Internship Talks - Online Edition
As financial securities are becoming increasingly complex, the demand has grown steadily for quantitative specialists (quants) that are able to understand complex mathematical models and enhance them to generate profits and reduce risk.
Have you always wondered what it is like to be a quant in finance? We have conducted an interview with Olivier Mulkin who is currently a master student in quantitative finance at Erasmus University and also a quant intern at ABN AMRO. Below, he will tell all about his life as a quant intern.
Can you give us a brief personal introduction about yourself?
I am a 23-years old master’s student at the Erasmus University of Rotterdam. I was born and raised in Liège, Belgium and I moved to Maastricht when I was 18 to study Econometrics and Operations Research at the bachelor level. Back in those days, that choice was driven by my desire to become a trader, even though I barely knew anything about what it meant to be a trader, or to work in the financial industry. It is only through company visits and financial courses that I found out more about it later. During my exchange in Singapore, I did a major in Finance which pushed me to continue with a master’s in quantitative finance at EUR and to seek internship in that field.
Which firm(s) did you intern at? And why did you pick this field?
I wanted to keep as many doors as possible open, so I applied to both IB and quants types of internship. Faced with countless rejections, the only interview invitation I received was for a 6-months internship in the listing team of Euronext, from April to August 2019. The job mainly consisted of creating PowerPoint pitches for diverse purposes and I realised that I really missed the quantitative aspect. Regardless, there was some valuable aspect about it and more importantly, I could leverage my new experience to get an internship that better fitted my interests.
During my last month at Euronext, after many applications at various firms, I was invited to interview at ABN AMRO for a quant internship at the XVA Desk after applying through Linkedin. The XVA desks is mainly responsible with the pricing of risks in interest rate derivatives (mostly swaps). The term XVA refers to the Value Adjustment attached to certain trades to account for risks such as client Credit risk (CVA), client/dealer Funding risks (FVA), or the credit risk seen from the dealer (called DVA, for debt value adjustments). In the face of mounting regulations, these activities are increasingly becoming central in the trading floors of banks, and most likely any front-office quant job will entail interacting a lot with XVA. I was luckily offered the job, which took place on the trading floor of the Amsterdam office and I worked there for 4 months. After my internship, I would eventually have to resume my studies as I still had to write my thesis. I knew the Quants desk at ABN AMRO offered thesis internships as well, and since I was working a few meters away, all I had to do was ask. So I was offered a second internship at the Quants, where I am writing my thesis now on interest rate models.
What were your main tasks and responsibilities? What was the most exciting? And what was the most challenging?
At the XVA Desk, the internship was sort of split in two parts. On the one hand, I was given resources and assignments (excel/python) to learn more about the business unit, the activities of the Global Markets and the products that they trade. Like I said, most of the activity is centered on swaps and derivatives on swaps (caps, floors, swaptions). These are conceptually challenging to understand, to price and to trade and take a lot of time and practice to thoroughly understand. This aspect is probably the most exciting to me, as you constantly have to think and reason when working with these products, or for example, writing code that deals with those. At some point, one of the most senior trader came to my desk every day for 2 or 3 hours for an entire week and walked me through an assignment to price and understand swaps from scratch. This was probably my favourite part, as I had the chance, as an intern, to be given a lot of attention from really experience people. And that’s the beauty of working on a trading floor: you are surrounded by really experienced professionals of all background, rockstar traders from the heydays of ABN AMRO or quants with PhDs who wrote and published many papers.
In the second part of the internship, I had a few practical projects for my supervisor and the team. They didn’t really have anything to do with XVA so to speak. It was mostly automating processes to help the team in their daily routine. The main one was to develop a GUI (Graphical User Interface) for a trade-compression app that the traders were using. They already had a version of that, but the code was not maintained and often had bugs. It also lacked documentation and other features that my teammates wanted to see implemented. It was great to see how my work was being directly used, and these projects were both valuable to me and to the team. Doing good in these projects was very important, as later on, a good impression on the head of the team and other members encouraged them to put in a good word for me at the Quants, where I was trying to get a thesis internship.
What did a day in your life look like?
