Master's in 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).

Find out what it's like to experience finance in action

At a glance

  • Enhance your career prospects in one of the most sought after areas of finance
  • Study one of the most recognised risk management Masters courses in the UK
  • Develop your professional skills by studying for GARP FRM Part I as part of the course and benefit from the programme’s accreditation by GARP
  • Focus on highly specialised topics such as market risk, financial instruments and credit risk
  • Benefit from additional professional exam exemptions from PRMIA and CISI
Level Master's
Award MSc
Duration 9 months / 12 months
Attendance Full-time
Location Whiteknights campus (Reading)
Programme Director

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 evolving financial markets, providing graduates with an insight into 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, combining a practice focused approach and current market intelligence.

The graduates benefit from exemptions to 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.

Part 1 Modules

Compulsory modules Credits
The module provides the economic framework for understanding the global financial system and financial markets, financial institutions, market players and the importance of liquidity and price efficiency. Participants will gain an understanding of the international stock and bond markets, ‘repo’ markets (for borrowing/ lending on a secured basis). The module also introduces foreign exchange, money markets and futures markets (which are developed in more detail in optional Part 2 modules) and also focuses on specific markets for commodity and energy.
Teaching Staff

20

The module covers the building blocks of econometrics and analytical techniques used in finance. Via case studies and computer modelling exercises, students learn how to apply these techniques to real data. Emphasis is placed on practical applications of the techniques in the global financial markets.

Teaching Staff

20

This module provides an overview of the key building blocks in modern finance theory and introduces techniques for analysing and valuing different classes of risky assets such as equities and derivatives contracts. It also develops ways of optimally selecting portfolios of such assets and develops models of how these portfolios can 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).

Teaching Staff

20

Fixed Income and Equity Investments deals with the valuation of fixed income and equity securities. The module focuses on the basic characteristics of these securities and the strategies used for estimating 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 or for the purpose of conducting financial analysis. The analytical techniques introduced in this module are widely applied in other elements of the programme.
Teaching Staff
Christos Mavis Christos Mavis

20

Part 2 Modules

Compulsory modules Credits
The purpose of the module is to provide an understanding of the latest developments in banking regulations that are the main driving force behind changes in our approaches to risk measurement. It focuses on the foundations of market risk analysis and the basic models for assessing market risk. Participants utilise 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. They also learn to build various Value-at-Risk (VaR) models for market risk for international portfolios of equities, FX, interest rate products, commodities, derivatives etc. The module has a significant practical component with computer-based workshops that are designed to support the lecture material.

20

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.
Teaching Staff

20

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).
Teaching Staff

20

Students on the 9-month (12-month) programme can select 40 (20) credits from the following modules:

Optional modules Credits
Advanced Financial Analysis builds upon the material covered in Part I of Fixed Income and Equity Investments. The module focuses on the main pillars of fundamental top-down equity analysis: the primary aim is to provide an in-depth analysis of how the choices presented by financial standards can impact reported company performance and thus investment decisions. The analytical techniques introduced in this module are widely used in equity analysis by financial analysts and fund managers/traders.
Teaching Staff
Paul Von der Heyde Paul Von der Heyde

10

The module aims to build on the techniques for portfolio selection that have been introduced in the Securities, Futures and Options module. The module examines the issues involved in understanding the investment market, constructing a competitive investment portfolio (of an active, passive or smart beta style), evaluating the performance of that portfolio, and adjusting its composition through time. It will also consider issues revolving around the management of risk. The compulsory, practical project of the course will provide students with hands-on experience in constructing and managing a realistic investment portfolio.

20

Building on the material introduced in Quantitative Methods for Finance, this module covers a number of more advanced techniques that are relevant for financial applications, and in particular for modelling and forecasting financial time series. These include an introduction to maximum likelihood estimation and two-stage least squares, models of volatility, simulation techniques, and multivariate models. 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.

Teaching Staff

20

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.

Teaching Staff

20

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)

Teaching Staff
Gail Rolland Gail Rolland

20

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.

