MSc Financial Risk Management

One of our flagship programmes with a leading world-class reputation for over 10 years and the first one in the UK to be accredited by the Global Association of Risk Professionals (GARP).

The financial system has undergone major restructuring in preparation for the new regulatory frameworks, affecting existing roles and creating different skillset requirements within risk management divisions of financial institutions.  This programme is tailored to the needs of the rapidly changing financial markets, providing graduates with an insight into the new innovations in the area of risk management. Through its long-term academic partnerships and accreditations by leading professional bodies, the MSc Financial Risk Management offers a cutting edge learning experience, aligning research excellence and current market intelligence.

The graduates benefit from exemptions to certain professional certifications from leading professional bodies worldwide.                                                                                                                                                                            

The MSc Financial Risk Management is accredited by the Global Association of Risk Professionals (GARP). The degree syllabus is enhanced with the most up to date professional practices in the area of risk management, integrating applied academic knowledge to industry needs and providing a competitive advantage to the graduates. Integral to the academic course is the parallel study of the GARP FRM Part I certificate. Upon successful completion of their degree, students will be registered to take the FRM Part I examination.

Entry Requirements

Entry requirements

Undergraduate Degree
Minimum 2:1 or the equivalent from an overseas institution*.
Degree Discipline
Any degree discipline, but must have a satisfactory level of numeracy.
GMAT
We may ask you to submit a GMAT score if we think it appropriate in your individual case. For example, if you have been out of education for more than a few years or have little evidence of any numerical ability.For information on the GMAT and the location of test centres worldwide, please visit www.mba.com

* Please note that due to increasing competition for places on our Masters programmes our entry requirements may change.

We operate a rolling admissions system and you are therefore advised to apply early in order to be sure of your place on our programmes. We experience high levels of demand, and it is possible we might have to close applications to some programmes once places are filled.

English requirements

If English is not your first language, you may be required to take one of the following:

TOEFL (Test of English as a foreign language): Overall score of 100 with no less than 20 in Listening, Writing and Reading and 21 in Speaking

IELTS (British Council International English Language Test): Score of 6.5 overall with no component less than 6 when attending the 6-week pre-sessional English course offered by the University of Reading. Entry to this pre-sessional course with a score of 6.5 fulfils your English language requirement.

Please note that students not attending a Pre-Sessional course will need to pass IELTS with an overall score of 7 and no component less than 6.0. For more options please see the International Study and Language Website or email a member of the Postgraduate Admissions team.

Contact

For more details, contact: admissions@icmacentre.ac.uk

Fees

Fees 2014-15

Full-time
MSc Financial Risk management £19,750

Fees are the same for both EU and overseas students.

Living expenses are in addition to the above fees. Overseas full-time participants can expect to spend approximately £9,400 on additional living expenses during the course of their studies. Home/EU full-time participants can expect to spend approximately £8,000 on additional living expenses during the course of their studies.

How to Apply

Full-Time MSc Applications
Applications for 2014 entry are open for all programmes.

The ICMA Centre operates on a rolling admissions basis, meaning that prospective students can apply for our programmes throughout the year, however we do advise to apply early in the year. We aim to return a decision within 4-6 weeks of receiving your application.

Full-time applicants can apply online.

Learning Options

Learning Options

Full-time:  9 months

Full-time: 12 months

FAQs

Is there an application fee?
Yes, there is a £30 application fee (one charge regardless of how many courses you apply for). You can pay this by card at http://www.icmacentre.ac.uk/netbanx-payments (please contact us if you require details of alternative payment methods).

