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Enron Mail |
-----Original Message----- From: Steven Shreve <shreve@matt.math.cmu.edu<@ENRON Sent: Tuesday, December 18, 2001 6:50 PM To: Kaminski, Vince J Cc: shreve@cmu.edu; rlbryant+@andrew.cmu.edu Subject: MSCF Advisory Board Dear Dr. Kaminski: Following this e-mail is a summary of the recent meeting of the Advisory Board of the Carnegie Mellon Master's program in Computational Finance. We would appreciate hearing your views on the subjects discussed. Best wishes, Steve -- Steven E. Shreve Department of Mathematical Sciences Carnegie Mellon University Pittsburgh, PA 15213-3890 shreve@cmu.edu http://www.math.cmu.edu/users/shreve Direct Telephone: 412-268-8484 Department Telephone: 412-268-2545 Fax: 412-268-6380 -------------------------------------------------------------------- Summary of MSCF Advisory Board Meeting December 12, 2001 Advisory Board Members in attendance: Ashvin Chhabra First Vice President Director of Financial Strategies and Analytics Merrill Lynch Joseph Langsam Managing Director Morgan Stanley Art Mbanefo Managing Director Equity Derivatives and Convertible Trading Credit Suisse First Boston James Vinci Partner Paloma Partners Management David Waldman Senior Portfolio Manager and Director Fixed Income Quantitative Research Group Putnam Investments Carnegie Mellon Faculty in attendance: Richard Bryant Director M.S. program in Computational Finance David Heath Hoch Professor of Mathematical Sciences John Lehoczky Lord Professor of Statistics Dean, College of Humanities and Social Sciences Steve Shreve Professor of Mathematical Sciences The three new members of the board, Ashvin Chhabra, Art Mbanefo and David Waldman, were asked to present their perspective on future human resource needs of the industry. David reported that Putnam relies on both fundamental and quantitative analysis. In fixed income markets, he noted the shift from treasuries to mortgages and corporate bonds, and pointed out the accompanying rise in the importance of credit risk analysis. Although Putnam has been a major employer of MSCF students, he noted that increased emphasis in our program on the asset management industry would be welcomed. He pointed out the need for our students to understand how to translate theory into practice and to communicate to audiences of various backgrounds. For David, applicants should be able to pass the "airport test:" if you are stuck with this guy for half a day in the airport, will it be a reasonably interesting experience. Art also emphasized the key role of communication skills. He wants people who are very focussed and who can find practical solutions. He welcomes applicants who have prior accomplishments which show they can be trained and have discipline. He cited music and athletics as areas in which these traits can be demonstrated. Ashvin proposed that students should prepare for the "elevator test:" if you happen to ride the elevator with a managing director, between the sixth floor and the lobby can you explain something to him in a way that he appreciates. Ashvin believes that MSCF students, and quants in general, must either be able to work on the trading desk or have management skills if they are to survive in the long term. He expects there to be growth in demand for people who understand technology and business. He thinks personal finance services will also be an area of growth. Echoing one of Ashvin's points, Joe would be interested in people with the skills to manage IT projects. Two subjects raised by Rick are whether the MSCF program should specialize, say into energy or asset management, and whether there should be additional courses in subjects such as accounting and corporate finance. The consensus was that the MSCF program should stay general, within the quantitative finance niche, and should remain highly quantitative rather than tipping toward an MBA. There was discussion of the desirability of internships. Joe pointed out that 80% of the Morgan Stanley hiring is from internships. An internship doesn't have to be for a summer; eight weeks is possible. Steve observed that we have not in the past had difficulty placing students even though our program does not include an internship and that an internship would lengthen the program beyond 12 months. Joe said that a longer MSCF program with internships would permit different student cohorts to overlap so new students could learn from those who had interned. Faculty would also be enriched by students who had interned.
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