Dr Andrew Gunstensen

EngSci 8T7 , Managing Director, Bank of America

This profile was posted in Oct. 2015

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Andrew K. Gunstensen was born in Edinburgh, Scotland in 1965 and moved to Ontario in 1971. He received a B.A.Sc. in Engineering Science in 1987, specializing in the Geophysics option. He then received a PhD in Earth Sciences from M.I.T in 1992 with a thesis on statistical models of multi-phase fluid flow in porous media. Since then he has worked in quantitative finance in a variety of roles in both New York and London. Currently he is a Managing Director at Bank of America where, since 2007, he has run the New York rates quantitative strategies team. He is also a member of the global Quantitative Strategies Group management team. Previously he was at Morgan Stanley from 1992 to 2007 where he worked in a variety of analytics and technologies roles including managing the swap and options technology group, being the CTO for the Capital Structure Arbitrage Group, founding and managing the Tactical Development Group and co-heading the global fixed income technology group.

Dr Gunstensen’s current work continues to focus on the traditional quant roles developing and supporting the financial models and systems used for the pricing and risk management of a wide variety of interest rate products such as swaps, options, structured notes, bonds, futures and repo. In addition, with the recent substantial changes in the regulatory and market environment following the 2008 financial crisis, he is involved in many new analytics efforts in a wide range of areas including clearing, margining, capital management and risk management.

In addition to his work at Bank of America, Dr Gunstensen is currently an Adjunct Professor at the Courant Institute of Mathematical Sciences at New York University where he teaches graduate level interest rate modelling.

Dr Gunstensen will be the Engineering Mathematics, Statistics, and Finance Speaker at the 2016 Engineering Science Education Conference (ESEC).


INTERVIEW WITH DR. ANDREW GUNSTENSEN

What has stuck with you from your EngSci days, which you still think of often or use daily in your work?

The thing that sticks with me in a positive light from my EngSci days was the other students. I was one of 10 EngSci freshman in my house at New College. I’d never spent so much time with a group of people as smart, motivated and interesting as those other students. We just clicked as a group and spent a lot of time over the next few years working on the various courses together. It really was a great environment to bounce ideas off, to think about things in a different way than I had previously, to learn a lot of new material and to have a lot of fun (portable boat design anyone?). The group was very supportive of each other and we became very good friends. Thirty years later, I’m still in touch with many of them.

What is a lesson, theory, or method from EngSci that continues to serve you still at Bank of America or that fuels your life philosophy?

I think that the single most important method I took away from EngSci was how to analyse a problem and decide what’s important. No matter what area you’re in, from financial mathematics to geophysics to any other area, you are faced with very complicated open-ended problems. Being able to look at them and break the issues into important ones you need to focus on and irrelevant ones you can ignore is a vital real world skill. EngSci taught me how to do this across a wide range to subject areas, sometimes explicitly but often implicitly, through the lens of limited time to complete more work than is possible. You get good at triaging the work and doing the important things first. You get better at this with experience but understanding that you need to do this, that it’s important and that it’s the difference between getting to a good final result and not getting to any final result is an important insight. It’s a real differentiating characteristic of people and EngSci really hammered into me the value of this skill.

What does it mean to you to be able to come back and volunteer at ESEC in January, and give back with your time and expertise?

I’m delighted to be able come back to Toronto and volunteer at ESEC. EngSci was the key component of my education and I have personally benefitted tremendously from the breadth, depth and rigor of the program. I’m very happy to be able to give something back to the program even in the limited capacity that I’m doing.

How has your experience with the EngSci Connect network been so far?

I’ve had a couple of discussions with some of the current students about the financial industry. Things like how the industry is evolving in the new environment, the structure of sell-side student summer internships, specialties in the industry that I think are good areas to focus on for a student and so forth. I’ve found the students interested and engaged and would love to do more here.

As a professor and a professional in industry, how do you balance the demands of both roles?

It’s difficult to balance two jobs. The amount of time it takes to prepare to teach a course is considerable. I expected a lot of work in class preparation but I was still a bit surprised by how much time it actually took, even in a subject I have been working in for decades. It cost me many months of weekends and evenings but fortunately I have a somewhat understanding partner who was okay with me disappearing into my study for hours and hours at a time over many months!