Can I apply for more than one course?
Yes, you are welcome to apply for more than one course. Please also note that if we cannot offer you a place on your chosen course we may suggest a suitable alternative. If you wish to discuss which courses may best suit your career aspirations you are welcome to contact our careers team. You can find more details at http://www.icmacentre.ac.uk/study/careers-and-graduate-destinations

Will I need to take an English test i.e. IELTS or TOEFL?
An English test may be required. You would be advised of this if we were to make you an offer. You would also be advised of Pre-Sessional courses available. English conditions are monitored by the Postgraduate Admissions office. If you have a question regarding English please contact pgadmissions@reading.ac.uk

I have a conditional offer but have not met my academic conditions. Can I keep my place on the course?
If your results are much lower than our requirements we may not be able to offer you a place. However, if you only missed out by a small amount we will ask the admissions team to review your results and make a decision. This will take a few days although we will try to get back to you as soon as possible.

Can I defer my place?
We usually allow deferrals for one year. Please email admissions@icmacentre.ac.uk if you wish to request a deferral.

Will I have to pay a deposit?
Yes, we require a non-refundable £1000 deposit within six weeks of receiving your offer recommendation. We advise waiting for your official offer (listing all conditions) before paying this. Please notify us when you have paid your deposit so that we do not send you any reminders.

What will I need to make an application?
You will need a card to pay the £30 fee (please contact us if you require alternative payment methods). The very least we need, aside from your completed application form and fee, is a current academic transcript. All other items can be set as conditions to be met at a later date (e.g. degree certificate, references etc).

Do you need references?
Yes, we require 2 references. If you have been out of education for longer than 5 years we are happy to accept professional references from a current manager/supervisor. When submitting your online application you will be asked to enter contact details for your referees. The application system will then send an automated request to your referees. Please note that if you have entered their personal email address (rather than professional), we will require the references to be uploaded on professional headed paper.

How many intakes do you have per year?
Our Full-Time courses only have one intake – September.

Will I need to take a GMAT?
We will need to assess your application to determine whether a GMAT is necessary. A GMAT condition tends to be applied when there is not sufficient evidence of a satisfactory level of numeracy or if candidates have been out of education for a significant period of time. We advise submitting an application as early as possible so that you have plenty of time to satisfy this condition if applied to your offer.

Are there any courses which do not have a quantitative requirement?
Yes, a GMAT is not required for the following courses:

 

  • MSc Capital Markets, Regulation & Compliance
  • MSc International Shipping & Finance
  • MSc Investment Banking & Islamic Finance

Please note that we do not assign a GMAT condition for MSc Financial Engineering applications as we require a quantitative degree for admission.

What is the application deadline?
We have not set an absolute deadline yet but recommend applying before the end of June to ensure there is enough time to complete all administrative procedures.

How do I apply?
Please submit an online application at http://www.reading.ac.uk/Study/apply/pg-applicationform.aspx . You will be prompted to upload your documents.

How long will the decision take?
We aim to give you a decision within 5-10 working days. It can be shorter or longer than this depending on the time of year. Offers need to be confirmed by Postgraduate Admissions; this takes a further 2-3 weeks after we give you the offer recommendation.

You have recommended that I am made an offer but I have not received my official offer yet. Why is this?
It usually takes 2-3 weeks for Postgraduate Admissions to confirm an offer and give you further details of your conditions etc. We ask you to be patient during this time. However, if it has been longer than 3 weeks, please email us at admissions@icmacentre.ac.uk and we will follow it up for you. Before you do this please check the email has not gone to your SPAM folder.

Why have I been rejected?
The most common reason that we cannot offer a place is that the admissions team do not feel that you meet our entry requirements. If you wish to question this, you are welcome to email admissions@icmacentre.ac.uk to request feedback. We also reject applications if they are not completed within a certain time frame (usually 1-2 months) – we will send you reminders before this point.

How many students do you take?
Our student numbers vary year to year but we tend to have around 200-350 Postgraduate students and 50-60 Undergraduates. We also co-teach for degrees offered by other departments.

Does the ICMA Centre have a code for the TOEFL/GMAT exam?
The TOEFL code for the University of Reading is 0769 and our GMAT reference is SH0-BR-04

Can I pay my Tuition fee in instalments?
We can offer two instalments – half to be paid before the start of the course and half before the start of part 2. 

