MSc RISK MANAGEMENT AND FINANCIAL ENGINEERING

www.imperial.ac.uk/business-school/msc-risk-management

I wanted to gain the practical skills necessary to enter into the finance industry. Imperial College Business Schools MSc Risk Management and Financial Engineering programme immediately stood out as an intense but highly rewarding opportunity.
Rajarshi Das, Internship, Kedge Capital MSc Risk Management and Financial Engineering 2011

MSc Risk Management and Financial Engineering

MSc Risk Management and Financial Engineering

This specialist programme is tailored to those wanting a deeper, more analytical study in finance than is found in general finance programmes. It is the most quantitatively-focused programme offered by Imperial College Business School.
The programme ensures you benefit from a unique blend of academic theory and real-world applications, so you graduate with all the quantitative skills required for a successful career in risk management or asset pricing. The programme is taught by a combination of our outstanding faculty and industry practitioners from the City, providing a good mix of the latest research findings from the Business Schools Risk Management Lab and unique industry developments from practitioners working in the field of risk management. Throughout the programme, you will be exposed to the latest strategies for managing risk, and you will be able to learn from other industry speakers who present Nigel Meade, Programme Director and Professor of Quantitative Finance Our MSc Risk Management and Financial Engineering is suitable for high-calibre, ambitious and technically-minded students who want to study in London and work in the highly competitive, yet rewarding financial services sector. The programme brings together students with different backgrounds, interests and experience. This diversity, combined with the international spread of students, makes for a lively and stimulating learning environment. regularly at the Business School.

The Imperial Advantage

Part of Imperial College London: become a student of one of the worlds most respected research-led universities, and have access to a highly influential alumni network Diversity: youll mix with students of the highest calibre, from a wide range of different cultural and geographical backgrounds Putting theory into practice: learn from leading practitioners and world-class academics how to put the latest academic thinking and business strategies into practice Career development: benefit from a dedicated careers service that will help you present yourself with confidence to the worlds top employers London location: youll be at the heart of one of the worlds leading cultural and financial centres Reputation: the Imperial name will open doors for you across the world
MSc Risk Management and Financial Engineering 3

Gain a reputation for excellence

Succeed in your MSc at Imperial College Business School and you become a graduate of one of the worlds leading universities, with a global reputation for excellence in entrepreneurship, innovation, quantitative finance and health management. Our internationally-recognised faculty have strong links with industry, so they can bring theory alive through case studies drawn from their experience as business consultants. You will learn from their ground-breaking research, benefit from the Business Schools close collaboration with other Imperial College departments and institutes, and graduate with a command of the latest thinking.
The focus of the programme is practical. You will apply what you learn through group discussions and project work, building your technical skills and confidence, improving your decision-making ability and enhancing your value to an employer. This combination of academic excellence and real-world relevance makes our graduates attractive to employers from every sector. We provide a friendly, supportive environment where you will develop the confidence to share insights with other high-achieving students from culturally diverse backgrounds. Coursework is carried out in small groups ensuring you master the theories, knowledge and skills taught throughout the course, and gives you an excellent foundation in the management expertise you will need in the next stage of your career. Working in groups is an important part of our approach, because it encourages collaborative skills, generates outstanding results and builds your personal and professional networks. Our location, in South Kensington, brings you to the cultural heart of London, with many of the worlds most famous museums, art galleries, parks and restaurants on your doorstep. You are also close to the City, Londons financial and business centre, home to the headquarters of many global organisations.

MSc Risk Management and Financial Engineering

MSc Risk Management and Financial Engineering

Shape your future: our programme

This highly technical one-year, full-time programme prepares recent high-calibre graduates for careers in portfolio and risk management, financial engineering, asset pricing, trading, structuring, or a PhD in Finance.
A solid quantitative foundation, the latest research, practical application and the broad range of topics covered make the MSc Risk Management and Financial Engineering a unique and truly inspiring experience.

Core and elective courses

The MSc Risk Management and Financial Engineering includes five core courses, as well as a variety of electives that students can select according to their particular interests and career aspirations.

