Rotman School of Management, University of Toronto

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We spoke to three MFRM students from the Class of 2018, a few months into the program, and again as they returned to Rotman at the end of their Risk Management Project to find out why they chose the program, what they hope to do when they graduate, and how they found the experience of dealing with real risk challenges during their project.

In this blog post we hear from Dildar. You can also hear from Joanna and Adam on our blog.

A few months into the MFRM program…

Why did you choose the MFRM program at Rotman?

During my time at SBI Capital Markets Ltd, I have had the experience of working on both qualitative and quantitative projects. I realized that I am good at quantitative finance and have a natural affinity for it. Therefore, I wanted to move to a quantitative finance role. I started looking for potential master programs in this area. I had already completed my Financial Risk Management designation from GARP and wanted to get a practical perspective on risk management with the masters.

The industry-oriented MFRM program at Rotman attracted me because of its well-known faculty such as Prof. John Hull. The fact that Rotman is located very near to Bay Street, the financial hub of Canada, was also a factor because I wanted to create my own industry network before graduating from the program.

How have you found the program so far? What are your highlights?

I’ve learned a lot of things during the program, which are the financial concepts, the practical skills (programming skills like Matlab and VBA) and hands-on trading experience at finance lab. In addition, I am also improving my soft skills and presentation skills. Since the class profile is very diverse, I have an opportunity to learn from my classmates.

So far, the Financial Institutions and Markets course is my favorite course. It has provided an overall view of finance, the markets and how financial institutions use different products.

What are you looking forward to and do you have plans about where you would like to work after graduating?

I am looking forward to learning as much as possible during this program, both financial knowledge and soft skills. I try to get involved in almost all the events that happen at Rotman. I’ve also become a member of the risk management association and the asset management association at Rotman. I’m particularly looking forward to the project [with Ontario Teachers’ Pension Plan]. It’s a quantitative project at an asset management firm, which is consistent with my background and future aspirations.

In terms of the career, I’m still exploring different areas, however, at the moment I feel I want to get into asset management. It suits my background in investment banking, I feel there are similarities so there is knowledge I could transfer over. The project will be helpful in choosing my career path. I’ll speak to classmates about their projects and where they have been working. I want to know about their experiences too.

After completing the Risk Management Project…

What did you do during your project?

I worked at Ontario Teachers’ Pension Plan (OTPP) in the Model Development Team within Strategy and Risk.

During the project, we implemented one particular model, Break-even Volatility Model by Bruno Dupire. This Model was not directly applicable to real world because it does not tell how far in past we should look to forecast the future. We came up with a solution to this problem by using ideas from one of our classes. We used the idea of auto-correlation of realized variance which we studied in our market risk course. So, we got the idea from that concept and applied it to check the auto-correlation of realized variance for 1 month, 2 months, 6 months, the maturities of options, and applied the results to the model and got final results, which were more applicable to real world. The most satisfying thing was that we used what we learned in a course at Rotman and applied it to a real-world problem.

The people at OTPP were really impressed by that idea, it wasn’t something that had been done by the original author of the paper. They are going to use the results we had from our project for valuation and mark to market of variance swaps.

What do you think the future holds for risk management?

Other risks are becoming important, other than financial risk, such as cyber security. There are other changes in the market, such as bitcoin. At the moment, we don’t know if it will become a ‘real’ currency, but if it does then there will be huge changes in how the financial markets work.

I used to think risk management as a stand-alone area. However, now, I feel it is more integrated with other areas. For example, I could see how it is linked to investments at the pension fund. There is always a trade off between risk and return, and if you understand risk properly, you understand the return, and if you can make the returns that means you are good at your job. I could really see the relationship between risk and return working there.

I think risk management is everywhere. Banks follow risk management principles because of regulation. At pension funds there is no obligation on them to manage risk, but still they do it because they realize the importance of risk management and how much it is related to returns, especially after the financial crisis. Pension funds, investments, everyone is realizing the importance of risk management.

Has your career plan changed after Risk Management Project?

It has not changed much, but now I have more clarity. When we spoke before I was interested in asset management, because I had skills which are transferable to asset management. That was the idea. Now, having worked at an asset management firm, which is a pension fund, I’ve got more clarity. I want to get into a role which looks at financial markets – I’d be able to use my previous skills as well as the skills and knowledge I’m developing in the program.

I think the things that we are learning in the program can be transferable to roles broader than just risk.

The Master of Financial Risk Management is a full time program designed to prepare ambitious young professionals for careers in risk management and finance.

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