Additional information

Careers

Careers in Risk Management

On completing the degree, you will be well prepared to follow a career in the challenging fields of risk  management, or risk analysis with banks, regulators, portfolio managers, corporate treasury, risk management software implementation, specialist financial boutiques and hedge funds.

The role of risk analyst will suit students with good mathematical or computational skills, who wish to utilise cutting-edge quantitative modelling techniques to develop advanced risk assessment and hedging tools. Less quantitative roles include: regulation; market, credit or operational risk  management; portfolio management; and enterprise-wide risk management.

Most of our FRM graduates are now working for large banks in London and abroad, hedge funds and regulators. Demand from employers continues to grow, despite the crisis in banks and associated financial institutions. Regulators, governments, advisors and commentators are unanimously endorsing the call for more, and better qualified risk managers and analysts to join the financial  industry.

There has never been a better time to pursue a career in financial risk management.

For more information regarding graduate destinations, please visit www.icmacentre.ac.uk/careers

Professional Development and Accreditation

PRM Exams I and II

Students who complete the appropriate modules within degree will be eligible for exemption from these exams which form a major part of the PRM Certificate.

ICMA International Fixed Income and Derivatives (IFID) Certificate

Students who successfully complete this degree including the module International Securities Markets will be granted this certificate.

CISI Diploma

Students are eligible for exemption from two Diploma modules:

  • Financial Derivatives
  • Bonds and Fixed Interest Securities

 

Further information is available regarding exemptions in MScs and Professional Qualifications.

Module listing and descriptions

NB. All our Masters degrees comprise a total of 180 credits: 80 credits at Part One and 100 credits at Part Two. Please note that module titles or content may vary each year.

Part 1 Modules

Part 1 Modules

Quantitative Methods for Finance

Module convenor: Dr Ogonna Nneji20 credits

The objective of the module is to give students an introduction to econometrics so that they might understand the analytical techniques used in the finance research literature. Via case studies and computer modelling exercises, students then learn how to apply these techniques to real data. Emphasis is placed on practical applications of the techniques in the global financial markets. Outline Content
  • Simple linear regression
  • Hypothesis testing
  • Multiple regression: the Classical Linear Regression Model (CLRM)
  • Violations of the CLRM assumptions and diagnosis
  • Non-stationarity and testing for unit roots
  • Cointegration and error correction model
  • Economic case studies in finance
  *We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Financial Markets

Module convenors: Dr Alfonso Dufour  | Professor Brian Scott-Quinn  | 20 credits

Provides knowledge of global financial markets, the importance of liquidity, the distinction between exchange versus OTC markets, primary and secondary markets and the role of intermediaries in their various forms. Participants will gain an understanding of: international stock and bond markets, repo markets (for borrowing/lending on a secured basis); an introduction to foreign exchange and money markets, and to futures markets (which are developed in more detail in optional Part 2 modules); finally specific markets for commodity and energy are studied in more detail.

Outline content

  • General introduction to world financial markets
  • Liquidity, the distinction between exchange versus OTC markets and the role of intermediaries in their various forms
  • Short-term debt securities issued by government and corporations
  • Classification of bonds according to issuer: government, agencies, corporate and municipa
  • Comparison of bond markets in major countries and a description of the main intermediaries and their role
  • Foreign exchange market, quotation conventions, types of brokers, central banks? policies
  • Primary and secondary stock markets
  • Futures markets
  • Commodities markets
  • Energy markets.
  *We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Securities, Futures and Options

Module convenors: Mr Rohit Sonika  | Mr Yeqin Zeng  | 20 credits

Introduces techniques for analysing and valuing different classes of risky assets. It also develops ways of optimally selecting portfolios of such assets and develops models of how these portfolios may be priced in financial markets. The techniques introduced in this module are widely applied in other elements of the programme. The module includes simulated trading sessions in our state of the art dealing rooms, where participants are introduced to real world pricing and trading strategies (INVEST sessions).