Pre-study courses
There are some online pre-study courses that you should take before starting the programme. These may include Induction to Maths, Induction to Finance, Accounting Primer, and Ethics and Professional Standards.

Foundation courses
You will study four courses in September that introduce you to the tools of modern finance and enhance your career development skills. These include Markets and Securities, Financial Modelling, The Finance Industry, and Mathematical Finance.

Additional options
Computing workshops, courses in C++ Chartered Financial Analyst (CFA) exam preparation Reuters Academy

Programme timetable
Pre-study
August Pre-study courses Foundation courses Core courses Elective courses Project VBA course
Please note that the programme structure is subject to change and you should check the website for the most up-to-date information.

Foundation
September

Autumn term
October December

Spring term
January March

Summer term
April June

Summer
July August

MSc Risk Management and Financial Engineering

The stochastic calculus and financial statistics courses introduced me to the mathematics driving the financial world, and the financial lectures given by practitioners gave me a taste of what methods are used in the industry, and how problems are solved.
Kateryna Stepanova, Junior Quantitative Analyst, Abanci MSc Risk Management and Financial Engineering 2011

MSc Risk Management and Financial Engineering

Core courses
There are five core courses, plus a compulsory VBA course, that provide you with a comprehensive and systematic training in the mechanisms and techniques involved in quantitative financial modelling. Taught through lectures and quantitative case studies, you will work on real-world problems faced by financial firms using extensive data sets and computer programmes.

Stochastic Calculus
This course provides students with an essential understanding of stochastic calculus and its continuous-time application to finance. A balance between rigorous mathematical proofs, intuitive explanations and real-life examples of the financial industry is achieved.

Investments and Portfolio Management

This course provides you with a critical understanding of important portfolio management techniques used for investments and portfolio management by hedge funds, asset managers, investment banks and other financial institutions.

Financial Statistics and Advanced Financial Statistics

Technical work in financial institutions frequently involves the analysis of data. These two core courses will ensure you have a solid foundation in statistical inference and econometrics, with an emphasis on the special features that are prevalent in finance and in the management of financial risks.

VBA
Aimed at familiarising students with the programming language Visual Basic for Applications (VBA) for Microsoft Excel, this course first covers introductory and intermediate topics to equip students with the basic skills necessary to create VBA projects. Students are introduced to more advanced programming and Excel concepts later in the course.

Market Microstructure
This course covers key areas of risk management which are particularly relevant in the postcrisis economy and involves liquidity and price formation on securities markets. The structure and performance of prominent real-world securities markets is described and examined using theory and evidence from the financial economics literature. Explicit attention is given to the impact of differences in trading system design and regulation, as well as to the relationship between market liquidity and asset prices.

MSc Risk Management and Financial Engineering

I was looking for a programme which combined quantitative skills like Matlab and VBA-Excel programming with rigorous financial theory.
Joachim Klindworth, Analyst, Credit Pricing and Product Development, Commerzbank AG MSc Risk Management and Financial Engineering 2011

MSc Risk Management and Financial Engineering

Elective courses
You choose five electives from the following list to deepen your knowledge and acquire practical experience.*

Enterprise Risk Management

An introduction to modern methods of enterprise risk management applicable to financial organisations. It analyses different types of risk and methods for measuring and managing them before examining how insurance companies and pension funds employ models that bring together different risk types in order to implement risk mitigation techniques, such as reinsurance, securitisation, or hedging.

Private Equity and Entrepreneurial Finance

Applications and tools for students interested in late-stage investments, such as Growth Capital, LBO, Mezzanine, HY and Infrastructure. You will examine the role of private equity, finance instruments and structures, and the application of these tools in company acquisition or restructuring. You will understand the role of the banks and the funds in the debt-raising process, and the financial and legal aspects of the structuring and valuation involved in executing an investment in sectors such as Energy, the Environment, Retail/Consumer Goods and Industry.

Fixed-income Securities
These make up a very substantial proportion of all investments and financing strategies in todays financial markets. The need to price and hedge this array of products accurately has led to prolific literature in this area. The course covers the main continuous-time term structure models and valuation techniques.

