Subject: FW: MSCF Advisory Board
From: [email-masked]
To: [email-masked]
Date: Fri, 28 Dec 2001 13:12:32 -0800 (PST)

-----Original Message-----
From: 	Steven Shreve <[email-masked]>@ENRON  
Sent:	Tuesday, December 18, 2001 6:50 PM
To:	Kaminski, Vince J
Cc:	[email-masked]; [email-masked]
Subject:	MSCF Advisory Board

Dear Dr. Kaminski:

Following this e-mail is a summary of the recent meeting of the Advisory
Board of the Carnegie Mellon Master's program in Computational Finance.
We would appreciate hearing your views on the subjects discussed.

Best wishes,
Steve

--
Steven E. Shreve
Department of Mathematical Sciences
Carnegie Mellon University
Pittsburgh, PA  15213-3890

[email-masked]
http://www.math.cmu.edu/users/shreve
Direct Telephone: 412-268-8484
Department Telephone: 412-268-2545
Fax: 412-268-6380
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Summary of MSCF Advisory Board Meeting
December 12, 2001

Advisory Board Members in attendance:

Ashvin Chhabra
First Vice President
Director of Financial Strategies and Analytics
Merrill Lynch

Joseph Langsam
Managing Director
Morgan Stanley

Art Mbanefo
Managing Director
Equity Derivatives and Convertible Trading
Credit Suisse First Boston

James Vinci
Partner
Paloma Partners Management

David Waldman
Senior Portfolio Manager and Director
Fixed Income Quantitative Research Group
Putnam Investments

Carnegie Mellon Faculty in attendance:

Richard Bryant
Director
M.S. program in Computational Finance

David Heath
Hoch Professor of Mathematical Sciences

John Lehoczky
Lord Professor of Statistics
Dean, College of Humanities and Social Sciences

Steve Shreve
Professor of Mathematical Sciences

The three new members of the board, Ashvin Chhabra,
Art Mbanefo and David Waldman, were asked to present their
perspective on future human resource needs of the industry.

David reported that Putnam relies on both fundamental
and quantitative analysis.  In fixed income markets,
he noted the shift from treasuries to mortgages and corporate
bonds, and pointed out the accompanying rise in
the importance of credit risk analysis.  Although Putnam
has been a major employer of MSCF students, he noted that
increased emphasis in our program on the asset management
industry would be welcomed.  He pointed out the need
for our students to understand how to translate theory
into practice and to communicate to audiences of
various backgrounds.  For David, applicants should be able
to pass the "airport test:"  if you are stuck with this guy
for half a day in the airport, will it be a reasonably
interesting experience.

Art also emphasized the key role of communication skills.
He wants people who are very focussed and who can find
practical solutions.  He welcomes applicants who have prior
accomplishments which show they can be trained and have
discipline.  He cited music and athletics as areas in which
these traits can be demonstrated.

Ashvin proposed that students should prepare for the "elevator
test:" if you happen to ride the elevator with a managing
director, between the sixth floor and the lobby can you
explain something to him in a way that he appreciates.  Ashvin
believes that MSCF students, and quants in general, must
either be able to work on the trading desk or have management
skills if they are to survive in the long term.  He expects
there to be growth in demand for people who understand
technology and business.  He thinks personal finance
services will also be an area of growth.

Echoing one of Ashvin's points, Joe would be interested in
people with the skills to manage IT projects.

Two subjects raised by Rick are whether the MSCF program should
specialize, say into energy or asset management, and whether
there should be additional courses in subjects such as
accounting and corporate finance.  The consensus was that
the MSCF program should stay general, within the quantitative
finance niche, and should remain highly quantitative rather than
tipping toward an MBA.

There was discussion of the desirability of internships.  Joe
pointed out that 80% of the Morgan Stanley hiring is from
internships.  An internship doesn't have to be for a summer;
eight weeks is possible.  Steve observed that we have not in
the past had difficulty placing students even though our program
does not include an internship and that an internship would
lengthen the program beyond 12 months.  Joe said that a
longer MSCF program with internships would permit different
student cohorts to overlap so new students could learn from those
who had interned.  Faculty would also be enriched by
students who had interned.