Hi Duncan,
I am an Indian working with TCS in a Risk Management profile for past 2 years. I did my B.Sc. and M.Sc. in Statistics from India. Although I never had any formal training in risk or finance, I had a curiosity to see how finance industry used statistics. I feel that formal training in such discipline would help in my career growth. For which I am thinking to pursue Financial Engineering/ Computational Finance. But then I get confused if I should continue working and learn gradually (as I have been doing till now) or do another MS (in Financial Engineering). How much each option would digger in the return on investment in monetary and efforts terms? Please suggest.

Furthermore, from which college would it be advisable to do Financial Engineering given that I want to come back to India and work. Nevertheless, I can opt for working abroad till I may repay my education loan. Which colleges would you suggest seeing that I am having a work experience?

These are the following colleges that I am thinking of as of now:
1. CMU (thats a dream college for me)
2. NUS
3. HEC Paris

If you want to come back to India straight away then I wonder how you will get a strong RoI. You might be better off looking at MSc in Finance programmes in the FT MiF ranking which are at state universities on mainland Europe. Those will be high quality and low cost.

In the meanwhile, look at the CFA 1 exam papers and try some self-study.

Of the the programs you're looking at, the MFE at NUS is probably the best fitting for your goals, since the school probably has the best connections with employers in India.

Perhaps employers in India will value international experience? If that were the case, it might be a good idea to consider working abroad for a few years after you graduate from one of these programs.

I know somebody who paired his Tepper MBA with an MS in Computational Finance... He's doing project management/financial analysis at a bank now.

@NiceLife I have no worries working for couple of years and then returning. I agree with you for your opinion on international experience. Thank you.

I had not thought of CMU-Tepper dual degree. I will look into this also now.