Course syllabus - Financial and Risk Management Software

Objectives

A broad array of common problems from the financial world can be solved through Financial Engineering. Financial engineers must be able to use specialized software for solving such kind of problems. The aim of the course is to give a survey of existing financial and risk management software, and study FRONT ARENA system in more details.

Learning outcomes

At the end of the course the student is expected to be able to
- price both cash flow instruments and derivative instruments using FRONT ARENA.
- use the Hull-White model, the LIBOR market model, and the option adjust spread model for pricing credit derivatives and repo instruments.
- calculate different risk characteristics for the cases of desk, consolidated, and limit risk management.
- understand ARENA data model and create the simplest ARENA SQL queries.
- understand and explain mathematical foundations of all the above calculations.

Course content

A review of existing financial and risk management software. Introduction to FRONT ARENA. Cash flow instruments and instruments with underlyings. Interest rate models: the Hull-White model, the LIBOR market model, and the option adjust spread model. Pricing credit derivatives and repo instruments in FRONT ARENA. Desk risk management, consolidated risk management, and limit management. ARENA data model and ARENA SQL.

Tuition

Students work in small study groups using the teacher as an advisor. Projects are undertaken where students are expected to use Front Arena System in solving real-world financial problems.

Specific requirements

At least 120 credits in the technical, natural sciences, business administration or economics areas where Analytical Finance II 7,5 credits or equivalent is included and a TOEFL test result, minimum score 173 (CBT), 500 (PBT) or 61 (iBT) or an IELTS test result with an overall band score of minimum 5,0 and no band score below 4,5. The English test is COMPULSORY for all applicants except citizens of Australia, Canada, Ireland, New Zealand, United Kingdom and USA.

Examination

Projects (PRO1), 4.5 credits, marks Pass (G) or Pass with distinction (VG)
Seminars (SEM1), 3 credits, marks Pass (G) or Pass with distinction (VG)

A student who has a certificate from MDU regarding a disability has the opportunity to submit a request for supportive measures during written examinations or other forms of examination, in accordance with the Rules and Regulations for Examinations at First-cycle and Second-cycle Level at Mälardalen University (2020/1655). It is the examiner who takes decisions on any supportive measures, based on what kind of certificate is issued, and in that case which measures are to be applied.

Suspicions of attempting to deceive in examinations (cheating) are reported to the Vice-Chancellor, in accordance with the Higher Education Ordinance, and are examined by the University’s Disciplinary Board. If the Disciplinary Board considers the student to be guilty of a disciplinary offence, the Board will take a decision on disciplinary action, which will be a warning or suspension.

Grade

Pass with distinction, Pass, Fail