Prof.dr. Mathijs A. van DijkAcademic Director MScFI
November 14, 2016
Master of Science in
Finance & Investments
(MScFI)
Electives Info Session
MScFI curriculum: Electives
Choice of 3 MScFI electives (one per block) or 2 MScFI electives
plus 1 elective from another RSM MSc Programme (in any block)
Block Elective (6 ECTS)
3 Fundamentals of Portfolio Management
Banking and Financial Intermediation
Derivatives
Mergers and Acquisitions (offered twice)
Advanced Business Analysis and Valuation (AC)
Financial Modeling
The Economics of Housing and Mortgage Markets
4 Treasury Management
Advanced Valuation & Value Creation (offered twice)
Real Estate Finance & Investments
Household Finance
Institutional Investment and Firms
Quantitative Methods for Finance
5 Trading & Exchanges
Professional Asset Management
Entrepreneurial Finance & Private Equity (offered twice)
Fixed Income Markets and its Applications
Innovations and Financial Markets
Financial Distress and Corporate Restructuring
Financial Modeling
Elective registration
Elective registration will take place in 2 rounds via
SIN-Online channel MSc Programme Enrollment
1st round: Mon. 28 November through Wed. 30 November
Rank all 19 F&I programme electives with ranks 1 (most
preferred) through 19 (least preferred), confirmation of your
preferences will follow by email
After 1st round, you will be assigned two programme electives in
two different blocks (approximately 8 December 2016)
2nd round: Mon. 12 December through Wed. 14 December
Rank all N available F&I programme AND free electives in the
remaining block with ranks 1 (most preferred) through N
(least preferred), confirmation by e-mail
After 2nd round, you will be assigned the third elective
Throughout the remainder of the academic year, switching rounds
will be opened (first come, first serve), see SIN-Online
Advanced electives
Thinking about a career in academia?– ERIM Research Master / PhD courses as advanced electives
Open to students with – min average grade 8.0 (block 1)
– OR strong motivation (interview with Academic Director)
– One or two in the same field (regular elective block 4)
Courses – Asset Pricing Theory (block 3)
– Corporate Finance Theory (block 3)
– Empirical Asset Pricing (block 4-5)
– Empirical Corporate Finance (block 4-5)
Interested?– Send email to Programme Manager Monica Reulink MA,
([email protected]) after 2nd round of the Elective registration
MScFI curriculum: Electives
Choice of 3 MScFI electives (one per block) or 2 MScFI electives
plus 1 elective from another RSM MSc Programme (in any block)
Block Elective (6 ECTS)
3 Fundamentals of Portfolio Management
Banking and Financial Intermediation
Derivatives
Mergers and Acquisitions (offered twice)
Advanced Business Analysis and Valuation (AC)
Financial Modeling
The Economics of Housing and Mortgage Markets
4 Treasury Management
Advanced Valuation & Value Creation (offered twice)
Real Estate Finance & Investments
Household Finance
Institutional Investment and Firms
Quantitative Methods for Finance
5 Trading & Exchanges
Professional Asset Management
Entrepreneurial Finance & Private Equity (offered twice)
Fixed Income Markets and its Applications
Innovations and Financial Markets
Financial Distress and Corporate Restructuring
Financial Modeling
Fundamentals of Portfolio Management &
Professional Asset Management
Egemen GencRotterdam School of Management
Erasmus University
Fundamentals of Portfolio Management
The art of selecting the right investment policy for the investors in terms of minimum risk and maximum return
• Objectives:
Understanding both fundamental and cutting-edge portfolio theories
Apply these theories to solve portfolio management problems.
• Course Plan:
First part Technical details in portfolio constructions : Mean-variance optimization,
portfolio construction models such as Treynor-Black, Black- Litterman
Based on lectures/the use of financial data and requires quantitative background
Second part Active portfolio strategies to exploit apparent violations of market
efficiency, passive investing and the role of performance benchmarking, liquidity in
portfolio construction, and topics about global asset allocation
Case studies academic papers
Professional Asset Management
Investor 1 Investor 4Investor 3Investor 2
Fund 1 Fund 2 Fund 3 Fund 4
Investor 5
Fund Manager 1 Fund Manager 2 Fund Manager A
Financial Advice:
- Brokers
- Rating agencies
Management Firm (i.e. Fidelity) Management Firm (i.e. Royce)
Other accounts
(i.e. hedge funds, endowments, pension funds
• Topics (questions) to cover:
(i) Structure of mutual funds such as fee structure, governance,; (ii)
Determinants of investors’ investment decisions such as rating systems,
marketing,; (iii) Performance of mutual funds, (iv) Exchange traded funds,
(v) Compensation structure and conflicts of interests when managers
manage multiple clients
• Course Tools:
Case studies, academic papers
Morningstar Analyst Lecture
NNIP visit : Full day activity !
Professional Asset Management
Why these courses?
• Career opportunities:
“ Because that is where the money is”
Willy Sutton
Top 400 Asset Managers 2015: Global assets top €50trn
More than 50 employers in the Netherlands (DUFAS, 2015)
30% of top 20 employers of RSM graduates is asset management firms
• Personal investment Saving for your kids
Saving for your retirement
MSc FINANCE & INVESTMENTS
DERIVATIVES:
COURSE INFORMATION
DR. MATHIJS COSEMANS
Nobel Prize in Economics for Derivatives Pricing
12
Derivatives Markets are Huge!