I would arrive at 8 am in the office and read up on the news (it’s always nice to be aware of what’s going on in the markets as it gives you something to talk about if you want to approach the traders and talking to other employees makes a good impression). My supervisor was always busy in the morning, so I’d simply continue the work from the day before till about 11am. Then, I’d often have a brief ‘meeting’ at my desk with my supervisor to talk about what I’m working on, the directions that I’m taking. He was always sitting next to me so I could continuously update him or reach out when I needed help. At 12pm I’d have lunch with one or colleagues (again, it’s important for the managers to see that I was interacting with different people) for 30 minutes to an hour. I would then continue with my tasks till 5pm with some (coffee) breaks in between. Most days when time allowed it, we’d play table football with the seniors of the team and some guys from sales (So grateful for that). We played for about 30 minutes and then resume to work till 6.30pm to 7pm. The culture of ABN AMRO is a lot of fun. It’s very relax if you deliver on your tasks, and you show eagerness in your work. The people are fun to be around, they laugh a lot and are always happy to have a conversation with you.
What was the biggest surprise of the internship? And the biggest misconception?
I didn’t expect so much collaboration within my own team and with other teams. The first project was given was continuing a liquidity pricer developed for the equity traders. And it was done by a trainee who worked at the Quants, a rate trader and two guys from the Atlas Desk (They do cloud migration, data visualization dashboard, and other stuff that includes machine learning and data treatment). So when I took on that project, I had a lot of interaction with these people and not so much with my own team. Another example was an assignment where I had to build a bootstrapper in python, that estimated the probability of survival of a counterparty using CDS quotes of that counterparty. And for this assignment I was supervised by another guy from my team who worked at the Quants before. Let me put it this way, he’s a programming Guru and I’ve learned so much from him.
At the end of the day, one way or another, anybody can learn the stuff that you will have to do in your career. But the people who supervised and interacted with me at ABN AMRO are what made this internship so special and I’m happy to say that today, I consider them my friends.
What did you dislike about the internship?
I know this is a disappointing answer but there were no negative aspects about this internship. None. I was given importance. I was properly supervised, and I had plenty of resources to learn. The team gave me flexibility and freedom. I could work 4 days a week and had one day to focus on school and go to class.
Now that I think of it, the two seniors in my team are unbeatable at table soccer. I did lose 10-0 once, and well… You probably know what happened next. But hey, win like a man, lose like a man.
What would you say the most essential skills are and how were they tested during the application procedure?
I was tested on financial knowledge during the interview (Black Scholes, Put-parity, derive the the 1 year forward rate starting in 2 years if you’re given the 1 and 3 year interest rates). But most of the interview was on my background and motivation. You need to know some programming (Python preferred) to complete the tasks and obviously, an interest in finance and markets helps to justify why you want to work in a bank.
What courses did you find relevant for your internship?
Programming was important. Financial derivatives (master course centered on option pricing) is also relevant. The most important was to research the position I was applying to (But as we, humans, make mistakes, I didn’t research XVA before the interview and I regret not being able to explain why I hadn’t done so. So do your homework before an interview!).
What’s your take on academic studies versus extracurriculars? And how did each prepare you for the internship?
It’s about motivation in the end. You want the job for the right reasons and that’s what, I think, made the difference at the interviews. Your education is just a way to help equip you with the right skills for the job, but like I said, I wasn’t tested that much on that. Extracurricular activities weren’t relevant for that job either, it just helps to show that you’re consistent in your life choices and decisions.
How did you end up at the firm? How did you network and where did you get started?
I found the job offer on Linkedin. I applied, received a phone call and was invited for an interview.
In your opinion, what is the aspect where a lot of participant lack?
There are a lot of different teams at ABN AMRO, and every manager has a different personality, which also means that the people they seek to hire aren’t all a good fit for all the teams. My manager didn’t care about grades or experience so much, he cared 200% about personality and motivation. The quants however care more about academic achievements and grades. There is no one-size fits all, and that’s something I didn’t realize before as well.
What would your final advice/tips be for students currently looking/applying for an internship in this field?
I started my studies with terrible grades. I entered my masters without any professional experience or extra-curricular activities (and I was facing only rejections from both job applications and student association committee applications). Odds looked terrible for me and I was hopeless. I decided to take more time for my masters (two years instead of one) and to focus on my lacunas. Some 1.5 years later, I have 3 internships experience, I work as a university research assistant for 7 months, my grades are up and I’m on track to graduate with distinction, I also became part of The Quant Conference in London and New York and a member of the university investment club. Nothing came easy, I had to work a full-time job, a part-time job and continue my masters (I’d study in the evenings and weekends) while working on the Conference.
There is always a way to achieve your goals if you put in sweat and tears (Take my word for it on this one). If I can give an advice that I live by every day, it’s this one: Let yourself be contended, but never let yourself be satisfied. In other words, always work to become a better version of yourself.