Financial Engineering Master’s in - University of...

M F E

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Master’s in Financial Engineering Program

S545 Haas School of Business

University of California Berkeley

Berkeley, CA 94720-1900

http://mfe.haas.berkeley.edu/

Dr. Linda Kreitzman, Director510-643-4329Fax [email protected]

Nebil Gali, Account Manager510-643-8191Fax [email protected]

M F E

Haas School of BusinessUniversity of California, Berkeley Master’s in

Financial Engineering

Recruiting GuideInternships and Full-time Positions

2006-2007

hmc_1005211_MFERecGuide_final 11/21/05 12:21 PM Page iii

Master’s in Financial Engineering

What is an MFE?

Dear Employer,

I am so pleased you are able to con-sider candidates from the Master’s inFinancial Engineering Program foropportunities at your company.

Whether you are from an investment

bank, commercial bank, insurance, money

management, treasury department, diver-

sified financial services company, or private equity/venture capital

firm, we are confident you will be impressed by the MFE students

from the Haas School of Business.

Our graduates are ready to help you immediately in the areas of

valuation, pricing, hedging, trading, risk management, project eval-

uation and portfolio management decisions. In addition to the

MFE degree, our students bring a wealth of professional business

experience to your firm.

I would like to speak with you regarding your firm’s needs. Our

students are available for 10- to 12-week fall internships and

full-time positions. If you have any questions, or to request elec-

tronic access to our resume book, please call me at 510-643-4329

or email me at [email protected].

Regards,

Linda Kreitzman, Ph.D.DirectorMaster’s in Financial Engineering ProgramHaas School of Business

Financial EngineeringThe Master’s in Financial Engineering(MFE) is a one-year graduate degreeoffered by the Haas School of Business.The MFE fills an important industry needfor professional training that is not met by either an MBA finance program or a Ph.D. in finance. Students learn toemploy financial economics, mathematics,and computer modeling skills to makepricing, hedging, trading, risk manage-ment, project evaluation, and portfoliomanagement decisions.

StudentsThe MFE Program at the Haas School of Business enrolls only 60 students each year.The small size of the program encouragesstudents to learn from each other, anddevelops team players with strong analyt-ical and interpersonal skills.

Our students have a high level of intellec-tual achievement and strong leadershipskills. They embody a diversity of back-grounds and professional experiences. They come to our program with impressiveprofessional experience, educational achieve-ments, and a passion for finance.

CurriculumHaas MFE students take 18 courses focusedon corporate finance, financial markets,and security valuation. Also covered are thenumerical and simulation mathematics andcomputer technology commonly used inthe industry.

With the added practical experience of athree-month internship and a comprehen-sive applied finance project, our graduatesare ready to work as financial engineers inyour firm.

Choosing the Best Candidate

M F E

Contents1 What is an MFE?

2 A Guide to Recruiting Opportunities

4 Employment Report

5 Recent Recruiters

6 The Haas MFE: A Pioneering and Practical Approach

7 Planning Your Visit to Berkeley

8 Campus Map

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(3) Preferred Method of Submission

Students can apply for positions in severalways: directly to the email address listed inyour posting, through your company (orthird-party) web site, or through our office.If you would like us to collect the submis-sions, we will keep your email address private, organize the files according toyour preference, and email them to you.

InterviewingOn Campus

Hosting on-campus interviews is one convenient and efficient way to meet ourstudents. Our office can help you pick adate, select an invitation list and choosethe schedule that will accommodate bothyour travel plans and our students’ classes.

Off Campus

If it’s not possible for you to visitBerkeley, our office can assist in coordi-nating interviews off-campus. We holdcareer fairs in several major citiesthroughout the year where you canarrange to meet students, and we alsohave videoconferencing facilities.

Resume BooksThe resumes of recent MFE graduates andcurrent MFE students are available inhard-copy and electronic format toemployers free of charge.

