Financial Modeling Tools

Introduction to the mathematics and computational techniques essential for financial modelling and risk management.

Financial Economics I

Introduction to the theory of finance.

Equity Security Analysis and Portfolio Management I

Practical aspects of portfolio management, trading, compliance, attribution and risk management.  Principles of fixed income valuation and equity analysis.

Derivative Securities I

Introduction to the valuation of derivative securities.  The use of derivatives in portfolio management, risk management and financial engineering.

Choose of the following two:

• Accounting for Financial Instruments

  Introduction to relevant accounting concepts including accounting for derivatives, hedge accounting and accounting for securitization.

• Equity Security Analysis and Portfolio Management

  Advanced valuation of equity securities.

Financial Economics II

Advanced asset pricing and capital market equilibrium theory.

Financial Econometrics

Introduction to econometric models employed in risk management.

Numerical Methods in Risk Management

A survey of numerical methods employed in contingent claims pricing and risk management.

Fixed Income Security Analysis

Valuation and risk management of fixed income securities. 

Derivative Securities II

An advanced treatment of contingent claims pricing theory.

Market Risk Management  (option to take in semester 4)

A review of advanced market risk models and methodologies including value-at-risk, shortfall and stress testing.

Law and Regulation of Financial Institutions

Review of securities law in Canada, US and the EU. Economic analysis of regulation.

Credit Risk Management

Introduction to the modelling, pricing and management of credit risk.

Choose of the following two:

• Enterprise Risk Management for Financial Institutions

  A survey of best practices within financial institutions with respect to enterprise risk management, including risk architecture and risk communication and disclosure.

• Strategic Asset Allocation

  Assumptions underlying the Capital Asset Pricing Model are relaxed to allow for specific views on asset returns, and to allow for the expected future consumption needs of a given investor.

Research Project  (option to take in semester 4)

Students complete a supervised research project in the areas of risk management, asset management or a closely related field of inquiry.

Semester 4 - Fall