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,

(msc.fi@rsm.nl) 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

egenc@rsm.nl

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.