Posting PositionsIf you have a position that you would likeshared with the MFE students at Haas,please contact our office. We will post theposition on our internal secured site. Notethat before you call, it helps to have thefollowing:

(1) Position Title and Description

Firms that provide detailed informationabout the available position and the company have the most success findingappropriate candidates.

(2) Position Start Date

If you have an immediate start date for yourposition, we can also email the posting toour MFE alumni for their consideration.

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Internship ProgramSponsoring an MFE intern allows you to see how apotential employment candidate performs at yourcompany. Our internship program runs from mid-October to mid-January. During this 10- to 12-week period, students are encouraged to completea challenging project in quantitative finance. Paststudent internships have included building andtesting financial models, conducting statisticalresearch, and evaluating portfolio risk.

Sample MFE projects:

• Valuation of collateralized debt obligations (CDOs)• Determining credit ratings using option-

adjusted spreads• Default pricing and hedging of convertible

bonds and other risky debt• Hedging foreign exchange risk for

multinational companies• Performing swap-rate analysis and interest

rate simulations• Creating real options applications to evaluate

intellectual property• Evaluating risk in principal protected funds,

including funds of hedge funds• Researching ways to minimize taxes in the

intra-company funds transfer process • Preparing and coding alpha/risk sector models

for banking, utilities, and insurance sectors• Accurate measures of hedge fund volatility• Construction of a currency index• Distinguishing the appropriate benchmark for

US equity portfoliosIf you have a project that could use the work of agraduate student intern, please contact Dr. Kreitzman at 510-643-4329,[email protected].

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Recruiting ScheduleThe MFE Program offers a variety of services tocompanies interested in recruiting its students.The following is just a sampling of the net-working and recruiting opportunities availableto you.

Career Fairs

The MFE Program holds career fairs in majorcities in October and February, including San Francisco, New York, Boston, and Chicago.Company participation in career fairs is free.Attendees include current students and recentgraduates of the program.

On-Campus Presentations

Financial Practice Seminar Series

(Weekly, April – August)Companies are welcome to present to our students at any time during the academic year.An effective company presentation provides the MFE students with information about your company’s products and services, andexplains the various career paths available for financial engineers.

The industry perspective is integral in keepingour students abreast of changing trends.Company leaders are invited to discuss theirfirm’s products and/or showcase cutting-edgeresearch and topics that MFE students canundertake for their faculty-supervised appliedfinance projects (confidentiality agreements are signed).

A Guide to Recruiting Opportunities

2006-2007 2007-2008

1st Term

Instruction Begins March 27, 2006 March 26, 2007

Instruction Ends May 19, 2006 May 18, 2007

2nd Term

Instruction Begins June 5, 2006 June 4, 2007

Instruction Ends July 28, 2006 July 27, 2007

3rd Term

Instruction Begins August 14, 2006 August 13, 2007

Instruction Ends October 6, 2006 October 5, 2007

Internship

Project Begins October 16, 2006 October 17, 2007

Project Ends January 5, 2007 January 4, 2008

4th Term

Instruction Begins January 16, 2007 January 14, 2008

Instruction Ends March 9, 2007 March 7, 2008

Graduation March 16, 2007 March 14, 2008

April - July• Financial Practice Seminars

June - September• Resume Books Available

• Interviews (Internships)

October - January• Internships

• New York Job Fair (Full-time Placement)

February - March• Career Fairs in Major Cities

• Interviews (Full-time Positions)

