It's Columbia MAFN, not Columbia Financial Engineering or Columbia Business School, two programs that are clearly superior to it. As someone who went to Tandon FRE (a few years ago), I will unequivocally say you do NOT want to a program playing third fiddle at your own school.
IMO, the advantage of being in New York is not nearly enough to compensate for its likely dismal placement rates (which are not made public), and companies and recruiters who would rather hire from other programs on the same campus. If forced to choose between Columbia MAFN or MIT MFin, I pick MIT and it would not even be a decision.