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Business Simon Fraser University Calendar | Spring 2018

Finance

Master of Science

The master of science in finance program at the Segal Graduate School equips students with the tools needed to manage investments and risk in a rapidly changing world. Designed to meet the increasing global demand for skilled risk management and investment management professionals, the program provides a unique blend of rigorous training and real-world experience. Visiting finance professionals contribute an invaluable practical component to the program. Students also have an unparalleled opportunity to gain hands-on experience by managing an investment portfolio with a market value in excess of $10 million.

Applicants should also refer to the program website www.beedie.sfu.ca/MSc-Finance.

Admission Requirements

Applicants must satisfy the University admission requirements as stated in Graduate General Regulations 1.3 in the SFU Calendar. An undergraduate degree in business, commerce, economics, mathematics, physics, or other suitable quantitatively oriented programs is required. Candidates holding a professional designation such as a PRM or FRM and evidence of strong mathematics competency would also be ideal candidates. Students with a strong mathematical aptitude who have completed the graduate diploma in business administration offered by the University would be qualified for admission consideration.

Program Requirements

This program consists of course requirements and a project for a minimum of 51 units. Students choose to complete either the investment management stream or the risk management stream. Other graduate courses may be substituted for the courses listed at the discretion of the academic director.

Students must complete all of

BUS 801 - Financial Modeling Tools (3)

An introduction to elements of mathematics and computational techniques employed in finance and financial risk management. An introduction to programming tools, e.g. VBA, Matlab, and an object oriented programming language (e.g. C++).

BUS 802 - Financial Economics I (3)

An introductory course in the theory of finance and investor behavior, financial decision-making under uncertainty as well as capital market equilibrium.

BUS 803 - Financial Econometrics (3)

Financial econometrics for testing asset pricing models and portfolio performance measurement.

Section Instructor Day/Time Location
G100 Andrey Pavlov
Mo, We 2:00 PM – 5:00 PM
Mo, We 2:00 PM – 5:00 PM
,
,
BUS 805 - Financial Economics II (3)

A survey of asset pricing models including linear factor models, CAPM, and arbitrage models. Multi-period consumption, portfolio choice, and asset pricing models; continuous-time consumption and portfolio choice; behavioral finance and asset pricing; asset pricing with differential information.

BUS 809 - Equity Security Analysis and Portfolio Management I (3)

An introduction to portfolio management, equity valuation, debt valuation, and performance and risk measurement.

BUS 810 - Fixed Income Security Analysis and Portfolio Management (3)

The term structure of interest rates, fixed income returns, yield-spread analysis, sources of risk in fixed income securities, and embedded options.

BUS 814 - Derivative Securities I (3)

An introductory course in derivative securities that includes pricing as well as the use of derivative securities in portfolio management and structured transactions.

BUS 825 - Financial Statement Analysis (3)

Provides an understanding of the linkages between financial statements such as annual reports and prospectuses including the three principal financial statements (balance sheet, income statement and cash flow statement) and how useful information about a company can be extracted from them.

BUS 857 - Numerical Methods (3)

Computational tools for financial analysis, financial engineering and risk management.

Section Instructor Day/Time Location
G100 Philip Goddard
Th 2:00 PM – 5:00 PM
,
BUS 866 - Enterprise Risk Management (3)

An assessment of the risk management practices of financial institutions. A survey of best practices with respect to enterprise risk management, including risk architecture and risk communication and disclosure within the organization.

BUS 876 - Special Topics (3)

Special Topics for Business Administration.

BUS 877 - Mathematics for Computational Finance (3)

Provides students with a review of the fundamentals of the mathematics that they will be expected to know to be successful in the broader M.Sc. in Finance program. Many of the examples and exercises used will be motivating using common problems encountered in portfolio construction and analysis, econometrics, and option pricing. This course is graded on the satisfactory/unsatisfactory basis and may be waived by successfully passing a challenge exam prior to the start of the program.

