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Master of Financial Risk Management Core Courses

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RSM6301H – Market Risk

This course focuses on the measurement and management of market risk. The first part of the course
looks at how financial institutions manage their market risk in the equity, fixed income and derivatives
trading portfolios. The second part examines dynamic models to capture volatility and correlation in the
return on traded assets. Copula models will also be developed as a tool to integrate market, credit risk,
and operational risk as well as other risks facing the organization. Finally, we consider how market risk is
measured and managed at the enterprise level.

RSM6302H – Financial Markets, Risk, and Institutions

This course provides a qualitative description of commercial banks, investment banks, insurance companies, mutual funds, and central banking. Cases and current examples are used throughout the course to provide illustrations of the challenges facing financial institutions, requiring both qualitative and quantitative analysis. Students will participate in a banking simulation where students are asked to make quarterly decisions on loans, deposits, securities, etc. with the objective of managing bank risk while maintaining bank profitability.

RSM6303H – Regulation of Financial Institutions

Regulation drives much of risk management in financial institutions. This course explains why this is the case. It explains the history of the regulation of banks and insurance companies focusing particularly on regulatory changes that have been implemented since the 2008 credit crisis and those that will be implemented in the next few years. An important part of the course is a group project where students will evaluate a regulatory directive and present their findings to their peers.

RSM6304H – Operational Risk

It is now widely recognized that Operational Risk is as important, if not more important, than credit risk or market risk for a financial institution. This course will provide a detailed analysis of key areas of operational risk including legal risk (client, employee and shareholder claims), compliance risk (regulatory fines and sanctions), damage to assets, external events, cyber risk, internal and external fraud. Students will be exposed to the challenges of a category of risk that often results from complex interactions across people process and systems and across departments of a financial organization.

RSM6305H – Credit Risk

This course focuses on the pricing, measurement and management of interest rate and credit risks. It
provides a broad overview of the issues in fixed income and credit risks, applies state-of-the-art credit
risk pricing, measurement and management techniques.

The emphasis of this course will be on both qualitative and quantitative aspects of credit risk
management as well as the implementation of models to capture credit risk in traded assets. Key focus
will be given on derivative pricing with respect to interest rate and credit derivatives, credit risk
scorecard modelling, structural models for credit risk and credit risk model validation.

RSM6306H – Probabilistic Modeling for Risk-Informed Decisions

We will use probabilistic modeling and stochastic simulation as tools for guiding risk-informed decisions in complex environments with material uncertainty about the future. The first part of the course will focus on quantifying various measures of equity return risk using historical data. We then focus on forecasting distributions of returns using both parametric and nonparametric approaches. Forecasting requires a ‘model’ so we assess parameter and model risk. This part of the course emphasizes developing models linked to financial data and assessing model performance.

The second part of the course uses stochastic simulation cases to practice deriving robust strategies for the decisions that risk managers must make in real time, including managing liquidity risk, market risk, crash risk, and real economy risks. We use the RIT market simulator platform (analogous to using a flight simulator); decision models for each RIT case are linked to data from the simulated market, that is, data generated by the class participants. The markets aggregate participants’ decisions and provide immediate feedback, allowing you to adapt strategies given the range of potential outcomes experienced in the multiple replications of the case.

RSM6307H – Macroeconomics for Financial Risk Management Professionals

This course is intended to prepare MFRM students to be able to understand and monitor risks
forthcoming from global and national macroeconomies. We will review a number of different sources of
macroeconomic risk, both short-term and longer-term, and consider the likely greatest areas of risk
over the next 5-10 years and beyond. We will examine how ongoing and ‘real-world’ macroeconomic
analysis and forecasting are carried out, and by whom, and consider the best sources for keeping
aware of key macroeconomic issues in a busy professional life.

RSM6308H – Advanced Investments

This quantitative course presents advanced material on a broad range of topics relevant for investment
professionals. Topics include the investor behaviour and preference, money management industry
(mutual funds, pension funds, hedge funds, ETFs), properties of asset returns, asset pricing models,
investment strategies designed to exploit market inefficiency, modern techniques for optimal portfolio
selection, portfolio performance attribution and factor approach to investing. The course interprets asset
management as a problem in understanding and exploiting factor risk premiums.

RSM6309H – Risk Management in Pension Funds and Insurance Companies

This course covers topics associated with risk in the insurance industry, including life, health, property
& casualty, reinsurance, as well as risk in pension plans and retirement. The emphasis is mainly put on
the management of the liability side of the balance sheet of such entities, and the tools available to risk
managers to find the optimal risk/reward package.

RSM6310H – Derivative Models for Risk Management

This course looks at the range of derivative products and the pricing models used to value and manage the risk of these products. The course starts with simple equity options and then moves on to exotic options and options on other types of assets. It also covers credit and interest rate derivatives.

RSM6311H – Risk Management Project

A distinctive feature of the MFRM program is the integrated Risk Management Project undertaken from January to March, 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 mid-March.

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 page was last updated: 2024-01-30 @ 4:47 pm