving skills are very important. However, I think it is just as important to take a step back and think about how my current role and tasks are linked to the departmental and company objecGves.”
Analyst CPP Investment Board
September 2011 - Present
Investment Analyst
2012
Q&
A 2011
Ontario Teacher’s Pension Plan
Internship, credit trading desk
January 2011 - April 2011
2010
University of Toronto
Masters of Mathematical Finance
2010-2011
2009
University of Waterloo
2008
University of Waterloo
BASc Hon, Mechatronics
Engineering
Analyst
Fore Research & Management, LP
September 2007 - December 2007
Currently I work in Total Portfolio Management (TPM) at
CPP Investment Board. TPM – as the name suggests –
manages the fund with their focus on what benefits the
portfolio as a whole in contrast to other investment
departments whose focus is on specific investment
programs. The department leads the design of the
CPPIB Reference Portfolio, risk budgeting for the total
active portfolio and evaluates the risk-return properties
of investment strategies and opportunities in the context
of the total portfolio. My primary job responsibility is to
develop and maintain the quantitative framework and
tools needed to support TPM.
Did your internship during the mmf program
kick start your career? How so?
Summer Analyst
Barclays Global Investors
May 2008 - August 2008
There are several mathematical finance programs in
Canada with different sets of strengths and weaknesses.
I was drawn to mmf due to the program’s close proximity
to Bay Street, lectures that are run by industry
professors, and the strong track record of internship and
full time placement. Some of the other programs are
more academic in nature, and may be more attractive to
individuals who wish to pursue further education post
graduation. I think the strengths of the mmf program are
its connection to the industry and the ability to gear
program materials toward demands in the job market.
What are your primary job responsibilities?
Post-Degree
2009-2010
Why did you choose mmf?
2004
My internship experience was certainly beneficial. I
worked at the credit trading desk at Ontario Teachers’
Pension Plan (OTPP). I was mainly involved in trading
strategy research and assisted with their newly launched
convertible arbitrage program. The mathematical rigor
of mmf together with the practical experience from the
internship helped in getting job interviews at places I
wanted to work.
mmf viewpoint
Q & A with Michael Chang cont’d:
3rd Edition, NOVEMBER 2012
2012 mmf STUDENTS’ HIDDEN TALENTS
Colak, Pinar
What abilities do you think are most important to be successful
in this specific occupation?
As with most quantitative finance jobs, problem solving skills
are very important. However, I think it is just as important to
take a step back and think about how my current role and
tasks are linked to the departmental and company objectives.
The most complicated task may not be the most important
task, and this exercise may help prioritize the work at hand.
How would you describe the atmosphere and/or culture of your
work place?
I find TPM to be extremely practical in our approach to solving
problems, but a lot of our framework stems from theoretical
grounds. Our culture is very collaborative in nature, and
different groups within TPM will interact on a daily basis to
tackle tasks together. Different groups have different expertise
and perspective, and I think our strong working relationship
differentiates us from other workplaces.
What inspired you, or motivated you, to pursue this career
path?
During my undergraduate studies in engineering, I was looking
for a co-op placement outside of Canada to experience
working outside my usual comfort zone. I wasn’t looking for
anything specific, and luckily landed a placement at a hedge
fund in New York as a programmer. I was attracted to the
dynamic nature of the investment industry and the challenges
people were trying to solve (this was during the beginning of
the sub-prime mortgage crisis). From then on, most of my
interviews were at buy-side companies, with Barclays Global
Investors being my next co-op placement. So personally, a
career path in investment management was a natural choice.
Dempsey,
Powerlifter
-­‐-­‐-­‐Matthew Dempsey
Jia, Fei
Li, Yifei (St
“I'm a 4 handicap and former two-­‐time club champion at Markland Wood Golf Club.”
-­‐-­‐-­‐ Andrew McMullen
McMullen, Andrew
Alamdar, Amin
“I played in a band called Long Range Hustle and I played lead guitar. We toured throughout Ontario and recorded an album called "In Case of Fire" in Vizsolyi, David
2010. We have a website Colak, Pinar
www.longrangehustle.com, a Facebook page, and a twitter account if you want to check us out.” -­‐-­‐-­‐Josh Weiss
“I have learnt hip-­‐hop and jazz dance, so I am interested in dancing.”
-­‐-­‐-­‐Katelyn Zhu
Nunez Trujillo
Ata
Weiss,
Demp
Zhu, Katelyn
Zhang, M
Jia, Fei
Li, Yife
What career advice would you give to a new mmf graduate?
In 2011, my fellow mmfers and I were actively interviewing and
looking at the job market for new postings. Job search may be
stressful at times, and there is always the risk of waiting too
long for the perfect job. But I still think that it is very important
to take your time and really think about the career path you
wish to pursue, and how different opportunities can help you
get there. ¶
mmf is pleased to announce mmf Alum, Chia Chiang Tan, has written his second book entitled Market Practice in Financial Modeling.
“I can sing very well.”
-­‐-­‐-­‐Meng Zhang
McMullen, Andrew
Nunez T
“I am an ex-­‐national level swimmer and was on the varsity team at UVic.”
-­‐-­‐-­‐David Vizsolyi
Vizsolyi, David
"I am a pianist and have performed in several concerts."
We
-­‐-­‐Phillip Jang
Zhu, Katelyn
Zh
mmf viewpoint
3rd Edition, NOVEMBER 2012
JASON RICCI, mmf ALUM and mmf TA
TA for mmf program
2011 Present
PhD Candidate
2010Present
University of Toronto
Department of Statistics
Research interests: Analysis of
algorithmic trading strategies via
stochastic control theory
Application of self-excited processes
to market microstructure modeling
Q&
A Please describe in detail how your career
path has taken you from mmf to where you
are now?
After MMF, I decided to continue with
academia, at least for the time being, and
pursued a PhD in the Dept of Statistics. My
research in algorithmic trading has landed me
an internship at BMO Capital Markets for the
summer of 2012.
How did you find out about mmf?
Having done my undergrad at UofT, mmf was
popular topic among students and professors
when it came to graduate programs.
Analyst
BMO Capital Markets
Summer
2012
Analyst in Financial Products in
the MFL (Mathematical Finance
Library) group
Financial Engineer
Manulife Financial
Winter
2010
Worked on the Derivative Strategy
team in the Variable Annuity
Hedging Department
Master of Mathematical Finance
University of Toronto
2009 - 2010
Why did you choose mmf?
At the time of application, I was eager to join
the workforce. I was looking for a program
that taught finance from a quantitative
foundation and provides promising internship
and full-time opportunities.
What are the greatest challenges and rewards
of being a TA for the mmf program?
The greatest challenge has to be trying to
cater the delivery of course material to the
diverse background of each student.
Honors Bachelor of Science
University of Toronto
Specialist in Actuarial Science (Department
of Statistics)
Graduated with High Distinction
NSERC Undergraduate Student
Research Award, Woodsworth
College Certificate of Academic
Excellence, Woodsworth College
Dorothy Helen McRobb Scholarship
Did
you
know...
20052009
Pending publication: Buy Low, Sell High:
A High Frequency Trading Perspective
Winner of the BMO Capital Markets
Advanced Research Scholarship for
2012
Winner of the Ontario Graduate
Scholarship (OGS) for 2011-2012
and 2012-2013
UNIVERSITY OF
TORONTO
Master of Mathematical Finance
http://www.mmf.utoronto.ca
mmf receptions in Beijing,
New York & Toronto
3-C Conference in Beijing
Master of Mathematical
Finance
720 Spadina Ave., Ste 219
Toronto, ON, Canada
M5S 2T9
416-946-5206