Careers
Studentship
The Maxwell Institute for Mathematical Sciences (www.maxwell.ac.uk) and Barrie & Hibbert (www.barrhibb.com) have jointly been awarded a Maths CASE studentship by the EPRSC to commence at any time before October 2008.
This is a unique opportunity to study for a PhD and work with the world-leading research talent at Barrie & Hibbert. This will allow the successful candidate to gain experience of the practical application of quantitative finance giving a great start to a successful career in this area.
Barrie & Hibbert places a high value on research and is a leading provider of market risk management models and consultancy advice to global financial institutions. Over the past decade their Economic Scenario Generator has emerged as the leading asset modelling solution for the global insurance sector. The ESG is a Monte Carlo simulation engine that is widely used by insurers and pension funds in asset and liability valuation in an enterprise risk management context.
The CASE research project represents a unique opportunity for a suitably qualified student to develop semi parametric statistical modelling techniques in quantitative finance and study their potential deployment in the Barrie & Hibbert Economic Scenario Generator (ESG) as tools for improving the calibration of financial models to equity and other asset classes. Calibration of credit risk models using semi parametric procedures also falls within the potential scope of the project.
The studentship awarded by the EPSRC pays the candidate’s full tuition fees and, in addition, offers an annual maintenance grant of £15,100 p.a. for three and a half years. This includes a contribution made by Barrie & Hibbert.
The eligibility requirement for the full award is that students must demonstrate a relevant long-term connection to the UK, usually through being ordinarily resident in the UK for a period of at least 3 years prior to application, and having settled status in the UK either through UK or EU citizenship or having indefinite leave to remain in the UK.
Applicants should already have, or be confident of obtaining, an undergraduate and/or a Masters degree of a standard at least equivalent to an Upper Second Class Honours degree from a UK university, in a mathematics-based subject with a large component of probability and/or statistics.
A basic knowledge of finance and/or insurance is also desirable and an interest in applying techniques developed to solve problems in quantitative finance is essential. The successful candidate will be formally enrolled within the Department of Actuarial Mathematics and Statistics at Heriot-Watt University.
The department maintains strong links with other departments and research centres associated with the Maxwell Institute for Mathematical Sciences.
The studentship includes valuable work experience through a minimum placement of 12 weeks per annum at Barrie & Hibbert based in their Edinburgh office.
To apply for this scholarship:
Download an application form at www.postgraduate.hw.ac.uk/apply/form.pdf
Fill this in.
In the section headed "Financial Details", Question 14b, say you wish to be considered for the above CASE scholarship in Quantitative Finance.
Send the application form to: Amanda Hearn, Maxwell Institute for Mathematical Sciences, Earl Mountbatten Building, Heriot-Watt University, Edinburgh EH 14 4AS, United Kingdom.
The PhD project will be supervised by Dr Yuanhua Feng This e-mail address is being protected from spambots, you need JavaScript enabled to view it and Professor Alexander J McNeil This e-mail address is being protected from spambots, you need JavaScript enabled to view it
For more information about business applications of the project contact Dr Jamie Stark at This e-mail address is being protected from spambots, you need JavaScript enabled to view it