13
Derivatives: Misunderstood Monsters?
14
Course Objectives and Prerequisites
• Course objectives:
1) Understand main features and uses of derivatives instruments
2) Understand derivatives pricing (forwards, futures, options)
3) Improve your problem solving and logical thinking skills
• Course setup:
– 4 Theory meetings and 1 Guest lecture
– 3 Applied meetings (problem sets + case study)
– Focus in on understanding and creativity, not on memorizing
formulas and replicating exercises
• Course prerequisites:
– Solid background in investments and quantitative methods
– You like playing with equations and solving math puzzles
– Challenging course that requires strong analytical skills!
15
THE ECONOMICS OF HOUSING AND MORTGAGE
MARKETS
Housing and mortgage markets
Importance of real estate space and
asset markets
Importance of housing and residential
mortgage markets
analyzing housing markets is far more advanced then within any other sub market
Career opportunities, (inter) nationally
The course
Understanding drivers of change
Institutional approach
Industry change through vertical disintegration
Explaining the booms and bust
Financial accelerators (financial modelling)
Business opportunities (∆:
Project development (assignment)
11/14/2016Master elective (spring 2017), Peter Neuteboom
Household FinanceYigitcan Karabulut
Household Finance
• Households are more actively involved in financial markets• Increased responsibility for retirement financing
• Financial innovations have enlarged the set of investment choices
• Households are confronted with important financial decisions• How much to save; how to invest; how to allocate investments, etc.
• In this course…• We will survey what households actually do and compare it with what they
should do
Household Finance
• The main theme is household wealth management• Household preferences and risk attitudes; portfolio decisions; investment
mistakes; role of financial literacy and behavioral biases, etc.
• Career focus of this course…• Students who aim to understand opportunities in retail finance industry, and
who may want to work for or with retail finance companies, invest in them, consult to them, or regulate them are encouraged to take this course
Institutional Investments and Firms
Dr. Yan Wang
Course Description
This course focuses on financial topics related to the impact of financial institutions such as mutual funds, hedge funds, pension funds on their invested firms.
This course prepares students to understand the institutional investors’ involvement in the corporate governance and management of the invested firms.
Topics
- Corporate governance: overview- The role of institutional investors: overview- Institutional monitoring- Activism: pension fund/hedge fund activism- Institutional investors and corporate policies (e.g.,
corporate investment, IPOs, payout policy, etc)- Institutional investors and corporate restructuring
(e.g., hedge funds and chapter 11)- Institutional cross-holding and product market
strategies- Ownership structure and price fragility
Course Structure
- Lectures- Student presentations- Two case studies: reports + presentations +
discussions- In-class discussions
Quantitative Methods for Finance
1
Goal: use real data and Matlab to implement theories/ideas
that you have learned
What is Matlab?
□ A very fancy calculator
□ A simple and user friendly programming language
□ A tool for data analysis and statistics
□ A tool to produce pretty plots
The theories/ideas to implement
□ Mostly from Investment (BM01FI) and Risk Management (BM04FI)
– GARCH and VaR, (constrained) portfolio optimization, term structure models and etc.
□ Plus, some more tools (e.g. option pricing)
Trading & Exchanges
Sarah Draus
Mark Van Achter
What is the course about?
26
• In this course, we focus on the trading process and the organization of financial markets, and how they jointly determine:
• trading choices
• prices
What is the course about?
27
• Main building blocks of the course, in order of appearance:
• Detailed overview of current state of markets/traders
• Theoretical foundations (quantitative!) + empirical results
• Practitioner lecture on impact of technology on trading
Last year: we did a company visit to Flow Traders,
incl a guest lecture by co-founder Sjoerd Rietberg
• Regulatory lecture on impact of technology on trading
last year: AFM gave a talk on how to detect
fraudulent trading activity + how to regulate HFT
• In-class student presentations: topic technology and trading
Position vis-à-vis other courses:
28
Knowledge of market microstructure is very important if you aim for a number of future careers:
• you want to be a trader
• you work for a broker/dealer/specialist/HFT
• you work for an asset manager/hedge fund
• you work for an exchange
• you work for a supervisor
• you work for a central bank
• you work in a listed company
Fixed Income and its Applications
Why Fixed Income?
Today, the world’s fixed income markets are valued at nearly $87 trillion!
Largest part of capital markets: bonds, loans and much more …
Associated with major financial risks
Fixed income derivatives help managing these risks (swaps, …)
Essential for bankers , regulators, and managers at pension funds, mutual
funds, hedge funds, and other investment companies
Fixed Income and its Applications
This course is about…
Discovering the world of fixed income instruments: basics on valuation and interest rate risk management
Expect mathematics…but no financial engineering!
Assessing the place and role of FI instruments in the global economy
academic evidence on securitization and the 2008 crisis, on the term structure, on the market for corporate debt, etc.
Getting insights into practice during a guest lecture
Financial Distress and Corporate Restructuring
• Learning Objectives• Know the firm managements’ options to resolve financial distress
• Understand the implications of financial distress for capital structure choices
• Apply standard financial distress prediction models
• Understand the implications of financial distress for firm valuation and investors
• Become familiar with the legal framework of bankruptcy procedures
• Prerequisites: basic understanding of financial concepts and econometrics/regression techniques
• Grading: written closed-book exam (80%), assignments (20%)
• Material: book by Altman E. I. and E. Hotchkiss (2006), case-studies, academic articles.