Banking
The first part of the course focuses on issues in financial intermediation from a microeconomic perspective: risk-sharing, bank runs, regulation and underscoring asymmetric information models. The second part analyses the dominant role of investment banks as information intermediaries.

Hedge Funds
Building on the material covered in Investments and Portfolio Management, this course discusses advanced portfolio management techniques, including the use of dynamic portfolio theory, derivatives and portfolio insurance. Advanced trading strategies, such as event-driven and credit derivative strategies are also covered.

Advanced Portfolio Management

A discussion of common advanced portfolio management techniques such as Bayesian portfolio optimisation, derivatives and portfolio insurance, dynamic portfolio theory and assetliability management. These techniques are used by some of the most successful practitioners in fund management, risk management, structured products, pension funds and consultancies.

International Finance
An introduction to key concepts and analytical tools used in the field of international finance and international macroeconomics. Topics covered are balance of payments, exchange rates, foreign debt and default, direction of capital flows, global imbalances and home bias.

Life Insurance
Covering the broad economics of life insurance, this course introduces students to important financial operations performed by life companies,

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MSc Risk Management and Financial Engineering

including the measurement and management of risk, the pricing and reserving of life contracts, their investment policies and capital management and the role of government.

Structured Credit and Equity Products

Students will examine credit risk associated with portfolios. A wide range of credit-sensitive instruments will be examined including multi-named credit derivatives and structured exposures (CDO, ABS, etc). The course will also examine the dynamic management of credit portfolio risk. For further details of each course visit: www.imperial.ac.uk/business-school/msc-riskmanagement

General Insurance
An introduction to institutional features of the general insurance market, techniques useful for analysing general insurance exposures, and important aspects of the operation of general insurance companies, including reinsurance, securitisation and investment policies. It also looks in depth at the design, pricing, and underwriting of general insurance contracts, as well as the challenges posed by catastrophe risks and climate change.

Venture Capital Finance and Innovation

Provides a strong finance framework for students interested in understanding the investment structures and processes for seed, start-up and growth capital financing in early stage investments, how to raise capital for new ventures or to invest in the growth of innovative companies, with a focus on the Clean Tech, Life Sciences and TMT sectors.

* Electives run subject to student interest and availability. Not all combinations of electives are possible. Imperial College Business School reserves the right to withdraw or replace an elective.

Project
The majority of students are expected to complete the Applied Project that, as its name suggests, has a practical focus, designed for those pursuing a career in a financial institution. For the small number of students who wish to follow an academic career and want to go on to a PhD programme, we offer the Research Project. Applied Project The aim of the Applied Project is to enable students to produce new and relevant insights that demonstrate the practical application of tools, theories and techniques learnt from the material taught in core and elective courses. It also allows those who have secured a work placement to incorporate this experience into their year of study. Students choosing the Applied Project are required to take five elective courses. Research Project Advised by your faculty tutor, youll identify a topic of interest and then analyse it statistically or numerically. The Research Project report, of up to 10,000 words, is due for assessment at the end of August. Students choosing the Research Project are only required to take four elective courses.

Introduction to Numerical Finance with C++

Introduces the essential numerical methods used in risk management and financial engineering, and teaches the basic C++ programming for implementation.

Advanced Numerical Finance with C++

Introduces the advanced numerical methods used in risk management and financial engineering, and teaches advanced C++ programming for implementation. Prerequisite: Introduction to Numerical Finance with C++.

Credit Risk
Students will study how to assess credit risk associated with individual exposure, and discuss the major literature in the field and some related applications.

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Focus on Faculty
Our world-class faculty combine academic rigour with a hands-on approach to the latest business practice. They are engaged in cutting-edge research, and many are actively involved as consultants for leading international organisations.

