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.
This course deals with the way in which market risk is quantified and managed. It applies state-of-the-art risk measurement and risk management techniques, critically appraises commercially available risk management systems, explains the use of derivatives in risk management, and looks at ways speculative asset returns can be analyzed.
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.
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.
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.
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
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.
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.
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.
Risk Management for Pension Funds and Insurance Companies
This course will discuss risks faced by insurance companies and pension plans. These financial institutions face risks on both sides of the balance sheet. The course will discuss the types of products that are offered by life, property, and casualty insurance companies, and the risk they entail. In particular, it will discuss longevity risk, natural disaster risk, and the use of reinsurance and derivatives to hedge risks. It will cover the risks faced by pension plans, especially defined benefit plans, and the asset management strategies that are appropriate.
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.
Note: Curriculum is subject to change.