BUS 878 - Statistics for Financial Economics (3)

Provide students with a review of the fundamentals of random variables and statistics that they will be expected to know to be successful in the broader M.Sc. in Finance program. Covering topics such as regression, estimation, simulation and hypothesis testing, the course examples and exercises provide a foundation on which to build a greater understanding of economic analysis and forecasting. This course is graded on the satisfactory/unsatisfactory basis and may be waived by successfully passing a challenge exam prior to the start of the program.

and nine units from the investment management or risk management stream

Investment Management Stream

BUS 816 - Strategic Asset Allocation (3)

Assumptions underlying the Capital Asset Pricing Model are relaxed to allow for specific views on asset returns, and to allow for the expected future consumption needs of a given investor to be considered at a strategic level.

BUS 823 - Equity Security Analysis and Portfolio Management II (3)

The valuation of equity securities, including company and industry analysis, financial statement analysis and valuation models.

Section Instructor Day/Time Location
G100 Glenn Powers
Mo, We 9:30 AM – 12:30 PM
,
BUS 826 - Portfolio Theory and Asset Pricing (3)

Four main topics are covered: portfolio theory, asset pricing, market efficiency, and performance measurement. The first two are cornerstones of financial economics, as, for the most part, portfolio selection models form the basis of models of asset pricing. The third cornerstone is the efficient markets hypothesis, which asks whether prices reflect information. Finally, asset pricing models provide the basis for many risk-adjusted measures of the performance of mutual, pension, and hedge funds.

Section Instructor Day/Time Location
G100 Eduardo Schwartz
Tu 2:00 PM – 5:00 PM
,

Risk Management Stream

BUS 818 - Derivative Securities II (3)

Extensions of advanced topics beyond those covered BUS 802 and 805. Prerequisite: BUS 814 (co-requisite acceptable).

Section Instructor Day/Time Location
G100 Avi Bick
Tu 9:30 AM – 12:30 PM
,
BUS 864 - Credit Risk Management (3)

Credit risk management with emphasis on portfolio models, including probability of default and loss given default models, credit capital allocation, active portfolio management, credit derivatives, and structured transactions.

BUS 865 - Market Risk Management (3)

Value at risk, advanced market risk models, statistical models, stress testing, scenario analysis, and risk-adjusted performance measurement.

Section Instructor Day/Time Location
G100 Andrey Pavlov
Mo, We 2:00 PM – 5:00 PM
,

and a project

BUS 870 - Final Project for Financial Risk Management Students (3)

A risk management research project, completed within the final academic term, based on ideas generated in previous terms, with in-class sessions on topic development, presentation, and reporting of findings as well as regular meetings with a designated supervisor. Project may be done individually or in pairs. Graded on a satisfactory/unsatisfactory basis.

Program Length

Students are expected to complete the program requirements within four terms.

Other Information

Student Investment Advisory Service (SIAS)

Students have the opportunity to acquire real world investment, risk management and compliance experience through an optional course called the Student Investment Advisory Service. Students must be enrolled in BUS 880 no later than the second term of enrollment and throughout the program in order to complete the course.

BUS 880 - Student Investment Advisory Service Internship (0)

Students in this course will manage the Student Investment Advisory Service (SIAS) fund which includes $10 million of the university's endowment portfolio, funded by contributions from HSBC Bank Canada and Lohn Foundation. SIAS fund follows a value investing mandate set by the client (SFU) through a conservative investment policy statement. The fund is composed of four actively managed asset classes: Cash, Canadian Equity, Global Equity and Fixed Income. SIAS fund reports monthly compliance and performance to the client and faculty advisors. Additionally, performance review presentations are held on a quarterly basis. Students must be enrolled in BUS 880 no later than the second term of enrolment and throughout the program in order to successfully complete the course.

Graduate Diploma in Financial Engineering

The graduate diploma in financial engineering is designed for students in the MSc in Finance program who are seeking to deepen their theoretical understanding of relevant statistical and mathematical concepts.

Academic Requirements within the Graduate General Regulations

All graduate students must satisfy the academic requirements that are specified in the Graduate General Regulations, as well as the specific requirements for the program in which they are enrolled.