PhD Student testimonial

Hong Sherwin

Director at Financial Industry Regulatory Authority (FINRA), New York, American

Could you tell us about your background and what you are doing today?

After graduating with an MS-Financial Engineering from Columbia University, I entered the financial industry and commenced first-hand experience in applying quantitative financial concepts to structuring innovative products and pricing credit derivatives mostly for investment banks.  I am currently a Director with the Risk Oversight & Operational Regulation at FINRA, dedicated to analysing and monitoring large-dealer firms’ market and credit risk models and their risk management practices.

Why go for doctoral studies at this stage of your career and how did you choose this particular programme?

I am now in my final academic year in the EDHEC PhD in Finance programme.  Three years ago, I decided it was time to pursue a doctoral degree, primarily motivated by the desire to conduct original research, and to gain an in-depth and broad theoretical understanding after working with a large number of pricing models.  With a unique mixture of rigor and flexibility, the Executive Track at EDHEC was a perfect fit in my developmental plan allowing me to continue my career path without major interruptions.  I feel both challenged and nurtured by caring professors and well-supported by the administrative staff. 

How has the programme impacted your daily work?  

Very positively. The projects undertaken for the Empirical Methods and the extensive literature review we are constantly engaged in have deepened my understanding of a firm’s risk models, particularly the stochastic processes for risk factor evolution and the stress scenario design and the processes put in place for back-testing. I’ve also benefited directly from lectures and coursework in Continuous-time Finance, Yield Curve modeling, and diverse electives delivered by world prominent researchers.  All have expanded my knowledge base in asset pricing and helped me to gain valuable insights both from buy-side and sell-side perspectives.

Have you found it beneficial interacting with other programme participants and having a majority of professionals in the class?

Most definitely. Although living on multiple continents, my classmates are a group of ambitious and resourceful professionals who share a common goal.  We collaborate on projects and help each other in research.  I highly value the strong connection and mutual respect I personally experienced and am grateful to many who have generously offered their help and encouragements in challenging times.

What is, according to you, the main challenge of the programme?

The trade-off between getting a project done on time with clearly defined objectives and spending time immersed in (and occasionally distracted by) reading the ever-expanding research work on many interesting topics.  Although we might all be attracted to learning different techniques and novel approaches, the real-world contribution to finance may come from a simple application of a tried-and-tested method.

You are currently finishing your first paper; could you please introduce the topic and the first results of your on-going research?  If it is the case, please explain how this research is relevant for your organisation. 

Under the supervision of Prof. Rebonato, my first paper is a proposal of a robust and efficient liquidity proxy index common to multiple asset classes.  Based on a set of publicly available market data, our statistically-derived and parsimonious risk factors are found to be well aligned with several market-wide liquidity indicators in recent literature, some of which was estimated from private data sources such as cusip–level dealer quotes or primary dealers’ leverage ratios.  We confirm that liquidity commonality has time-series and cross-sectional dimensions, exhibiting substantial variability during “risk-on” and “risk-off” episodes.  Having a better understanding of the dynamic systematic risks is helpful to regulators with a goal of promoting a resilient financial industry.



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