Profile of MFE Students: Class of 2006

Admissions

Applications Received: 208

Admitted: 81

Enrolled: 60

Women: 16%

Men: 84%

Enrollment Profile

Average Age: 28

Average Post-university Work Experience: 4 years

Average Undergraduate GPA: 3.59

Average GMAT/GREQuantitative Score: 91%

Prior Degrees

Bachelor’s: 40%

Master’s: 45%

Ph.D.: 13%

J.D.: 2%

Prior Majors

Engineering: 23%

Mathematics: 25%

Economics: 15%

Finance: 7%

Natural Sciences: 12%

Computer Science: 8%

Business: 10%

Humanities: 0%

Prior Work Experience

Engineering: 7%

Marketing/Sales: 0%

Information Systems: 9%

General Management: 0%

Finance: 34%

Research & Development: 18%

Project Management: 7%

Consulting/ManagementServices: 16%

Planning: 0%

Other: 9%

Final Round Interviews, Offers, and Notifying Candidates

Since firms have different timetables forscheduling advanced interviews, we askthat you keep an open line of communica-tion with the MFE office and the studentsabout their candidacy at each stage of yourprocess. Although the timeline is ultimatelyyour decision, we ask that you give studentsone week to consider your offer.

International Students

We encourage you to include internationalstudents on your interview schedules forboth domestic and international positions.It is not difficult to hire an internationalstudent. Work permission for internships isauthorized by officials on the Berkeleycampus without employer involvement.Graduating students work for one yearunder the practical training provision oftheir visa while the employer applies forthe H-1B visa to extend work eligibility. Acomplete explanation of the H-1B visaprocess is available at http://www.bcis.gov.

MFE Academic and Recruiting Calendar

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Employment Report (2004 - 2005)

Erik Wong, MFE 06Associate Sales Strategist (intern), Goldman, Sachs & Co.New York, NY

After graduating with a bachelor’s degree in Physics andMathematics from the University ofCalifornia, Berkeley,Erik Wong knew hewanted to work infinance. He went on toan internship in FixedIncome Research forBarclays GlobalInvestors in SanFrancisco. Now he is

happy to be a part of the MFE Program. “Not onlyhas the MFE given me the knowledge and the confidence to approach complex and unfamiliarproblems in quantitative finance,” says Erik, “but ithas also given me the opportunity to network withother highly motivated professionals and find newfriendships that were clearly meant to be.”

ABP InvestmentsAllianz Hedge Fund Partners - San Francisco,MunichAmaranthAmerican Century InvestmentsAmerican International Group (AIG)American Life Insurance Company (ALICO)Analytic InvestorsAperio Group, LLCAXA Rosenberg Investment ManagementBank of America - Charlotte, Chicago, New YorkBank of JapanBarclays Capital - New York, LondonBarclays Global Investors - San Francisco, LondonBaystar Capital ManagementBear StearnsBlackrockBNP ParibasCIFG Services Inc.Citigroup Global Markets - New York, Hong Kong,LondonCountrywide Financial CorporationCredit Suisse Asset ManagementCredit Suisse First Boston - New York, TokyoDeephaven Capital ManagementDentsu, Inc.Deutsche Bank - New York, TaiwanDeutsche Bank Securities TokyoDorchester CapitalDow JonesDuff & Phelps (formerly Standard & Poor's)Eldorado Asset Management Fair Isaac CorporationFannie MaeFireman’s Fund Insurance Co.First Manhattan Consulting GroupFitch RatingsFitch RiskFranklin TempletonGE Private Asset ManagementGifford Fong AssociatesGoldman Sachs - London, New YorkGSA - Global Statistical ArbitrageGSC PartnersHedge Funds - Los Angeles, San Francisco,Chicago, New York, BostonHitachi, Ltd., JapanIntel CorporationInvestors Bank and TrustJ.P. Morgan Securities (Asia Pacific) LimitedJP Morgan ChaseKnight Equity Markets

KPMG Law & Economics Consulting Group (LECG)Lehman Brothers - Tokyo, New YorkMathematica Capital ManagementMBIAMcKinsey & Company - GermanyMellon Capital ManagementMerrill Lynch - Tokyo, Hong KongMicrosoftMilliman USAMoody’s KMVMorgan Stanley - New York, LondonMSCI/BARRA, New York, BerkeleyNephila CapitalNicholas-Applegate Capital ManagementNomura Securities - New YorkNorinchukin BankOaktree Capital ManagementPacific Alternative Asset Management Company(PAAMCO)Pacific Asset ManagementPacific Gas and Electric CompanyPacific Investment Management Company(PIMCO)Pequot CapitalPMI GroupPrudential FinancialPutnam InvestmentsQuantal Asset ManagementQuantal International, Inc.RCM Capital ManagementRecon Limited Liability CorporationThe Rohatyn GroupSamsung KoreaSanford C. BernsteinSchwab Investment Research CenterShinkin BankShinsei BankSymphony Asset ManagementTricera CapitalUBS WarburgUnited Capital Asset ManagementUnited Capital MarketsWachovia SecuritiesWashington MutualWells Capital ManagementWells FargoWilliams CompaniesWorld Bank, IBRDWR Hambrecht, LLC

