The curriculum at a glance
The curriculum will allow you to master the complex issues involved in risk management and trading. All courses are developed with practitioner input.
Financial Markets, Risk and Institutions
This course provides a discussion of the role of different financial institutions (commercial banks, investment banks, insurance companies, mutual funds, and central banks) in the economy. It considers their basic business practices, the regulatory environment, and the risk management challenges they face.
Regulation of Financial Institutions
This course traces the history of the regulation of banks and insurance companies. Students learn about the current regulatory environment and likely future developments. The course covers the lessons learned from the 2008 credit crisis and the way regulations have evolved since then.
It is now recognized that operational risk is as important, if not more important than, credit risk or market risk for a financial institution. This course will involve guest speakers who are experts in different aspects of operational risk. It will cover legal risk, compliance risk, cyber risk, internal fraud, external fraud, model risk and so on.
This course focuses on theories and techniques that underlie the construction and management of optimal investment portfolios, emphasizing the risk-return tradeoffs that are appropriate for different types of investors. Students are required to have completed an introductory course in investments prior to the start of the MFRM program. This course deals with more advanced topics such as the Black-Litterman model.
Innovations in Financial Technology
This course provides an overview of the basic tools in machine learning, with emphases on applications in finance. Machine learning plays an important role in FinTech. Individual investors and financial institutions who are able to leverage these new tools and technology will have a significant advantage. This course discusses these new opportunities and challenges. It seeks to equip students with these highly coveted skills in the market. In addition to machine learning, blockchain has also become an increasingly significant component of FinTech. It is the distributed and decentralized database technology behind cryptocurrencies and is increasingly used to record and transfer any digital asset alongside currencies. Blockchain technology establishes trust among unconnected market participants and allows non-intermediated transfers of value with minimal frictions and no censorship in a manner similar to how the internet allows the sharing of information. The last two lectures cover the economic ideas and the concepts of cryptography that are essential for the functioning of a blockchain, and it provides the students with an overview over the main applications of the technology to the world of finance.
December to January: Risk Management Project
A distinctive feature of the MFRM program is the integrated Risk Management Project undertaken in December and January, where students tackle a real risk issue that is relevant and important to financial institutions. Project placements take students out of the classroom and into the industry, allowing students to work in-house with practicing risk management professionals. Presentations of project findings will be given to practitioners, fellow students and faculty in early February.
Samples of project topics include:
- Present the pros and cons of hedging FX exposure for a pension plan
- Estimate trading book loss due to global market shocks for CCAR
- Compare the reliability and relevance of different liquidity metrics
- Propose a technology solution for non-cleared OTC derivatives
- Assess the impact of IRRBB regulation on Canadian banks
Topics in Financial Risk
This course will deal with the various ways that risk is relevant in capital markets. Part of the course will be spent on how the capital markets as a whole interacts – from an investment banking point of view through to the buy side or asset manager. The course will look at the way in which market risk is quantified and managed from a practitioner point of view.
This course covers the fixed income securities market, default risk and securitization. It deals with the estimation of default probabilities (both from historical data and credit spreads) and explains the difference between physical and implied estimates. It explains the calculation of CVA, DVA and credit value at risk.
Probabilistic Modeling for Risk-Informed Decisions
This Finance Lab-based course integrates theory and practice by using simulation cases and real-time data links to both a simulated market and to quotes from actual markets. This is a ‘learning-by-doing’ course which gives students practice in deriving effective strategies when faced with uncertainty and quantifiable risks.
Macroeconomics for Financial Risk Management Professionals
This course provides an applied background into macroeconomic issues that are relevant to finance professionals. To that end, rather than presenting a detailed macroeconomic framework, the course examines a series of interrelated topics, with a particular focus on the monetary and international economic context of financial sector developments.
Derivative Models for Risk Management
This course considers the range of derivative products that exist in financial markets, how they are used, how they are valued, and how trading in the OTC market is changing. Students are required to take an introductory options and futures markets course prior to the start of the MFRM program. This course provides a more in-depth coverage of key issues.
Note: Curriculum is subject to change.