Cool Quant in Crisis

Carolina Marquez,

MFE 04

VP, BlackRock

San Francisco

 

The bottom fell out of the housing market almost immediately after Carolina Marquez started her job as a mortgage researcher at Barclays Global Investors in 2007.

 

Marquez’s job was to develop quantitative models for clients to make trading decisions based on mortgagebacked securities. But the market crash turned everything on its head. “What we were seeing was completely outside the historical experience,” Marquez says. “So many of the models had to be completely revamped.”

 

She credits her master of financial engineering with helping her adapt to a challenging market. “I was so well trained in modeling, I was able to incorporate the new trends, and at a fast pace.”

 

Still, she says, it was a rough couple of years. “No matter how conservative you thought you were, the prices kept falling,” she recalls. “It’s difficult to come into work when the news is always negative.”

 

It wasn’t until 2009 that investors began to see opportunities in mortgage- backed securities again, she says. Today, as vice president in the financial modeling group at BlackRock, which acquired Barclays in 2009, Marquez works on the trading floor, gathering up-to-the-minute data and continually updating the models in the firm’s portfolio management system.

 

Despite long hours -“the market never stops” - Marquez enjoys the work, which allows her to use all her training, including a PhD in economics from UC Berkeley, in a practical way.

 

Marquez also likes the creativity involved in working with the mortgage market, which has a “huge behavioral element,” she says. “People buy houses based on emotion. It’s a challenge to use math to model something that’s behavioral.”

 


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