Curriculum

Prepare for success in a changing world

The MSc Finance is a 16-month, full-time program delivered over four terms. The program offers two areas of specialization: investment management and risk management. Candidates elect to complete three courses in one of the two streams.

The investment stream focuses on financial instruments, financial markets, and finance theory. The risk management stream allows students to delve deeper into credit, market, and operational risk. Both streams share the same core courses and all students are exposed to the fundamental finance theory and practice.

You also have the opportunity to join the SIAS Fund team during of the program to add an extra practical component to your learning experience.

Orientation - August

Orientation will begin on August 21, 2017 for the program, including preparatory courses on essential elements of mathematics and statistics.

Mathematics for Financial Economics

Review the mathematical tools essential for the study of finance, including linear algebra, differential equations and optimization.

Statistics for Financial Economics

Review elements of probability and statistics employed in finance, including probability models, inference and basic time series analysis.

Semester 1 - Fall

Financial Modeling Tools

To gain an understanding of the merits of an investment, thorough mathematical analysis is often required. This course provides an introduction to two commonly used software programming languages used for such analysis.  The course concentrates on programming using VBA (Visual Basic for Applications) and MATLAB. A short discussion of an object oriented language (either Java or C++) will be given if time permits near the end of the semester. A heavy emphasis is placed on hands-on laboratory sessions and practice problems drawn from a variety of topics covered in other MSc. courses such as linear regression, asset allocation and option pricing.

Ethics

This course focuses on the centrality of reputational capital in both lowering transaction-costs and building trust. The focus is on reputation capital introduces business ethics as a set of practices intended to establish the professional integrity, trustworthiness and responsibility at three levels of analysis.  This course prepares students interested in key decision making positions within the financial and banking sector with an understanding of how to identify, anticipate and work though costly ethical quandaries.

Financial Economics I

This course covers the idea of no arbitrage which is one of the most important concepts defining Financial Economics. The first part of the course describes different situation in which no-arbitrage is used for pricing of securities. The second part of the course builds on no arbitrage in developing the models and results generated by portfolio theory. The third part of the course includes theories on capital markets and corporate finance, as well as their implications.

Derivative Securities I

This is a course on derivative securities, such as options, forward contracts, futures contracts and swaps. The focus will be mainly on hedging, replication and pricing. Student will have a better understanding of derivative securities. In particular, create positions involving derivatives which achieve given objectives, understand the logic as well as the limitations of several pricing models.  Students are taught to calculate (or use software to calculate) the values of selected derivatives, implement dynamic (e.g. daily) “delta hedging” and understand how the “Greeks” can be used to control risk.

Equity Security Analysis and Portfolio Management I

Learn about the valuation of equity securities, including company and industry analysis, financial statement analysis and valuation models.

Fixed Income Security Analysis and Portfolio Management

This course will introduce students to various common structures of fixed income securities and interest rate derivatives.  It will demonstrate how to value these securities and derivatives and measure their sensitivity to systematic factors.

Optional: SIAS

Semester 2 – Spring

Financial Econometrics

Financial econometrics is the intersection of statistical techniques and Finance.  It provides a set of tools that are useful for modeling financial data and testing theoretical models in Finance. Many of you have encountered concepts such as regression and hypothesis testing in previous courses.  All the topics introduced in this course will require a deep understanding of regression and hypothesis testing with the emphasis on Finance related questions.

Structures and Numerical Methods in Risk Management

This course focuses on the underlying mathematics and software implementation of the fundamental analytic methods used to price equity and fixed-income derivatives. The methods will be derived theoretically and then implemented in MATLAB.

Risk Management Stream Courses:

Derivative Securities II

This is a second graduate course on derivative securities. Compared to BUS-814 (Derivative Securities I), the course offers more breadth and more depth with coverage of additional contracts and continuous-time methods. The emphasis is on the use of analytical methods for valuation, replication and hedging.

Market Risk Management

The course provides an overview of the state of the art in in market risk management.  Students will investigate VaR and coherent measures of risk, including their advantages and shortfalls.  While the course provides a broad overview of risk measurement and management concepts, students will take the time to fully examine actual risk measurement tools and methods using market data.

OR

Investment Management Stream Courses:

Portfolio Theory and Asset Pricing

This course covers the theory and empirical evidence relevant for investing, particularly in the context of portfolio management. (i.e., Markowitz optimal allocation, CAPM, Index and multifactor models).  It stresses the international dimensions of portfolio theory (i.e., international diversification, optimal global portfolio selection and emerging markets) as well as issues of portfolio strategy, asset allocation and performance evaluation.

Equity Security Analysis and Portfolio Management II

Study advanced valuation of equity securities, including company and industry analysis, financial statement analysis, and valuation models.

Optional: SIAS

Semester 3 – Summer

Financial Economics II

This course provides an introduction to the theory of corporate finance. The first part of the course reviews equilibrium concepts and solution techniques in game theory. The second part of the course covers topics in corporate finance.  Students will be able to understand the equilibrium concepts and solution techniques of different classes of games, analyze corporate finance models and evaluate the practical implications of corporate finance models.

Financial Statement Analysis

This course will provide an understanding of the linkages between financial reporting, such as annual reports and prospectuses including the three principal financial statements (balance sheet, income statement and cash flow statement) and how useful information about a company can be extracted from them. Coverage includes basic and advanced principles of financial accounting and financial statement analysis along with a comprehensive conceptual framework indispensable to assist managers and financial analysts to interpret reported financial information.

Risk Management Stream Course:

Credit Risk Management

Credit derivatives are the biggest financial innovations in the last 20 years. Credit risk analysis and management are of great interest to investment banks, commercial banks, traders, regulators, and rating agencies. This course provides an introduction as well as an in-depth understanding of credit risk measurement and credit derivatives. The objective is to provide a practice-oriented balance between developing a sound conceptual framework and market understanding and insight.

OR

Investment Management Stream Courses:

Strategic Asset Allocation

This course explores asset allocation models including the Black-Litterman model as well as extensions.  Students will develop a good understanding of the theoretical and practical issues relating to the establishment of investment policy.  The course analyzes investors’ return objectives, risk tolerance, investment horizon, tax considerations, liquidity needs and other unique circumstances.

Optional: SIAS

Semester 4 – Fall

Enterprise Risk Management

This course is designed to give students a thorough overview of the enterprise risk management (ERM) practices of financial institutions. It will survey the best practices with respect to the ERM function, including risk architecture, as well as disclosure both within the organization and regarding external communications with stakeholders.

Final Project

Complete a supervised research project in the areas of risk management, investment management or a closely related field of inquiry.

Optional: SIAS