To discuss your recruiting needs or request a resume book, call: Dr. Linda Kreitzman, 510-643-4329, email [email protected] Gali, 510-643-8191, email [email protected]

Luca Barone, MFE 05Credit Derivatives Sales Strategist,Goldman SachsLondon

Luca joined the MFE Programafter graduating summa cumlaude from Luiss Guido CarliUniversity in Rome, where hestudied economics andfinance. After completingthree-quarters of the MFE curriculum, he secured aninternship at Goldman SachsLondon, working as a desk

strategist under Dr. Klaus Toft, the head of the CreditDerivatives/Quantitative Strategies team. Theinternship provided Luca with a valuable opportunityto get a head start in P&L analysis of credit deriva-tives trading strategies. In particular, he focused ondelta-hedging long/short synthetic CDOs by theunderlying (single-name or index) CDSs. “The MFEgave me a thorough understanding of derivativespricing and hedging through Mark Rubinstein’s andFrancis Longstaff’s classes on Derivatives and FixedIncome, respectively,” he says. “This set of skills,along with the broad exposure to credit productsand modeling techniques that I have gained in theCredit Risk Modeling class, enabled me to be imme-diately prepared to deal with real business situationsand to effectively contribute to the team.”

Luca is now employed full-time at Goldman Sachsas a Credit Derivatives Sales Strategist in the FixedIncome, Currency & Commodities Group.

Ambika Bisla, MFE 04Associate, Morgan StanleyNew York

Before joining the MFEProgram, Ambika Bislaspent three years withLehman Brothers in theGlobal Structured Finance Group in New

York. She holds an MBA from the Indian Institute ofManagement, Ahmendabad and a BA in Economicswith honors from Delhi University in India.

Ambika chose the MFE Program because she wanted to learn cutting-edge techniques in quantitativefinance. “The combination of theoretical finance andpractical models makes the MFE degree extremelyvaluable,” she says. “UC Berkeley was the perfectchoice with its winning combination of an accom-plished faculty and an academic atmosphere.”

Ambika is now an associate with Morgan Stanley in New York.

Zhiming Jiang, MFE 03Associate, Terry BenzschawelDirector, Quantitative CreditModeling & Analytics Group, Citigroup Global Markets New York

Zhiming’s contributions atCitigroup Global Markets during his MFE internshiphelped convince senior members of the firm to offerhim a permanent position. In addition to enhancingCitigroup’s structural model used to predict corporatecredit spreads, he built the infrastructure necessary tointegrate a vendor-supplied model for corporate credit.Terry Benzschawel, director of the Quantitative CreditModeling & Analytics Group, supervised Zhiming.“The project required strong math and programmingskills, as well as the ability to comprehend academicfinance literature,” Terry says. “After the extensive pre-internship interviews, we were convinced Zhimingwas the ideal candidate, and he did not disappoint. Asan intern he distinguished himself by solving problemsin creative ways, mastering new tools, and effectivelydealing with members of the group.”

Locations

These prestigious firms from around the world employed one or more Haas MFE students for the fall internship program or for a

full-time position upon graduation.

