Students of the Master of Financial Risk Management (MFRM) program regularly have the opportunity to showcase their technical and decision-making skills outside of class.

This was the case for the PRMIA Risk Management Challenge, which encourages students to use critical and creative thinking to solve real business problems with a risk management focus.  

PRMIA Case Competition is organized annually by the Professional Risk Managers’ International Association. Each year, the competition challenges participants from different universities with a real-world case that requires them to solve using risk management skills. 

It is an excellent opportunity for students to relate textbook knowledge to the industry and apply modeling skills to quantify the risk. The competition is sponsored by banks and investment funds that are well known to the industry.  

We spoke to the MFRM team (Team HedgeHog) who secured first place in the regional completion, beating teams from other universities. We got to learn more about their participation in the competition and their experience in the MFRM program. Students from the winning team Alice Qiu, Cindy Zhu, Michael Ren, and Weilin Gao (MFRM ’20) told us about what they learned from the PRMIA challenge, how they prepared, and their reasons for choosing the MFRM program at Rotman. 

Why compete in the PRMIA Case Competition? 

The winning team learned about this opportunity from their Finance Professor Heather-Anne Irwin, who sent them an email detailing the competition in early January.   

For the team, it was a chance to apply what they learned from MFRM to solve real business cases, as well as the opportunities to connect with industry professionals and gain more insight into the risk industry.  

It was also the case of getting to the final round in Boston-which attracted the team. Since the final round is held on a global scale, this was a great chance to meet new friends from other schools who share similar goals and interests. 

From start to earning first place 

For team HedgeHog, The case centered on the liquidity crisis of Long Term Capital Management (LTCM) after Russia’s default in 1998. In the preliminary round, teams needed to submit a three-page summary of the case analysis.  

The team began by researching LTCM’s trading strategies and attempted to root the problems in their risk management function. In order to provide a detailed analysis, they went through several academic papers from Rotman’s database to gain more insights into the problem.  

In the regional round, they needed to prepare a presentation for the case and also a coding challenge that asked them to model a pairs-trading strategy and its risk management. This part offered them another opportunity to leverage their quantitative skills. 

Due to the COVID-19 crisis, teams had to move online and present their results in an online video call.  

And the first place goes to...  

Despite challenges presented by COVID-19, Team HedgeHog was able to earn first place in the competition and move onto the final round. Due to social distancing, the team will be unable to travel to Boston and will have to complete the round online. 

Earning the top spot 

To be able to win first place, the team spent a considerable amount of time doing the research and editing the report. Since the report length was limited to three pages only, they had to ensure every sentence of it was concise and informative. Each team member upheld a high standard for the quality of the report and was very proactive by cross-checking write-ups.  

When it came to the coding challenge, it was done with many industry-applicable statistical techniques. They compared several quantitative models and, with a collaborative effort, voted to implement a model that they all agreed upon. 

Team HedgeHog also spent some time formatting presentation slides to ensure it was visually appealing to the judges as well as practicing presenting several times to adjust pacing.  

“HedgeHog - living on the hedge” 

Applying classroom learning to the case 

In order to be able to solve the case, the team gained lots of inspiration from MFRM’s courses. Many courses that MFRM offers are very relevant to risk management applications and helped the team in better solving the case by applying the knowledge taught in the classroom. 

Professor John Hull’s regulatory risk course offered them ideas on one of the questions that were related to future risk management and policies. They were also able to relate Professor Kevin Wang’s Advanced Investment and Derivative courses to LTCM’s trading strategies. From his class, they learned the intuition behind the swap spread and its risk management, which was crucial to this case. Professor Raymond Kan’s machine learning course also taught them necessary Python skills and programming styles that were handy to quantitative modeling.   

Overall, this competition gave the team lots of exposure to risk management and investment strategies. The concepts of this case aligned closely with their career interests - risk management and investments.  

A message to those considering MFRM 

The team had lots to say when it came to describing why they choose to study the MFRM program specifically at Rotman.  

“The courses offered in the MFRM program involve coding and quantitative analysis which exposes us to sophisticated knowledge on financial risk modeling. In addition, the Rotman Risk Management project is also a great opportunity to connect the theories to real-world applications and will provide us solid experience for risk-related jobs.” 

Cindy and Alice have been part of the Rotman community for the past four years, and have greatly benefited from Rotman’s alumni network. For them, Rotman’s professional network and career services are crucial to achieving career goals. By deciding to continue pursuing further education after Rotman Commerce undergrad, they were able to fully utilize Rotman’s resources and connect with industry professionals.  

For Weilin and Michael, they were drawn by Rotman’s reputation, strong faculty and the great location in downtown Toronto. 

“We were glad to have such a fantastic opportunity to gain more exposure to the industry.” 

The Master of Financial Risk Management is a full-time program designed to prepare ambitious young professionals for careers in risk management and finance.