Outline Content: Financial assets and investing in securities markets; Investors and their objectives; Risk and capital allocation; Optimal portfolio selection; Capital asset pricing model; Single index and multifactor models; Arbitrage pricing theory; Derivative securities and the no-arbitrage principle; Forwards and Futures contracts; Simple hedging; Options basic properties and trading strategies.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Fixed Income and Equity Investments

Module convenor: Dr George Alexandridis20 credits

Fixed Income and Equity Investments deals with the valuation of fixed income and equity securities. The module focuses on the basic characteristics of each security and the strategies used for approximating their fundamental value and assessing their risk. Its primary aim is to discuss how certain characteristics and relationships can affect the value of fixed income and equity securities and how can they be exploited to form optimal investment strategies. The analytical techniques introduced in this module are widely applied in other elements of the programme.

Outline Content: An introduction to securities,  Applying time-value-of-money (TVM) and probability theory to value financial instruments,  Bond prices and yields, Introduction to default risk, Term Structure of Interest Rates, Interest rate risk, Active Bond Management,  Economic and Industry analysis, Financial Statement Analysis, Equity Valuation, Behavioural Finance and Technical analysis

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Part 2 Modules (Compulsory)

Market Risk

Module convenor: Dr Emese Lazar20 credits

This module provides an understanding of the Value-at-Risk (VaR) framework for market risk assessment and control. The module has a significant practical component with computer-based workshops that are designed to support the lecture material. By the end of the module, it is expected that students will:
  • Understand the latest developments in banking regulations that are the main driving force behind changes in our approaches to risk measurement
  • Outline the foundations of market risk analysis and the basic models for assessing market risk
  • Describe the market risk measurement techniques that are used daily in the front and middle offices of banks; particular emphasis is placed on the appraisal of the covariance matrices that are used to measure the market risk of portfolios
  • Be able to build various Value-at-Risk (VaR) models for market risk for international portfolios of equities, FX, interest rate products, commodities, derivatives etc.
Outline content
  • The characteristics of markets and market risk
  • Capital requirements & RAPM
  • Value at Risk models
  • Advanced VaR models
  • Applications to Equities
  • Applications to Foreign exchange
  • Applications to Interest rate products
  • Applications to Derivatives
  • Applications to Fund management, banking & non-financial firms
  *We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Financial Instruments

Module convenor: Dr Konstantina Kappou20 credits

Having established the theoretical basis for security valuation in Part I, this module extends students’ understanding to the valuation of financial instruments and their applications. The module has a significant practical component with seminars that are designed to support the lecture material. Students will be introduced to all types of risks that are embedded in listed and OTC derivatives across all asset classes. They will become familiar with exotic equity options, understand their pay-offs and some simple analytic pricing approximations. They will value some of the most popular swap varieties, and understand how they may be used for managing risk. They will value caps, floors and swaptions, convertible bonds and understand the interplay between market and credit risk factors. They will outline the basic credit derivatives, including total return swaps, default swaps and collateralized debt obligations.   Outline content
  • Equity and FX Futures, Forwards and Options
  • Option prices, sensitivities and empirical evidence
  • Exotic Options
  • Interest Rate Futures, Forwards and Swaps
  • Convertible Securities
  • Caps, Floors and Swaptions
  • Credit Derivatives
  • Structured Credit Products (MBS, CDO, ABCP)
  *We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Credit Risk