Focus on faculty
Marco Pegano, Professor of Finance Marco teaches Market Microstructure on the MSc Risk Management and Financial Engineering programme. He is President of the Einaudi Institute for Economics and Finance (EIEF) and a Research Fellow of the Centre for Studies in Economics and Finance (CSEF). His publications have appeared in several journals, such as The American Economic Review, The Review of Economic Studies, The Quarterly Journal of Economics, The Journal of Finance and the European Economic Review. Nigel Meade, Professor of Quantitative Finance, Programme Director (Student Affairs), MSc Risk Management and Financial Engineering Nigel supervises students whose research is sponsored by corporate and financial institutions. His work has been published widely in magazines such as Management Science and the International Journal of Forecasting. He is an associate editor of the International Journal of Forecasting and the European Journal of Finance, and was a director of the International Institute of Forecasters until 2006. Robert Kosowski, Assistant Professor and Director of the Risk Management Lab and Centre for Hedge Fund Research Robert teaches on the MSc Finance and MSc Risk Management and Financial Engineering programmes. He has published in numerous finance journals, and has received best paper awards from Inquire Europe, Inquire UK, and the European Finance Association. Previously an Assistant Professor at INSEAD, he has worked for Goldman Sachs, the Boston Consulting Group and Deutsche Bank, as well as serving as Specialist Advisor to the UK House of Lords and Expert Technical Consultant to the IMF. Paolo Zaffaroni, Professor in Financial Econometrics Paolo teaches Financial Econometrics. His publications include The Annals of Statistics, The Journal of Econometrics, The Journal of Time Series Analysis, The Journal of Empirical Finance, and The Journal of Monetary Economics and Econometric Theory. He acts as a quantitative consultant in asset and risk management and as an instructor of executive courses for various financial institutions.

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MSc Risk Management and Financial Engineering

As an MSc Finance alumnus, I enjoy coming back to the Business School to present a real case study to students in the Private Equity and Entrepreneurial Finance course with adjunct professor Andreas Angelopoulos. I like to challenge the thinking of the class, and am impressed by their ability to apply the technical skills and techniques they have learnt.
Elias Sakellis, Executive Director, Goldman Sachs, MSc Finance 1999

Guest lecturers and speakers

We are proud to host guest lecturers and speakers alongside our world-class teaching faculty and external instructors, giving you industry insight and perspectives from the modern business world. Piotr Karasinski, Senior Advisor, European Bank for Reconstruction and Development Elias Sakellis, Executive Director, Goldman Sachs (alumnus) Abel Elizalde, Credit Derivatives Strategy, J.P. Morgan, teaches Structured Equity and Credit Products Francois-Serge LHabitant, Chief Investment Officer, Kedge Capital Fund Management Ltd, teaches Hedge Funds

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A dedicated careers service

You will benefit from a highly professional careers service that focuses on your individual needs. From the moment you accept an offer of a place on our programme, our Career and Professional Development Service works with you in a combination of one-to-one support and regular workshops. They will identify your skills and strengths, and give you all the support you need to build a career strategy that is right for you.
The workshops start by providing guidance on preparing CVs, cover letters and application forms, as well as training in interview and assessment centre skills. They then move on to personal development, giving you valuable skills, such as how to present with impact, network effectively and work in cross-cultural teams. Our expert consultants are available for one-to one sessions throughout the year, whether you want to fine-tune your CV, take part in a mock interview, or review your overall career strategy. The Business Schools careers team engages with potential employers on behalf of students and organises events targeted at Business School MSc and MBA students. Leading companies deliver tailored workshops or provide guest lecturers to MSc Risk Management and Financial Engineering students. Recent examples of supporting organisations include Citi, Nomura, Morgan Stanley, RBS, Blackrock, Man Group, BNP Paribas, Macquarie, Bank of America Merrill Lynch, Standard Bank, PwC, and J.P. Morgan. You will also have the opportunity to attend careers sessions coordinated by Imperial Colleges Careers Advisory Service which caters for all Imperial College students. Our service continues after you graduate. As an alumnus, you can arrange appointments with us at any time during your career - for example, if you are considering a change in direction or want to explore developing your career further.

