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Wharton Team Wins Financial Engineering Case Competition

alain

Older and Wiser
I remember Prof. Ciresi tried to contact the organizers multiple times a year or 2 ago and they never answered back.
 

Ka Wai

MFE Student


Big improvement for CMU and Princeton since last year (I believe last year they competed for the first time).

Wharton won two year in a row (with two veterans from last year winning team)... Will be interesting to see what happen next year after the two have graduated.

The competition used be dominated by Berkley. But seems like other schools had already chased it down...

It would be nice if they can fit one more team in, but I think their schedule is quite packed. With the first school starts analyzing the case very early in the morning and second schools starts half an hour later. Each school has to present 6 hours after receiving the case...

Anyways, I think we can easily make up a great team (John, Doug, Eugene and many others...)
:)
 
Do Wharton and U of Chicago have MFE programs? Or did this competition include PhD candidates? Everything I've read hear suggests that MBA programs don't teach the skills for generation of pricing models.
 
The only question if they get anyone else into this competition.

It's like a history of Ivy Football League. The only reason it was created was that students of those privilege schools couldn't really compete with other schools well, always loosing at very beginning. So, they thought it was inappropriate that such a great kids loosing in sports. Therefore, they created a league to play football among themselves.

This financial engineering case competition looks the same to me. The only way to get around it is to create another one supported by major investment bank.
 

Ka Wai

MFE Student
Although our FE program is one of the best, the orgranizer may look at our MBA program as well. I think ideally, it prefers a team made of both MBA and MFE students. So, while you have FE students who can do the computing and answer questions of financial models. The MBA students know more about the business of IBanks and can draft the term sheet and do the presentation. Obviously, in top business schools, you can easily find a handful of students with phd in hard science, who can understand math just as well as FE students, especially since relevant materials are sent out weeks before the competition so you know what models will be used in the case.
 
Although our FE program is one of the best, the orgranizer may look at our MBA program as well. I think ideally, it prefers a team made of both MBA and MFE students. So, while you have FE students who can do the computing and answer questions of financial models. The MBA students know more about the business of IBanks and can draft the term sheet and do the presentation. Obviously, in top business schools, you can easily find a handful of students with phd in hard science, who can understand math just as well as FE students, especially since relevant materials are sent out weeks before the competition so you know what models will be used in the case.

In general I believe in specializing as opposed to a broad understanding without any real substance. In this case, from the quick summary of the competition, it is pure derivative pricing. I don't see how an MBA person can help here.
The final result is a simplified model to simulate in some way the requirements and solve something.

There is no "client presentation" or business decision involved in the process.

On the other hand, on Wall Street, it makes absolute sense for a close collaboration. Even in this case, I think the best results will be provided by a core, pure MFE team that will provide output and some intuition to MBA folks.
 
There is no "client presentation" or business decision involved in the process.

This is not true. As a result of solving the case, participants should make sales pitch to a potential client.

Just look below at requirements for the case of year 2003 competition:
 

Attachments

  • 2003 FECC Case.pdf
    177.3 KB · Views: 22
This is not true. As a result of solving the case, participants should make sales pitch to a potential client.

Just look below at requirements for the case of year 2003 competition:

Interesting requirements, pretty general. Since there is no precise setup, some of the quantitative side can be made generic. Basically, the teams can use all simplifying assuptions and get to some result that has an intuition. That would need to be understood by the "sales person".

In the end, I am skeptic. Results would be unusable in real market conditions, the role of quantitative solution is reduced substantially, no risk-management or model testing for evaluation ...
 
The competitive content has gotten more quantitative and rigorus. Let's take a look at 2005 competition, in which the chosen topic was HEL securitization.

Basically the teams have to solve a business problem with a challenging quantitative backdrop. This case competitive examplifies this idea.
 

Attachments

  • winterland_2005_FEC_version.pdf
    255.7 KB · Views: 20
The competitive content has gotten more quantitative and rigorus. Let's take a look at 2005 competition, in which the chosen topic was HEL securitization.

Basically the teams have to solve a business problem with a challenging quantitative backdrop. This case competitive examplify this idea.

That is better ;) . Will analyze in-depth when I have a bit more time ...
 
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