I have an associate degree in economics and mathematical analysis and a Bachelor’s in Business Administration (both from Paris Pantheon-Sorbonne University). My final degree was an MSc in Finance and Insurance (jointly awarded by Cergy-Pontoise University and ESSEC Business School). With its strong focus on continuous-time finance, the MSc gave me the background to engage in applied research and get the type of quantitative analyst position I was aiming for at the time. I started my career in the research and innovation department of CCF (HSBC group) in Paris, then moved to London to work as a desk quantitative derivatives analyst at Mettle Europe, a small trading boutique where I got acquainted with models that accounted for limited liquidity – the company was trading South-African indexes and options. I came back to Paris to work for Société Générale Securities Services (SGSS), which mandated me to create and run a financial engineering group. Having fulfilled this challenge – after four years, the group was thirty strong and had fifty clients – I accepted a position with Bloomberg to build their financial engineering group (worldwide) starting in July.
My group will be working with three other groups: Peter’s Quantitative Financial Research Group, which includes such specialists as Bruno Dupire, the Quantitative Development Group, which provides the IT support, and the ALPHA Group of Attilio Meucci, which brings portfolio management expertise. Interaction between the four groups is expected to position Bloomberg as the benchmark for structured products and exotic derivatives, at both the instrument and the portfolio levels; we want to become the reference for structuring, pricing, risk managing, and optimising the use of these complex instruments in a portfolio context.
Three reasons. First, I embarked upon a PhD in 1994 but had to give up for family reasons. This created frustrations and I promised myself to get back to school if only I could find a way to combine career and doctoral education. Second, I need a balance between conceptual/technical issues and managerial challenges, and the PhD allows me to achieve this. Building the financial engineering group at SGSS, I progressively lost the proximity with research issues as I was turning into a full-time manager. Third, while there are clear synergies between my new assignment and the PhD, I am unsure of how much the programme will help me directly, but the key thing is to keep me going up the learning curve – modern finance is in a state of constant flux and there are always new ideas to investigate. However, this demands that you understand the interactions between different fields: market finance, corporate finance, econometrics, etc. Research really ought to drive the industry: one of the reasons why the crisis has hit so hard is that practitioners forgot to listen to what academics had to say. A good doctoral programme can be seen as a structured means to explore what blatant or latent industry problems could be solved by current and new academic research.
EDHEC Business School was the first reputable institution to understand that there are frustrated professionals with a deep thirst for knowledge out there and to offer a doctoral programme delivered in a format adapted to executive schedules and supported by great distance-learning and online community technologies. The brand was very important too. I do not mean the level of recognition in the general public but rather a school’s reputation within the finance industry. By this criterion, EDHEC Business School really stands apart. Practitioners recognise the breadth and depth of the School’s expertise in finance and turn to EDHEC for research and insights.
As a matter of fact, it greatly exceeded my expectations. My reference was the doctoral education given in French universities, where courses are scant and you specialise very early on. With its significant load of taught courses and seminars and mandatory courses in financial economics, corporate finance, continuous-time finance, and empirical methods, the EDHEC PhD in Finance felt unusual. I did not expect I would enjoy being confronted with so many different fields. With my market finance orientation, I thought a core course in corporate finance would be a waste of time; I was completely wrong. Having finished all the core courses now, I realise I was blind to the connections and interactions between disciplines. The core part of the curriculum gives you a global view that allows you to bring things together; I feel I am now able to undertake research projects that will add more value than the specialised assignments I was accustomed to.
The faculty also exceeded my expectations; I was acquainted with the research of a number of professors like René Garcia or Rama Cont but did not know what to expect from other professors or what their lecturing style would be. All faculty members to date have been extremely competent, paying great attention to helping us to link theory with practice, and presenting the latest of current and upcoming research. Besides, no difference is made between students on the residential track and practitioners on the executive track: professors set expectations very high and impose tough requirements on everyone in the class. I am really satisfied with the value I derived from the core courses and I now look forward to the specialised elective seminars which world experts will deliver, and to the dissertation. In all, I consider that the value I gain from the programme far exceeds its monetary cost.
My first project will link asset-pricing models with corporate finance in an effort to explain risk premia with corporate finance variables. This is an idea we – I plan to work with fellow PhD candidate Gideon Ozik – got from an assignment in Professor Lioui’s class. My second project will be to measure risk aversion using intraday as opposed to daily option data. Further down the line, I would like to use the results of the second project to develop ways to hedge risk currently not fully hedgeable, such as jump risk: while the literature shows how to measure the cost of optimal replication, it misses the component that is a function of the risk premium, which is derived from risk aversion. As far as dissertation supervision is concerned, I would like to work under both Abraham Lioui and René Garcia.
This is a good class because PhD candidates are heterogeneous in terms of professional backgrounds and age groups but have in common the analytical and quantitative background that is required for success in the programme. Specialists in portfolio management, capital markets, and financial engineering bring insights in their respective fields; if you had only one culture, the interdisciplinary element would be absent from the classroom and the relevance of the programme’s diverse curriculum might be less appreciated. Diversity in age groups is also very inspiring and people in their thirties benefit from the wealth of experience accumulated by more senior participants.
Prospective candidates should be prepared to work hard: it is a very challenging programme. Each core course is comprehensive and demands not only that you attend but also that you devote significant time to readings and assignments. PhD candidates should also come prepared and have a solid background in quantitative methods; if you need to divert substantial efforts to reviewing mathematics and statistics during the year, the chances are you will get distanced and will not make the most out of the programme. Remember that at the end of the first year, you not only need to have done well in your courses but also have to have a clear idea of your research agenda. Last but not least, participants should come to class with an open mind: while the disciplines studied are different, they are interconnected.