Asset Management25%

Accounting/Credit Reporting 3%

Investment Banking& Brokerage 32%

Financial Software 5%

Insurance 5%

CommercialBanking 11%

Structured Products/Derivatives 12%

PortfolioMangement14%

Entrepreneur2%

RiskManagement15%

CreditRisk 8%

Equity 4%

Strategy12%

Consulting 4%

Recent Recruiters of MFE Students

Industries

Job Functions

Consulting, InvestmentResearch/Advisory 8%

InternationalBanking 11%

Trading 17%

Other 2%

Fixed Income10%

United States – West41%

United States – East35%

Asia 13%

Europe11%

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Planning Your Visit to Berkeley

If you are able to conduct interviews on campus,we will send you driving directions, a parkingpass, and logistical information a few days priorto your interview date. On the day of the inter-views, we suggest that you arrive 15 minutesbefore your first interview to park, acclimateyourself, and prepare for the day.

Traveling to the San FranciscoBay AreaTravelers to the San Francisco Bay Area may flyinto either Oakland or San Francisco. The SanFrancisco International Airport (SFO) is locatedsouth of San Francisco, across the bay fromBerkeley. The Oakland International Airport (OAK)is smaller and closer to Berkeley. You may takepublic transportation from both airports. A taxi toBerkeley costs around $35 from Oakland versus$45-50 from San Francisco. For airport shuttlesfrom either airport, you generally need to call 24hours in advance and again upon your arrival atthe airport.

Airport Shuttles to BerkeleyBayporter510-864-4000 or 415-467-1800

OAK-Haas $19 + $10/each add’l passengerSFO-Haas $22 + $10/each add’l passenger

Bridge Airporter Express800-300-1661

OAK-Haas $19 + $10/each add’l passengerSFO-Haas $40 + $10/each add’l passenger

City Express Shuttle & Limo888-874-8885

Shuttle:OAK-Haas $17 + $10/each add’l passengerSFO-Haas $28 + $10/each add’l passenger

Limo:OAK-Haas $79SFO-Haas $99

Taxi CompaniesAirport Express Cab510-234-1111OAK-Haas $35SFO-Haas $45

American Yellow Cab510-655-2233OAK-Haas $35SFO-Haas $45-50

Getting from Here to There: PublicTransportation to BerkeleyFrom the Oakland Airport, take the AirBART shut-tle ($2; purchase your ticket at the machine inthe terminal before boarding the shuttle, runsevery 10 min.) to the Coliseum/Oakland AirportBART station. Then take the Richmond BARTtrain ($1.90) to the Downtown Berkeley station.Outside the station exit, board the UC BerkeleyCampus Perimeter Shuttle (50 cents) at the cor-ner of Shattuck Avenue and Addison Street, infront of Scandanavian Designs. Get off at theHaas School of Business stop.

From the San Francisco Airport (InternationalTerminal), take a Pittsburg/Baypoint-boundBART train to the Daly City Station, and transferto a Richmond-bound train ($5.50). Exit at theDowntown Berkeley station. Outside the stationexit, board the UC Berkeley Campus PerimeterShuttle (50 cents) at the corner of ShattuckAvenue and Addison Street, in front ofScandanavian Designs. Get off at the HaasSchool of Business stop.

Driving Directions to BerkeleyFrom Oakland Airport

1. Take 880 North to Oakland.

2. At the 880-80 junction, take 80 East to Berkeley.

3. Exit on University Avenue and head east (right)toward campus.

4. University Avenue dead-ends into campus. Whenyou reach the campus, turn left onto OxfordStreet.

5. Turn right onto Hearst Avenue.

6. Veer right onto Gayley/Piedmont Road (to theleft, this street is called La Loma).

7. The Haas School of Business is located on yourright-hand side, across from Memorial Stadium.See “Parking on Campus” instructions on thispage.

From San Francisco Airport

1. Take 101 North to San Francisco.

2. Take 80 East across the Bay Bridge and stay on80 East to Berkeley.

3. Exit on University Avenue and head east (right)toward campus.

4. University Avenue dead-ends into campus. Whenyou reach the campus, turn left onto OxfordStreet.

5. Turn right onto Hearst Avenue.

6. Veer right onto Gayley/Piedmont Road (to theleft, this street is called La Loma).

7. The Haas School of Business is located on yourright-hand side, across from Memorial Stadium.See “Parking on Campus” instructions on thispage.