Module convenor: Dr Simone Varotto20 credits

This course introduces students to a set of newly developed techniques to measure and manage credit risk in bank portfolios. In recent years financial institutions have been looking at ways to quantify risk in their corporate loan and mortgage books. The lack of market prices for these types of illiquid assets implies that standard risk assessment procedures can not be employed. The course focuses on (1) default and recovery risk, (2) credit ratings and credit scoring models (3) how to measure portfolio credit risk using contingent claim and credit rating based approaches (4) credit risk management tools and (5) credit risk capital regulation (Basel 2), (6) stress testings and (7) loan pricing. By the end of the module it is expected that students will:
  • Understand the relationship between capital and risk;
  • Be familiar with the latest credit risk capital regulation;
  • Be able to apply Value-at-Risk techniques to portfolios of credit risk sensitive instruments;
  • Be able to derive and use credit ratings and credit scores;
  • Know how to estimate a credit loss distribution and use it for risk management purposes;
  • Understand the main features and implementation of the following models:
  • JP Morgan’s CreditMetrics
  • Moody’s-KMV model
  • Be able to use risk management tools such as Component VaR and Best Hedge calculated with and without distributional assumptions
  • Be familiar with the concept and implementation of stress testing in credit risk portfolios
  • Be able to determine appropriare interest charges for bank loans
 
Outline content
  • Economic and Regulatory capital
  • Credit scoring models: Altman Z-score and refinements
  • Credit ratings: designing and implementing effective internal credit rating systems.
  • Recovery risk: estimating "loss given default"
  • Credit Loss Distribution: Expected and Unexpected Loss
  • A Rating-based Credit Risk Model: CreditMetrics
  • An Equity-based Credit Risk Model: KMV
  • Credit Risk Management Tools
  • Stress Testing
  • Loan Pricing
*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Part 2 Modules (Optional)

Choice of 40 credits from:

Portfolio Management

Module convenor: Dr Ioannis Oikonomou20 credits

The module aims to build on the techniques for portfolio selection that will have been introduced in the Valuation of Securities module. The module will address both the theory and practice of portfolio management.
  • The theoretical part will examine the issues involved in constructing an investment portfolio, evaluating the performance of that portfolio, and adjusting its composition through time to ensure that its performance remains optimal. It will also consider the use of derivatives in managing risk.
  • The practical part will provide students with hands-on experience of constructing and managing an equity portfolio.
Outline content
  • Diversification
  • Financial instruments and markets
  • Passive asset allocation
  • Active portfolio management
  • Equity analysis
  • Bond analysis
  • Derivatives for fund management (forwards/futures/swaps/options)
  • Hedging/ portfolio insurance
  • Investment strategies/ Performance measurement
  • Fund management in practice
  *We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Financial Econometrics

Module convenor: Dr Alfonso Dufour20 credits

Building on the material introduced in Quantitative Methods for Finance, this module examines a number of additional techniques that are relevant for financial applications, and in particular for modelling and forecasting financial time series. An introduction to the methods of maximum likelihood estimation and Generalised Method of Moments will be given, and emphasis will be placed on modelling high-frequency data. Case studies from the academic finance literature are employed to demonstrate potential uses of each approach. Extensive use is also made of financial econometrics software to demonstrate how the techniques are applied in practice. By the end of the module, it is expected that the student will be able to
  • Describe, estimate and evaluate a number of different approaches for modeling financial data with particular emphasis on trade data
  • Determine the appropriate class of models to address a particular problem in empirical finance
  • Compare and contrast a number of methods for modeling and forecasting the volatility of financial time series
  • Write programs in a statistical software package in order to achieve particular tasks that cannot be accomplished using built-in functions
  • Comprehend and critically evaluate the use of econometrics in the published academic finance literature
  Outline content
  • Stylised characteristics of financial data
  • Ordinary Least Squares (OLS)
  • Relaxing the OLS assumptions
  • Simultaneous equations models
  • Vector autoregressive models
  • Cointegration
  • Maximum Likelihood estimation method
  • Panel data analysis
  • Simulations methods in econometrics and finance
  *Please note this module may not be available on all programmes

Research Project

Module convenor: Professor Charles Sutcliffe20 credits

The aim of the research project is to allow students to define and execute a piece of research in finance on a topic of their choice, with direction from an academic supervisor and with assistance from a doctoral student support supervisor. The Learning Outcomes of this module are:
  • Successful completion of the research project requires students to define and execute a piece of research in finance.
  • They will be required to seek out and to critically evaluate published literature in a particular field.
  • Students will improve their report-writing skills, learning how to structure their study, and how to place their findings in the wider context
 *We reserve the right to change this list should staffing or other changes in circumstance make it necessary
 

