MSc International Securities, Investment and Banking

This degree is widely regarded as one of the leading applied finance programmes in Europe. It has been specially designed with the support of industry practitioners to equip you with the skills and knowledge needed to succeed in the challenging field of investment banking. It enables our graduates to make an early contribution through the unique combination of hands-on, practical skills valued by the financial markets.

MSc ISIB is ranked among the UK top 10 Masters in Finance courses by the the Financial Times.

The ICMA Centre is delighted to announce a series of up to ten 50% MSc ISIB scholarships available to EU applicants for 2016/17. For more information see our Scholarships page

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 existing 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 visitwww.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

Full-time
MSc International Securities, Investment and Banking 2016-17 £21,900

Fees are the same for both EU and overseas students.Please note there is a one-off £30 application fee (one charge regardless of how many courses you apply for). You can pay this by credit/debit card at this link (please contact us if you require details of alternative payment methods).

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.

Scholarships

If you are an EU/UK applicant with a minimum  2:1 or equivalent from an overseas institution for your bachelor’s degree you might be eligible for a 50% scholarshipMore information is available here

UK/European Union Postgraduate Loans

The UK Government has confirmed that non-means tested loans of up to £10,000 will be available to students studying for postgraduate masters courses from the 2016-2017 Academic year. To be eligible, students will need to be English domiciled.  EU students, and individuals falling within certain specified categories, may also be eligible. 

Full details of the loan, including how to apply, are due to be published this year.  You read more at Introduction of loans for postgraduate students and Government response to the Consultation on Support for Postgraduate Study.

How to Apply

Full-Time MSc Applications

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

Full-time

Full-time:                      9 months

Full-time:                      12 months

This degree is only available on a full-time basis on both, a 9 and a 12  months duration. Students will be resident and under take full-time study in the UK.  Under both, the 9 and 12-month programmes students take compulsory and/or elective modules in Part 2. The 12 month option involves taking an elective 20 credit module between July and August, which would also mean a 20 credit reduction in the number of taught modules taken in the spring term.

October – December:    Part 1: Autumn Term
January   Part 1 Exams
January-April  Part 2: Spring Term
May – June:  Part 2 Exams
June – August(12 months programme only):   Part 3
August/Sep:    Part 3 Exams

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

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 250-350 Postgraduate students and 60-90 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 Information

Those who graduate in ISIB will leave us well equipped to pursue a wide range of careers in financial services. Many join investment banks to train as financial markets professionals in trading, sales and research, whilst others specialise in complex derivative products and others join brokers and commodity bankers. In addition, many graduates follow other career paths including consultancy, accountancy, operations, IT, and higher education and doctoral research.

Professional Development and Accreditation

CISI Diploma
MSc ISIB is accredited by the Chartered Institute of Securities and Investment and the ICMA Centre is a CISI Centre of Excellence.

ICMA Fixed Income Certificate

To obtain the requisite knowledge to pass the rigorous FIC exam, students are required to take the ICMA Centre Fixed Income Cash and Derivatives Markets module at Part 2. In order to receive the FIC certificate, students will need to register and pass the FIC exam through ICMA.

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

Securities, Futures and Options

Module convenor: Dr Yeqin Zeng20 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.  

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.
   

Fixed Income and Equity Investments

Module convenor: Dr Miriam Mara20 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  

Quantitative Methods for Finance

Module convenor: Dr Chardin Wese Simen20 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
   

Part 2 and Part 3 Modules

Part 2 Modules (Compulsory)

There are no compulsory modules in part 2 of this course.

Part 2 Modules (Optional)

Students on the 9-month (12-month) programme can select 100 (80) credits from the following modules:

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

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.

Derivatives Securities: Pricing, Hedging and Trading

Module convenor: Dr Michael Smith20 credits

The module objective is to give students a practical working knowledge of the pricing, hedging and trading of derivative securities, in particular options, via the use of trading simulations and pricing case studies/software. The emphasis of the module is on practical application and it is expected that by the end of the module students will understand and be able to analyse the time/risk dynamics of derivatives in a trading environment.

