Growing up, I was always fascinated by problem solving, that informed my decision to study Math, Physics, and Geography in my A levels. This also set the tone for what I wanted to study in university, where I focused on Pure and Applied Mathematics with additional modules in Accounting and Economics. After completing the undergraduate program, I enrolled in the Honor’s program in Applied Mathematics, where I decided a career in applying mathematics to derivative valuations and risk management would be most fulfilling. After graduating, I was fortunate enough to get a job at RMB, a top South African investment bank where I started off as the market risk analyst for the commodities trading business. The desk worked with all sorts of vanilla and exotic commodity products, anything from Asian options on Brent Crude to swaps on corn. On a day-to-day basis, we had to ensure that derivatives were being valued correctly in the trading book and that the Greeks being reported to the front office and management were correct and could fully attribute the profit and loss.
I learned much more on the job than I would have in an academic finance program, but I felt that I could accumulate product knowledge more quickly with the FRM designation. It was a good program, and I achieved the goal of acquiring more product knowledge but decided that I had not learnt enough financial mathematics to be more comfortable and perform better in my role.
The mathematical techniques applicable in the different asset classes were explained in a great amount of detail from first principles and the lecturers were all top industry practitioners.
Then I saw an advertisement for the Certificate in Quantitative Finance (CQF) program and looked it over – it was a perfect fit. The mathematical techniques applicable in the different asset classes were explained in a great amount of detail from first principles and the lecturers were all top industry practitioners. I was able to analyze and reflect on what I had been working on in the trading world with more context. For the final project, I explored the Credit Portfolio Fair Spread calculation and Sensitivity Analysis option. This involved the calculation of the fair spread for a Basket Credit Default Swap with five reference names. I chose issuers that are banks based in the United Kingdom. The 1st to default through to 5th to default instruments were priced by sampling default times from Gaussian and Student's T Copulas. I found it extremely challenging at first, but I got into a routine and going through the process of figuring things out became enjoyable.
When I finished the CQF, I had an incredible body of knowledge. It showed straight away in the quality of work I produced for my employer. I am currently a member of the Equity Derivatives Structuring and Sales team at RMB Morgan Stanley, where we design hedging and yield enhancement products for corporate clients using equity derivatives and market these products. The quantitative skills I gained from the CQF have proven to be indispensable in this role as we design, price, and hedge these bespoke products.
When I finished the CQF, I had an incredible body of knowledge. It showed straight away in the quality of work I produced for my employer.
The CQF is extremely rigorous and you have to decide if it's the right fit for what you want to do in your career. If you're passionate about financial markets and mathematics, it's definitely the right program for you. Then you have to dedicate the time to look into the concepts, study, reach out to your tutors to ask questions, and also take time to focus on your research for the final project. For me, the CQF was well worth the effort.