As head of quantitative research for Shinsei Bank in Tokyo, I primarily manage an eight-person strong quantitative group that works for the bank’s front ofﬁce. The group covers all asset classes with an emphasis on foreign exchange and interest rates. We develop and run models from A to Z, which means we design models on paper, code them and provide the front ofﬁce with trading and hedging strategies as well as risk control information. This is interesting because this combines a research aspect, whereby we do fairly technical work that keeps us at the forefront of derivative modelling, and an engineering aspect as these models need to output reliable ﬁgures in real-time, which requires identifying and implementing the mathematical and computing tools that rapidly yield reliable pricing.
Academically, my background is engineering, but I had an early calling for my profession. When I was studying at École Centrale Paris, I realised that while I was not interested in a traditional engineering career, nor was I ready to give up my interest in scientiﬁc subjects for a job in business or accounting. I heard about quantitative ﬁnance jobs, investigated the topic and decided to major in applied mathematics while, in parallel, doing another master in modelling and mathematical methods applied to economics with a ﬁnance major, which gave me the additional stochastic calculus knowledge I needed to start a career in the ﬁeld.
I have been a “quant” for over ﬁfteen years – prior to joining Shinsei Bank four and a half years ago, I was a senior quantitative analyst for a total of nine years, close to four years at Merrill Lynch and then over ﬁve years at Bank of America, and prior to that I had been a quantitative developer for two years with J.P. Morgan. I started working in France, but then quickly moved to London where I spent ten and a half years, learnt a lot and got ahead with my career. However, I was not satisﬁed with the Northern-European weather and the lack of affordable living quarters in London, and after a visit to Tokyo and some of my former classmates there, I decided to move to Asia for a better quality of life. I looked for jobs in Singapore and Japan but then the crisis hit and I could not ﬁnd anything; eventually, my current employer spotted my proﬁle on the Internet and approached me.
There are multiple reasons that justify my decision. First, when I started as a quant, I became aware that although I had a signiﬁcant technical knowledge base, my ability to think independently was not so great and I knew a PhD would have made a world of difference. With experience and dedication to doing independent research, this subsided but the idea of doing a PhD to go beyond what I could achieve on my own stayed at the back of my mind. Recently, I starting feeling I had become very comfortable in my area and was ready to seek a new challenge. My day-to-day job is centred on derivative pricing which requires me to take on technical and sometimes very difﬁcult problems but does not require me to look at the big picture, which is frustrating. With a PhD comes the promise of developing a wide perspective on ﬁnancial economics and the opportunity of carrying out cutting edge research on problems that are more general and more important than derivatives pricing. Another motivation is that I enjoy sharing the things that I have learnt and while I do this on the job with my co-workers, I am also attracted to teaching in more formal environments such as a business school.
Doing a PhD should bring more opportunities to teach in academia. I hope that through my PhD education I can further develop my ability to explain technical subjects more clearly to less technically-minded people.
I had been searching for a while and had mixed feelings about the alternative that I was presented with: stop my career and do a full-time PhD or ﬁnd an open minded professor at a university that would accept to supervise me as a part-time student of a research-only degree. I quickly gave up the idea of stopping my professional activities. It was not so much for the loss of income but more out of concern that I would miss the excitement of the workplace if I went into academia full time: I enjoy the pressure associated with having to deliver under tight time constraints and was afraid I would miss this in a strictly academic environment. Then I learnt about the EDHEC-Risk Institute PhD in Finance through a colleague who was applying and was attracted to the fact that it allows executives to follow a structured course of learning balancing taught courses and supervised research and to do a doctoral degree on a part-time basis but within a reasonable time-frame. I looked at the programme in detail and was excited as it opened up new subjects for me, things I did not have the opportunity to do on the job: the core courses mix technical topics like Empirical Finance and less technical subjects like Corporate Finance and the various electives cover a very broad spectrum, all of this promising to expand my perspective way beyond the conﬁnes of derivatives pricing.
My impression is good and what particularly impressed me is that I have already been able to use some of the things I learnt during the core courses. In the ﬁrst week of class, I observed how the professors, Pierre Mella-Barral and Abraham Lioui, were constantly shedding intuitive light on mathematical or ﬁnancial concepts, going back and forth between the intuition and the concept. This changed the way I present things on the job: now when I use a mathematical concept, I always translate it into ﬁnancial intuition. I have also been able to use material from the Empirical Finance course for an econometrics project that came up at work. Speciﬁcally, our strategist asked me to design a predictive model for the Nikkei index and I recycled some of the work we had done in the context of our ﬁrst course assignment in which we had built and calibrated a predictive model using a combination of predictors. These are just two examples of using the knowledge gained so far for my daily work–one illustrating a shifting state of mind, the other more technical–considering that I am still going through the core courses, this is extremely positive.
One of my ideas is to combine recent work I have done on derivatives pricing with empirical ﬁnance; more speciﬁcally, I am interested in estimating and monitoring parameters for stochastic models that describe the birth and development of bubbles with a view to predicting critical points. Another idea is linked to the developing interest in credit value adjustment, the market value of counterparty credit risk – there are a lot of exotic derivatives pricing techniques that you can apply in this context, but what I ﬁnd more interesting is that the debate taking place around modelling in this area draws from corporate ﬁnance, accounting and derivatives pricing. I am also tempted to do more theoretical work that would explore the impact of the representative agent's utility function on asset pricing.
The programme is academically rigorous and quite demanding from a quantitative standpoint. It is important for participants to be well-prepared and highly motivated. Those who do a fair amount of technical work in their day-to-day job will be at an advantage when approaching the core courses. I guess this is why I do not reach the twenty hour a week study load that is recommended; I probably get away with ﬁfteen hours at this stage of the programme. Mostly, I work on the programme early in the morning and on weekends. I can also do a bit at work when study and job demands overlap and Japan’s frequent bank holidays come handy to boost my average study time. With a full-time job and two young kids at home, time management is indeed of the essence.