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Warren Buffett inspired my journey to Wall Street: Olympic figure skating silver medalist Sasha Cohen

  • "I've always had an interest in finance," says the 33-year-old former Olympian. "I watched CNBC and I took up an interest in gold at the age of 15."
  • Cohen, who retired from figuring skating in 2010, says she's a "big fan" of Warren Buffett. She's currently an associate at Morgan Stanley.
  • Cohen is also working on a documentary, "The Weight of Gold," about the struggles that Olympians face as they leave competition behind.

Sasha Cohen, the 33-year-old former Olympian, told CNBC she's focusing the kind of energy she had during her years as a figure skater on her new career on Wall Street.

"I've always had an interest in finance, I remember when I was competing, I watched CNBC and I took up an interest in gold at the age of 15 and kind of wondered why there were such wild fluctuations," said Cohen, in a recorded interview from the Winter Games in Pyeongchang, South Korea, that aired Wednesday.

Cohen, who won an Olympic silver medal in 2006 and retired from figuring skating in 2010, said she's a "big fan" of Warren Buffett, revealing the billionaire investor and Berkshire Hathaway boss inspired her to pursue a career in the financial industry.

"I think I may go to Warren Buffett's Buffett Day," Cohen told "Squawk Box" co-host Andrew Ross Sorkin, referring to Berkshire's annual shareholders meeting. Buffett will preside over the gathering, often called the Woodstock of capitalism, on May 5. Last year, about 40,000 people attended.

Sorkin told Cohen, "We will see you there." And she responded, "I would love that. It's a date."

[Programming note: Warren Buffett joins "Squawk Box" on Monday, Feb. 26 for three hours beginning at 6 a.m. ET.]

Asked about her other business heroes, Cohen cited billionaires Elon Musk founder of Tesla and SpaceX, and Jeff Bezos, founder of Amazon.

"People who can be visionary and see beyond the next quarter and what they're trying to create in this world; so definitely people like Bezos and Musk," she said.

Cohen, who graduated from Columbia University in 2016, is about seven months into her job as an associate at Morgan Stanley in investment management.

Cohen is also currently working on a documentary, "The Weight of Gold," about the struggles that Olympians face as they leave competition behind.

"It talks about the transition which ranges … from loss of purpose which can be disorienting and hard to find a second career … to issues of depression which Michael Phelps has dealt with and now advocates for," she said.

Phelps, the champion swimmer, is the most decorated Olympic athlete ever, with 28 medals, 23 of which were gold.

"That transition can be really, really tough," even for someone as successful in competition as Phelps, said Cohen. She advises "athletes to start thinking about what else they want to do, and how they can use the skills they've developed as elite athletes."

After her skating career, Cohen had also worked as an "Inside Edition" correspondent at the Academy Awards, and an Olympic analyst for ABC's "Good Morning America" and Yahoo Sports.

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Disclosure: CNBC parent NBCUniversal owns NBC Sports and NBC Olympics. NBC Olympics is the U.S. broadcast rights holder to all Summer and Winter Games through the year 2032.