Our MSc Risk Management and Financial Engineering graduates are now working for a wide range of companies in many different roles, including:
Bank of America Merrill Lynch Risk Management Barclays Capital Quantitative Associate Societe Generale Credit Derivatives Trading Goldman Sachs Risk Management Algorithmics Financial Engineer Standard Chartered Bank Credit Valuation Manager BlackRock Risk Quantitative Analysis Nomura Asset Management Graduate Programme HSBC Investment Banking Barclaycard Wealth Risk Deutsche Bank Global Markets Analyst ING Risk Management RBS Structurer Credit Suisse Emerging Markets Fixed Income Sales Risk Management Solutions Catastrophe Risk Modelling BNP Paribas Fixed Income Research BT Pension Scheme Management, Investment Risk Commerzbank Rates Trading Analyst Morgan Stanley Market Risk Manager illen Group Quantitative Analyst, Real Estate Derivatives Citi Risk Management apco Principal Consultant Monetary Authority of Singapore Specialist Risk Associate NYSE Euronext Global Derivatives Business Development Schroders Fixed Income Analyst Deloitte Risk Analyst Bank of America Merrill Lynch Treasury Analyst Alpine Wealth Management Investment Analyst Trafigura Graduate Analyst UBS Credit Risk Analyst

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MSc Risk Management and Financial Engineering

Employability
96% of MSc Risk Management and Financial Engineering 2010 graduates were employed within six months of completing the programme.

Destination of 2007-2010 graduates

2% 2% 2% 4% 4% 4% 6% 8% 10% 10% 10% 20% 21% 2% 16% 26% 12%

Risk Management Sales & Trading Asset Management/Hedge Funds Investment Banking (M&A) Financial Engineering/Quant Technology Consulting Treasury Valuations Operations Professional Services Other

26% 20% 10% 10% 6% 4% 4% 2% 2% 2% 2% 12%

The community at Imperial is very diverse, with students from many countries which prepares you to fit well with multi-national working environment.
Jiratchaya Jirakijanusorn, MSc Risk Management and Financial Engineering 2011

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Make connections: Be amongst the best

You will work alongside other high-calibre individuals from diverse backgrounds who will help you develop strong interpersonal and communication skills, as well as commercial and international awareness.

A powerful social networking experience

The contacts you make through lectures and group projects are developed through our social and networking events. The lasting relationships you form, not only with your fellow students, but with alumni, adjunct professors, students from other programmes and visiting lecturers, will enrich you professionally and personally. Students nominate their own social representatives, who organise events part-funded by the School, and some students volunteer for the Business Schools Student Ambassador Programme. There are over 200 sports clubs and societies on offer, including a very active Finance Society and Private Equity and Venture Capital Club. You will also receive free membership to Ethos, Imperials stateof-the-art sports centre, just a short walk from the Business School building. Information on student clubs can be found at www.imperialcollegeunion.org

Career development support Our Career and Professional Development Team provides a dedicated service to postgraduate alumni, including one-to-one careers consultations, to ensure you have the ongoing support you need as you develop a successful and fulfilling career. An international community Our extensive network of approximately 10,000 alumni spanning more than 110 countries has helped stamp our reputation as a world-class business school. As a Business School alumnus, you will also be part of the wider Imperial College Alumni Network a group with over 140,000 members. Together, these networks provide you with worldwide connections across almost every sector imaginable. We encourage you to play an active part in this prestigious network and, as a student and alumnus of the Business School, to make good use of your lifelong access to leading business people, thinkers and decision-makers across all industry sectors. For more information please visit www.imperial.ac.uk/business-school/alumni

Alumni network
Like every other aspect of our MSc programmes, the alumni network offers you practical benefits, allowing you to take full advantage of your Business School connections from the beginning of your study and throughout your career. Ongoing professional development and networking We are committed to bringing you excellent opportunities to develop your skills and networks as your circumstances and needs change over the years, from practical professional development workshops to participation in electives alongside current Business School students.