International Securities Markets

10 credits

International Securities Markets applies general valuation risk assessment methods to: fixed income securities, derivatives and markets. It describes the basic characteristics of each fixed-income security, cash and underlying, and develops practical strategies for finding its value and assessing its risk. It also considers how the markets for these securities are related and begins the task of showing how these relationships can be exploited for trading or investment. The analytical techniques introduced in this module are very applied to allow the successful candidate to apply directly to industry the more theoretical market valuation and risk models learned in other core modules taken in the first term.

Outline Content: Fixed income Analysis, Rates Trading and Hedging I, Rates Trading and Hedging II, Credit Analysis and Products I, Credit Analysis and Products II  

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Bond Market Pricing and Trading Strategies

Module convenor: Dr Andy Bevan20 credits

The main aims of the module are to identify the fundamental determinants of short- and long-term interest rates, learn how to monitor developments in interest rate markets and employ commonly used trading strategies. The course will be based around the work of a research department in an investment bank when formulating strategy for its proprietary trading desk and hedge fund customers. Each lecture will provide: (1) a concise outline of economic theory, (2) practical examples of events in markets from recent years, and (3) identification of trading strategies. Seminars will focus on market pricing conventions and worked examples. By the end of the module it is expected that students will:
  • Be aware of the main aspects of the economic theories of the determination of interest rates and corporate credit spreads
  • Be capable of analyzing economic situations to determine the likely implication for various assets in the interest rate markets
  • Be familiar with the principal strategies used in trading short rates, long rates and credit spreads
Outline content
  • Flow of Funds and the Economics of Interest Rates
  • Monitoring Central Banks and the Determination of Short Rates
  • Pricing and Trading of Short Rate Instruments
  • Fundamentals of Bond Pricing, Duration and Convexity
  • Fitting the Yield Curve and Theories of the Term Structure
  • Trading of Bonds, Bond Forwards and Futures
  • Pricing and Trading of Interest Rate Swaps
  • Default Risk and Corporate Bond Spreads
  • Corporate Bond Spreads Through the Business Cycle
  • Pricing and Trading of Credit Default Swaps
*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Commodity Derivatives

Module convenor: Dr Konstantina Kappou10 credits

 This module aims to provide students with a detailed knowledge of the commodity derivatives markets. It examines the aspects of pricing and trading physical derivatives, with emphasis on the energy and shipping (freight) sectors. The course is designed using real-life trading examples, stimulating students, who wish to follow a sales and trading career,  to approach derivatives pricing from first principles.

Outline Content: Introduction to Commodity Markets (History and Evolution, Energy Products, Base Metals, Soft Commodities), Main Market Players and the Forward Curve (Basis Risk, Commodity Futures and Options, Exchanges and OTC markets), Pricing of Commodity Derivatives (Swaps, Options and Structured Trades), The Oil Market and its Mechanisms (OPEC and DOE, Crude Supply and Demand, Inventories, Crude Products and Crack Spreads, Refineries and Margins, Main Energy Derivatives strategies), The Freight Market and its Mechanisms (The Baltic Exchange and the Shipping Industry, Forward Freight Agreements, Trading Freight Derivatives) *Please note this module may not be available on all programmes.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Occupational Pensions

Module convenor: Professor Charles Sutcliffe20 credits

This is an applied course with little quantitative content. It deals with one of the most important group of institutional investors – pension schemes, focusing on occupational pension schemes. Pensions are in a state of crisis and change, and have become the subject of popular debate and controversy. They employ fund managers to invest many £trillions on their behalf. Developing countries, such as China and India, have the potential for an enormous expansion of their pension schemes. Therefore the assets under management of pension schemes globally are likely to increase considerably. The investment of pension funds requires an understanding of how pension schemes work, which his hard to acquire as it has not been taught by educational establishments. This module will provide a detailed knowledge of a major group of institutional investors (pension schemes) and the real problems they face. *We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Advanced Finance Theory with Empirical Applications