Outline content: Review of Option Basics, Option Pricing, Option Price Sensitivities: Risks and Trading Applications, Volatility, Volatility Smiles, Trading Strategies, Currency Options 

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

Foreign Exchange and Money Markets

Module convenor: Mr Richard Comotto20 credits

The basic aim of this module is to equip students with a firm understanding of the overall function, structure and operation of the FX and short-term interest rate markets. This will not only provide the technical knowledge required to use and manage the risk in those markets, but will also introduce and illustrate a number of key practical issues relevant to all financial activity, such as balance sheet constraints, risk capital, liquidity and funding issues, and concepts such as the nature of derivatives, OTC markets and MTFs, regulatory arbitrage, netting, fair v market value, basis risk. It aims to demonstrate that there is a small body of arithmetic that applies across the board to all instruments.

Outline content:  1 Common concepts and consistent application of money market arithmetic. 2 The functions and characteristic features of the money market. Basic trading strategies: carry trades; curve trades; other spread trades including trades to profit from changes in the shape of the yield curve; riding the yield curve. 3 Comparison of cash money market instruments: deposits, Treasury bills, bank bills, CP, CD and repo. Special legal, operational and collateral management issues relation to repo. Key indices: LIBOR/LIBID/LIMEAN, other IBORs, EONIA and other OI. The main components of a money market rate of return. Bid/offer spreads and spreads between rates of return on different cash instruments. 4 Interest rate risk in the money market: cash and forward rates. The forward curve and yield curve. Trading against the forward curve. Forward-forward loans and deposits. 5 Money market derivatives: FRA. The mechanics and terminology of FRAs. Use in hedging: early payment and discounting of the settlement amount. 6 Money market derivatives: money market interest rate swaps. Mechanics and terminology. Use in risk-taking, hedging and arbitrage. Pricing and valuing swaps. OIS. 7 Exchange rate conventions. The FX market. Forward FX: pricing, interest rate parity, covered interest arbitrage and synthetic foreign currency borrowing/lending. FX and currency swaps. Forward-forward FX, NDFs and synthetic FRAs.

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

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
 

Topics in the History of Finance

Module convenor: Professor Adrian Bell10 credits

This module aims to provide students with an understanding of the origins of Financial Markets, and with a broader appreciation of the early development of products and innovations in Finance - which many assume are recent twentieth century inventions. By the end of the module it is expected that the student will be able to:
  • Identify and explain key issues and events in the History of Finance
  • Acquire a detailed knowledge of the events through extensive reading in specialised literature
  • Locate and assemble information on the subject by independent research
  • Appraise critically the primary sources and historical interpretations of the subject
  • Organise material and articulate arguments effectively in writing, both under timed conditions and in assessed essays.
Outline content The module will focus on topics that can throw light on the development of financial markets over time. It is not restricted by date, but will draw mainly upon Medieval Europe for its focus. Topics will include:
  • Forward Contracts for the supply of Wool in the 13th Century
  • Early Italian Merchant Banks - Riccardi, Bardi
  • The English Company of 1339
  • The South Sea Bubble - John Law
  • War Finance
  • Tulip Mania
*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 or asset manager when formulating interest rate strategy. The lectures will provide: (1) the fundamentals of market pricing, (2) practical examples of current market situations, and (3) identification of trading and portfolio strategies. Seminars will focus on market pricing conventions and worked examples.
Outline content:  1. Flow of Funds and the Economics of Interest Rates 2. Monitoring Central Banks and the Determination of Short Rates 3. Pricing and Trading of Short Rate Instruments 4. Fundamentals of Bond Pricing, Duration and Convexity 5. Yield Curve Trading Strategies 6. Trading of Bonds, Bond Forwards and Futures 7. Pricing and Trading of Interest Rate Swaps 8. Corporate Bond Spreads and the Business Cycle 9. Managing Benchmarked Global Bond Portfolios 10. Absolute Return Fixed Income Portfolio Management
*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Corporate Finance

