people

CCFEA Internships

The Trader Training Company

Abdalla Kablan

Abdalla has a Bsc I.T degree in Computer Systems Engineering from the University of Malta, and an MSc in Financial Engineering and Knowledge Management from the University of Bradford. Abdalla's research interests include Artificial Intelligence and its applications in  Financial Engineering, Heuristics and Genetic-Fuzzy systems for financial decision making. His interests are financial time series analysis and modelling of investment portfolios using expert systems.Abdalla is working with Trader Psychometrics research. He is researching the application of fuzzy logic to the price behaviour of realtime electronic markets and how it can be applied to understanding trader decision making and enhancing trader performance

HSBC 2008 Internships

Jenny Castellanos Pinzon

Jenny received CCFEA's FGS Capital LLP best student prize for MSc Computational Finance in 2006/7.  Her MSc dissertation on CIR  Modelling of UK Term Structure Using Kalman Filter received high commendation. In 2008 she was awarded and internship at HSBC which involves working one day a week with HSBC’s Traded Credit and Market Risk team.  The specific project she is currently working on is the estimation of the Incremental Default Risk Charge (IDRC) which is a recent requirement set within the Basel II Framework.  This charge represents the capital that must be held against default risk within the trading book that is not captured by VaR. Her initial task has been to review the literature on the different approaches used to model default correlations (one of the main aspects for modelling the IDRC) focusing on the implementation issues and the calibration of the model parameters. This internship has given Jenny a unique opportunity to gain practical experience within one of the largest banking organizations in the world working with the team that sets policy on market and credit risk for the HSBC group. 

Anil Singh Khuman

Anil has both a BSc and an MSc in Computer Science from the University of Essex. His current research interests include real-time market risk management and portfolio optimization using heuristics. He has recently been working on a well known portfolio protection technique known as Constant Proportion Portfolio Insurance (CPPI) and in particular on quantifying the so called 'gap - risk' that arises when, for example discrete rather than continuous trading, is taken into account. CPPI is used extensively in industry where the underlying assets are often illiquid (such as hedge funds) and Anil is working with the Credit and Market Risk team at HSBC on quantification and management of the gap - risk.

Yangyang Geng

Yangyang has a BSc degree in Mathematics. and a Msc degree in Financial Mathematics. His dissertation topic is pricing multi-asset exotic options with finite difference methods. Recently Yangyang has been modelling the market price of insurance savings products which provide a minimum guarantee together with a bonus distribution mechanism, using Monte Carlo methods. With the change in the accounting and regulatory environment these insurance liabilities need to be valued using contingent claims methods, and Yangyang will be developing these methods further.  Yangyang will be working in conjunction with the Group Insurance function at HSBC.

Internship at Ionic Infomartion Ltd (Sharescope):

Jian Jiang

Jian's project will look at stock price trends and significant stock price patterns using computational pattern recognition. the project will look at identifying technical patterns such as "head and shoulders" and the methodology will be tested on historical real-time data with variable time frames. This internship gives Jian a great chance to work with large investment software company and gain practical experience