Module convenor: Dr Nicholas Zhiyao Chen20 credits

This module is designed for advanced Master’s students and doctoral students. It has a very high technical content. It aims to equip the students with the foundations of theoretical asset pricing and with the relevant skills for performing empirical tests. Additionally, a few important corporate finance topics will be covered in the format of student presentations. The objective of the module is to prepare students to become independent and quality researchers.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Topics in Financial Regulation

Module convenor: Miss Deepa Govindarajan20 credits

This module provides an overview of the purpose and operation of financial regulation, and the consequences of financial sector reform for different markets, including those of the students’ home country. The module aims to deliver a broad insight into the key challenges for financial regulation particularly in the light of changes to the financial architecture in the aftermath of the global financial crisis of 2007.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Liquidity Risk and Algorithmic Trading

Module convenor: Dr Alfonso Dufour20 credits

The evolution of algorithmic trading, the proliferation of alternative trading platforms for trading the same security and the development of new products and assets with limited liquidity have contributed to raising the awareness of academics and traders on the importance of understanding and properly managing liquidity and execution risks. The objective of this course is to give students an introduction to liquidity and execution risks and an overview of the methods for managing these risks. The issues discussed in this course are important when developing trading strategies, valuing portfolios, liquidating large positions and transitioning assets to new investments. By the end of the module, it is expected that the student will be able to
  • Explain the concepts of high frequency trading and algorithmic trading.
  • Identify the characteristic elements of alternative algorithmic trade execution strategies
  • Explain how to measure and manage trade execution risk and compute liquidity adjusted VaRs
  • Solve simple trade execution problems and develop optimal execution strategies
  • Understand the impact of recent regulatory changes on the market and market players
Outline content
  • Introduction to the Security trading industry. Algorithmic Trading. Liquidity and liquidity risk. Liquidity suppliers.
  • An example of algorithmic execution strategy: VWAP
  • Transaction Cost Analysis (TCA). A framework for measuring and managing trade execution costs.
  • Optimal execution strategies and liquidity adjusted value at risk of asset holdings
  • Understanding, modeling and predicting execution risk
  • MiFID and Reg-NMS. Recent regulatory trends and expected impacts on markets (competition, transparency and best execution)
*We reserve the right to change this list should staffing or other changes in circumstance make it necessary

Alternative and Responsible Investments

Module convenor: Dr Andreas Hoepner20 credits

This module provides students with a profound knowledge about the underlying principles, the strategies and the professional practices of alternative investment approaches. The module equips students with analytical skills relevant to alternative investment approaches (e.g. the performance evaluation of hedge funds). The objective of this course is to give students an introduction to the academic research literature on alternative investment approaches and equip students in the relevant research skills needed to investigate alternative investment approaches and in the accurate and systematic collection of original data. The module will guide students towards a critical assessment of current key concepts and practical applications within alternative investments and towards the development of a small product within an alternative investment markets (e.g. an index). This module will foster students’ enthusiasm about alternative investments by encouraging them to pursue advanced personal analyses of the area beyond classroom requirements.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Behavioural Finance

Module convenor: Professor Chris Brooks10 credits

Financial theories have traditionally assumed that rational, risk-averse investors trade in efficient and free-flowing asset markets. Academic research and practitioner experience have cast doubt on this paradigm, instead proposing that investors may not be utility- maximisers, and that there may be impediments to the functioning of markets. This module will describe recent developments in the application of principles drawn from psychology to financial issues.

*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Come and see us

Why not make an appointment to come and visit. You can chat with our Admissions and Careers teams and a member of academic staff. Email admissions@icmacentre.ac.uk or call +44 (0)118 378 8239.

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