Module convenor: Dr George Alexandridis20 credits

The main aim of the module is to provide a rigorous grounding of the theory and practice of corporate finance and more specifically the long-term managerial decisions associated with investments, financing and payout and how they affect the value of the firm. It deals with how corporations are governed and structured, the financing alternatives, structures and processes involved (IPOs, SEOs, Private Equity, Bank Debt and Corporate Bonds), the payout policy of the firm (dividends and repurchases) as well growing through mergers and acquisitions. The module also extensively deals with advanced financial analysis and enterprise valuation methods employed by investment professionals and investment banks.   Outline content: Objectives of the Firm, Agency problems and Corp. Governance; Financing Alternatives and Issuing Securities; Financing Alternatives and Issuing Securities; The Capital Structure Decision; Payout Policy;  Mergers and Acquisitions; Advanced Company Valuation

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.

Essentials of Financial Engineering

Module convenor: Dr Konstantina Kappou10 credits

This module provides an introduction to the basic techniques employed in Financial Engineering; from replication of cash flows, to asset valuation under no-arbitrage assumptions and the law of one price. Students will understand how these methods can be applied to design securities with desired payoff characteristics. They will be able to evaluate complex securities by means of reverse engineering and be aware of possible problems when these methods are applied to real world situations. 

Outline content: Introduction to Financial Engineering, cash flow engineering, basic financial products, interest and forward rates, no-arbitrage and the law of one price; Pricing and hedging by replication, major interest rate (IR) swap structures, IR swaps, currency forwards and cross currencies FX-swaps, options; Structured products, introduction and evaluation; Dynamic strategies for hedging and principal protection; Credit markets: CDS engineering, credit indices and CDO's.

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

Stock Index Futures

Module convenor: Professor Charles Sutcliffe10 credits

This module covers the construction of stock market indices, how futures are traded, pricing futures from an arbitrage relationship, how futures can be used for hedging the price risk of the underlying, and the various uses that fund managers make of these derivative instruments. By the end of the module it is expected that students will be aware of the different ways of constructing stock market indices and the implications of these differences, how futures contracts are traded and the identity of some of the close substitutes for trading index futures, how futures can be priced using an arbitrage relationship, how futures can be used for hedging the price risk of the underlying, and the various uses that fund managers make of these instruments. Outline content
  • Introduction to Trading Stock Index Futures
  • Arbitrage and the Valuation of Stock Index Futures
  • The Basis and Spread Trading of Stock Index Futures
  • Hedging Using Stock Index Futures
  • The Uses of Stock Index Futures by Fund Managers
*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

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.   Outline content: Within this module, we will set out the historical context and theoretical basis of regulation and then understand and challenge current and past thinking on regulatory structures and concepts. To enhance our understanding we examine the risks that need to be managed in the provision of financial products and services, the role and limitations of market-based incentives in addressing these risks and the issues different stakeholders confront when interacting with financial firms. These will be examined in the context of the recent global financial crisis, which provides us with a rich source of information on the pros and cons of various options. The module will also include a discussion of competing regulatory objectives; safeguarding the regulatory perimeter, the challenges of policy development, horizon risks, the role and nature of prudential, conduct of business and macroprudential safeguards; and the extent of potential reliance on the regulated firms’ governance, culture, systems and controls in mitigating risks. We also look at the practicalities of regulation and the roles of various key regulators both domestically and internationally. This includes the Basel Committee, EBA, EIOPS and ESMA, national regulators (both in the developed and the developing world), sector regulators for banking, insurance, asset management and securities, the European Commission and others. We will look at key current regulatory acts including Solvency 2, Basel capital requirements, UCITS, MIFID 2, EMIR, PSD, Dodd-Frank and so on.Throughout our discussion of these topics we will also examine how financial firms are currently regulated and contrast this with global best practice. We will critically evaluate challenges posed by lobbying and regulatory capture. We will conclude with explorations of how regulation helps address risk and ensure stakeholder interests are given due protection in order to meet the interests of the real economy. Students will develop broad regulatory skills and knowledge required to work within the financial services industry. We will also aim to gain an understanding of the role and working of risk management, compliance, internal audit and allied functions in financial firms and their links to the regulator.
*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

Behavioural Finance

Module convenor: Dr Ioannis Oikonomou20 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.

