Farshid Asl: From ME to MRE
Farshid Asl is now Senior Vice President, Risk Analytics, GMAC Enterprise Risk Management.
At first glance, an ME education may not seem to have much to do with high finance, but for Farshid Asl, it has been a natural progression.
A native of Iran, Asl earned a BSME in 1991 from the K.N. Toosi University of Technology in Tehran, majoring in Control and Dynamic Systems. Asl later joined the faculty of KNTU and Tehran Universities as a part-time lecturer. He later continued his studies at Villanova University, where he received an MS in Mechanical Engineering (Robotics) in 1998 with the first rank in the department.
Asl had become acquainted with the U-M College of Engineering while an undergraduate through his study of the work of Professors Galip Ulsoy and Yoram Koren.
"I did not know them personally while I was studying in Iran," said Asl. " However, I knew of their work through my advisor, Professor Ali Ghaffari, who was a UC-Berkeley graduate around the same time as Professor Ulsoy. I was very interested in working in the field of Control and Dynamic Systems, and they were the top people in the field. In 1998, Professor Ulsoy was the head editor of ASME's Transaction of Dynamic Systems, Measurement and Control which was the most important Control journal in mechanical engineering at that time. So, I decided to contact them and ask about admission and scholarship funds."
Asl's initiative succeeded, and Professor Ulsoy became his advisor in Stochastic Optimal Capacity Management. While studying for his doctorate, Asl also earned his second Masters degree, in Financial Engineering, receiving both degrees in 2002. He has successfully married his two interests since then.
"My PhD thesis focused on optimal decision making for investing in manufacturing capacity under uncertain market demands and incomplete information," said Asl. "I had a lot of exposure to stochastic systems and stochastic calculus while working on my thesis, and that was the major factor in my interest in financial systems."
Since receiving his doctorate, Asl has compiled an impressive array of achievements in both the financial and academic worlds.
Asl joined GMAC in January 2004 as Vice President in Quantitative Risk Management. His primary responsibility was to lead the Risk Analytics group and to build analytic risk management systems for GMAC, GM and GM Asset Management groups. He was later elevated to the position of Senior Vice President in Enterprise Risk Management in 2005. In that role, he focused on building the new concept of Mutual Risk Exchange (MRE) as an efficient way to transfer firms' undesirable top risk exposures to alternative counterparties by creating new and alternative markets.
Asl also joined the Courant Institute of Mathematical Sciences at NYU in 2005 to teach in the Mathematical Finance program as a Program Fellow and Adjunct Professor. His first assignment was to teach "Financial Econometrics and Statistical Arbitrage," a new graduate-level course he created which covered the review and analysis of trading strategies which use statistical tools and time series analysis, such as cointegration based pairs trading. This helps traders identify arbitrage opportunities, while evaluating the risks inherent in the trades, including the transaction costs. The course also covered several algorithmic trading strategies frequently used by program traders.
"If you think about it," Asl said, "Wall Street investments are all about making decisions under uncertainty and incomplete information! I still use some of my PhD experience in designing optimal strategies for trading and some other model developments, but in a different shape and form."
Asl left GMAC early in 2006 to join Goldman Sachs & Co. as a Vice President in Fixed Income, Currencies and Commodities group. In that position, he specializes in using mathematical and quantitative methods to develop systematic and quantitative trading strategies across various markets, specifically in credit markets.
Asl sees many career advantages to having made his choice to come to ME and the CoE. "Well, the University of Michigan is a great school and its name opens many doors and creates opportunities," he said. "The most important lesson I learned at Michigan, though, was not to think and see only in one dimension, but to learn how to see the big picture. A good training in engineering gives you powerful problem solving skills, which are not limited to engineering problems.
"When I look back, I think I learned a lot from my classmates and colleagues, more than what I had initially expected. The College of Engineering and the University in general offer an excellent environment for student interactions and teamwork, and this will be very valuable not only for learning at the graduate level, but also for the next steps of life and career. Students should not discount the value of interaction with other students and should take advantage of the interactive learning environment that's there.