Parking on CampusParking is limited on the Berkeley campus andparking regulations are strictly enforced.

If you plan to drive, please alert the MFE office sothat we can send you a parking permit and a mapof parking lots.

AccommodationsBelow is a list of selected hotels in Berkeley.Some provide shuttle service from the SanFrancisco and/or Oakland airports.

Bancroft Hotel(1 block from Haas)2680 Bancroft Way510-549-1000

Claremont Resort Hotel(approx. 1.5 miles from Haas)41 Tunnel Road510-843-3000

Courtyard Marriott(approx. 3.8 miles from Haas)5555 Shellmound StreetEmeryville, CA510-652-8777

Hotel Durant(2 blocks from Haas)2600 Durant Avenue510-845-8981

Doubletree(approx. 2 miles from campus)200 Marina Boulevard510-548-7920

first commercial investment firms to use theoriesdeveloped in the areas of diversification andasset-pricing to construct mutual and pensionfund portfolios. The firm later played a majorrole in commercializing portfolio insurance andother sculptured investment tools.

Professor Emeritus Mark Garman, who taughtone of the first US courses to combine financialtheory, quantitative analysis, and computer science, is credited with giving an identity to the entire field by coining the term “financialengineering” in the early 1980s.

About the Haas School of BusinessFor more than 100 years, the top-ranked HaasSchool of Business has prepared outstandingindividuals for leadership roles on the forefrontof finance, commerce, and industry. These menand women earn a degree from the Universityof California, Berkeley, one of the finest institu-tions of higher learning in the world. As a pioneer in offering the Master’s in FinancialEngineering (MFE), the Haas School is still oneof only a handful of business schools to offerspecialized study in this field that has reinventedfinancial decision making.

Today financial engineers play an integral andgrowing role in investment banks, commercialbanks, and even global corporations.Anticipating this need has been the Masters inFinancial Engineering (MFE) Program at theHaas School of Business, ranked #1 by GlobalDerivatives. We are preparing a new generationof professionals to apply theoretical finance andcomputer modeling skills to reduce risk andmake informed pricing, hedging, and portfoliomanagement decisions.

Our students learn to think like financial econo-mists and gain in-depth understanding of themathematical framework that underlies finan-cial markets. They benefit from the application-oriented approach of the program -- the onlyMFE curriculum developed completely by abusiness school. Students gain experience inhandling structured products, such as mort-gage-backed and asset-backed securities.Studying at one of the nation’s top-ranked business schools also affords access to a rigorouscourse of study delivered by professors who arepractitioners as well as dedicated researchers.

Haas Program Home to MFE PioneersPart of what makes the Berkeley MFE Programstand out is that it draws on the expertise ofsome of the pioneers of the financial engineeringfield. Its executive director is John O’Brien, whofounded Leland O’Brien Rubinstein Associateswith Haas finance professors Mark Rubinsteinand Hayne Leland in 1972. It was one of the

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The Haas MFE: A Pioneering and Practical Approach

MFE Highlights• Ranked #1 among financial

engineering and quantitative finance master’s programs by Global Derivatives in 2004

• Founded in 2001

• One-year intensive program

• All students complete applied finance project and three-month internship

• Only 60 students enrolled annually

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Campus Map

Non-DiscriminationPolicies

It is the policy of theHaas School ofBusiness, in accordancewith applicable federaland state law and uni-versity policy, to supportequality of educationaland employment oppor-tunity. No person shallbe denied admission toany educational pro-gram or activity, or bedenied employment, onthe basis of any legallyprohibited discrimina-tion involving, but notlimited to, such factorsas race, color, creed, reli-gion, national or ethnicorigin, sex, sexual orien-tation, age, or handicap.Sexual harassment is anact of discrimination,and, as such, will not betolerated.


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