Fixed Income Cash and Derivative Markets

20 credits

Fixed Income Cash and Derivative Markets applies more advanced valuation and risk assessment methods that build on the knowledge introduced in the fixed income component of the first term Fixed Income and Equity Investments module: It describes the basic characteristics of fixed income derivatives, structured products and credit sensitive securities and develops practical strategies for valuation and risk assessment. 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 module is designed not only for students wanting a more advanced knowledge of the fixed income markets, but also for students wishing to take the exam for the ICMA Fixed Income Certificate (ICMA FIC) Outline Content: Trading on yield curve views and financing fixed income trades,Bonds with embedded options and inflation linked securities, Interest rate futures, Swaps and swap futures, Interest rate options, Credit risk, spread determination and ratings, Securitisation, CDS structure, pricing and revaluation, Trading and hedging with single name and index CDS, Market practice and regulation in cash and derivative fixed income markets.   *We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Real Estate Finance

Module convenor: Dr Gianluca Marcato10 credits

The module will enable students to interpret the main principles of corporate finance with an appropriate emphasis on real estate. It will also allow students to recognise the strategic importance of real estate to corporate financial decision making. By the end of the module it is expected that students will be able to:
  • Develop skills in the estimation and evaluation of alternative approaches to capital budgeting decisions;
  • Critically compare and contrast alternative methods of financing core projects;
  • Understand the importance of real estate to corporate strategic financial decisions;
  • Value real options and understand how they can be applied in a real estate context.
Outline content
  • The reporting of real estate in company accounts
  • Performance of real estate companies assessed through accounting numbers and ratios
  • Comparison of valuation methods used in finance and in property
  • Traditional methods of property appraisal and development
  • Review of Capital Budgeting techniques applicable to real estate investment and development applications
  • Principles underlying decisions about capital structure, debt and equity financing, Project vs. company funding, application to real estate lease or buy decision (financial and accounting issues)
  • Real estate financial decisions with applications of real options
*We reserve the right to change this list should staffing or other changes in circumstance make it necessary.

Programming for Finance

Module convenor: Mr Andreas Chouliaras

The objective is to introduce the students to programming and its usage for data processing and finance. It deals with how to write programming code, process files, receive input and provide output. Students who complete this course will be able to write programming code in Python, process files, input, output and manage data. Furthermore, students will be able to read and write to Excel and CSV files, connect to databases, obtain and process data from the Web, as well as use Python for Finance and Econometrics applications.

*Please note that the list of elective modules may change should staffing or other changes in circumstances make it necessary.

Part 3 Modules

Optional modules

Students on the 12-months programme should take 20 credits from the following:

Energy Finance

Module convenor: Dr Marcel Prokopczuk20 credits

This module aims to provide students with an understanding of financial decision making in the context of the energy industry. The course will combine theoretical models with practical applications. Outline content:  - Energy markets: products, companies, production and consumption - Capital budgeting in energy companies: real options analysis - Financing of energy companies - Energy derivatives valuation - Risk management in energy companies - Trading in energy markets - Renewable energy markets - Carbon trading - Case studies in energy finance

Alternative and Responsible Investments

Module convenor: Dr Andreas Hoepner20 credits

This module provides postgraduate students with an overview on alternative investment opportunities. It will critically engage students with the characteristics and issues of the main current alternatives investment opportunities being Commodities, Private Equity, and especially Hedge Funds. Beyond this, it will introduce students into newly emerging alternative investment markets, which include Carbon Finance, Microfinance, Islamic Investment and especially Responsible Investment. On this basis, the challenges of hand collecting original data and evaluating alternative investment portfolios’ performance are discussed. Topic 1: Introduction into Alternative Investments Topic 2: Hedge Funds Topic 3: Performance Evaluation of absolute return hedge funds Topic 4: Responsible Investment Topic 5: Performance Evaluation of responsible mutual funds Topic 6: Carbon Finance Topic 7: Intangible Finance (i-finance) Topic 8: Microfinance Topic 9: Intermarket analysis Topic 10: Further alternative investment

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.
 

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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