Teaching Staff

10

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.
Teaching Staff

20

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 the concepts of market and asset liquidity, trade execution risk and an overview of the methods for managing these types of liquidity risk. This module will not discuss about funding liquidity and managing liquidity in a bank. The issues discussed in this course are important when developing trading strategies, valuing portfolios, liquidating large positions and transitioning assets to new investments.

Teaching Staff

20

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.
Teaching Staff

20

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.

10

Bond and Money Markets explores the economic drivers and relationships between bond, money markets and central bank monetary policies. The module offers students the opportunity to gain an understanding of how these connections affect trading strategies, funding liquidity management and the challenges faced by practitioners as well as regulators/policy makers. The course also covers the overall functions, structure and operation of the money market..
Teaching Staff

20

Part 3 Modules (12-month only)

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

Optional modules 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. It focuses on energy markets (products, companies, production and consumption), capital budgeting in energy companies, financing of energy companies, energy derivatives and trading in energy markets. A number of case studies in energy finances are utilised.

Teaching Staff

20

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.

Teaching Staff

20

The module is less quantitative option open to all MSc students that builds on the coverage of futures contracts from term 1. 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.

Teaching Staff

20

After completion of this programme, students are well-prepared to follow a career in the challenging fields of risk management, or risk analysis with banks, regulators, portfolio managers, corporate treasuries, risk management software houses, specialist financial boutiques and hedge funds. Regulators, governments, advisors and commentators are unanimously endorsing the call for more and better qualified risk managers and analysts to join the financial industry.

Find out more about graduate destinations and career opportunities on our Henley Careers page

Professional accreditations

Global Association of Risk (GARP)

The Global Association of Risk Professionals (GARP) is a not-for-profit global membership organisation dedicated to preparing individuals and organisations to make better informed risk decisions. GARP offers the Financial Risk Manager (FRM®) and the Energy Risk Professional (ERP®) programs, professional certifications recognised and respected worldwide.

GARP’s over 150,000 Members and Affiliates come from banks, investment management firms, government agencies, academic institutions, and corporations in over 195 countries and territories. By fostering partnerships with top universities and business schools around the world, GARP seeks to bridge the gap between academic research and real-world practice and support the education of the next generation of risk professionals.

MSc Financial Risk Management is accredited by GARP and 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.

Global Association of Risk (GARP)

Professional Risk Managers’ Association (PRMIA)

The Professional Risk Managers’ International Association (PRMIA) is a non-profit professional association, governed by a Board of Directors directly elected by its global membership, of nearly 90,000 members worldwide. Established in 2002 by a volunteer group of risk industry professionals, PRMIA’s mission is to provide a free and open forum for the promotion of sound risk management standards and practices globally. The MSc in Financial Risk Management is accredited by PRMIA and closely linked to the PRM handbooks. Successful graduates will be exempt from PRM I and II exams, which form the majority of the PRM Certification Programme.

Professional Risk Managers’ Association (PRMIA)

Chartered Institute of Securities & Investment (CISI)

The ICMA Centre is an accredited Centre of Excellence of the Chartered Institute for Securities and Investment (CISI), and only one of seven Universities in the UK to hold this status. Centres of Excellence are a select group of UK universities, recognised by the CISI as offering leadership in academic education on financial markets. Students who are on a financially-related masters course recognised by the CISI are eligible for exemptions and membership.

ICMA Centre students on MSc Investment Management, MSc Finance (formerly known as the MSc in International Securities, Investment and Banking) and MSc Corporate Finance who register and successfully complete two CISI Diploma in Capital Markets modules (Securities and Bonds & Fixed Interest Markets) are eligible for an exemption from the third module (Financial Markets).

Chartered Institute of Securities & Investment (CISI)

Our master's in finance courses are available only on a full-time basis with the option of studying for 9 or 12 months.

Learning options

Full-time: 9 months
Full-time: 12 months
Students will be resident and undertake 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.

Course structure

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

Speak to a current student

Contact us

For any questions of academic nature about this programme you are welcome to contact directly the Programme Director, Dr Nadia Kappou at k.kappou@icmacentre.ac.uk

Admissions

If you have any questions about admissions, please don't hesitate to contact us.

Email: admissions@icmacentre.ac.uk
Telephone: +44 (0)118 378 6497

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