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MSc Risk Management and Financial Engineering

2010 class profile Degree background

4% 11% 3%

17% 17%

21% 27%

Business/Management Computing Economics Engineering/Technology Finance/Accounting Mathematics Science/Medicine

11% 3% 17% 27% 21% 17% 4%

Nationality by region
6% 7% 11% 51%

25%

Asia/Pacific Europe Africa/Middle East UK Americas

51% 25% 11% 7% 6%

I highly value the Business Schools alumni network within the financial services industry in London, which keeps the programme content up-to-date.
Ariel Sun, Account Associate, Risk Management Solutions MSc Risk Management and Financial Engineering 2009

MSc Risk Management and Financial Engineering

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The MSc Risk Management and Financial Engineering programme is unique in the sense that it is a perfect mix of quantitative subjects and finance focused topics.
Samy Hocini, Internship, HSBC, Market Risk Control Department MSc Risk Management and Financial Engineering 2011

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MSc Risk Management and Financial Engineering

Admissions
Entry requirements
Academic achievement Applicants should have achieved a First or Upper Second Class honours degree (or international equivalent), from a recognised university, in a highly quantitative discipline such as mathematics, engineering or economics. English language requirements All applicants must demonstrate English language proficiency by meeting one of the following standards: GCSE, IGCSE, GCE O Level English or equivalent at grade B or above Cambridge Certificate of Proficiency in English (CPE) at grade B or above IELTS (academic): A minimum score of 7.0 with a minimum score of 6.5 in writing and speaking TOEFL (internet based): A minimum overall score of 100, with a minimum score of 24 in writing and speaking International Baccalaureate (IB) English at grade 6 or above Successful completion of the Business Schools Pre-sessional English course. Please note: 1. Our English language requirements are applicable to Home, EU and Overseas students. 2. TOEFL and IELTS scores will only be valid if they are less than two years old on the programme start date. 3. Our English language requirements are higher than the minimum standard set by Imperial College and waivers will only be considered under exceptional circumstances. 4. You may submit your application prior to receiving your IELTS/TOEFL scores.

How to apply
All applications must be made online. For more information and to submit your application online visit www.imperial.ac.uk/ business-school/applyingonline

Application deadlines
Please visit the How to Apply section of the website for the 2012 application deadlines.

Start date
September 2012

Fees
27,500 (2011) Fees and payment terms for the 2012 intake will be confirmed in early 2012. For more details, please visit www.imperial.ac.uk/ business-school/msc-risk-management

Scholarships
We have a number of scholarships available. Please visit www.imperial.ac.uk/ business-school/msc-risk-management Imperial College also offers a number of scholarships. For details please visit www.imperial.ac.uk/registry/studentfinancialsupport/ pgscholarships or email scholarships@imperial.ac.uk

Ways to meet us
Information sessions We hold regular on-campus and online information sessions for prospective students. To reserve your place or to check times and dates for all sessions, please visit www.imperial.ac.uk/businessschool/waystomeetus International fairs Throughout the year we also attend a number of international fairs that provide you with a great opportunity to meet representatives and alumni from the Business School.

Career planning
One of the most important elements of the application form is the Career Planning section. Your answers to the questions should demonstrate well researched short and long term career goals, and an understanding of the financial sector. Work experience is not a requirement, but relevant work experience or internships will add weight to your application.

Attendance requirements
The UK government imposes a requirement on universities to monitor the attendance of international students, and to report to the UK Border agency (UKBA) any student visa holders who cease to be in regular attendance. On joining the programme, you will be provided with further information on the attendance requirements and course interactions to avoid being unnecessarily reported.

Pre-sessional English course

This intensive five-week course offers the opportunity to develop the academic English and study skills you need to begin your postgraduate programme with confidence. For more information visit www.imperial. ac.uk/business-school/programmes/englishlanguage-support

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T: +44 (0)20 7594 9552 E: riskmanagement@imperial.ac.uk

MSc Risk Management and Financial Engineering Recruitment Team Imperial College Business School Tanaka Building South Kensington Campus London SW7 2AZ United Kingdom

www.imperial.ac.uk/business-school/msc-risk-management

Disclaimer: While all reasonable efforts have been made to ensure that the information in this publication is correct, matters covered by this publication are subject to change. Imperial College Business School accepts no liability for any loss or damage caused by errors or omissions, howsoever caused. Published July 2011