The Financial Statistics and Risk Management Program (FSRM) offered by the Department of Statistics and Biostatistics at Rutgers University is a 30 credit Master’s degree in quantitative finance focused on the statistical analysis of financial data, instruments and markets and on risk management for financial institutions. The FSRM program implements a unique up-to-date and advanced approach to quantitative finance and risk management education thru its emphasis on the use of advanced statistical methods, sophisticated data analysis and supporting computational and programming methods.
Students in the program receive advanced core training in probability, statistics, computational methods and data analysis tailored to financial applications and risk management. They also receive supportive education in related finance concepts and in financial market structure, operation, trading instruments and risk related regulation.
In addition, the program recognizes the need to combine training in the mathematics of risk and uncertainty for finance with the real world experience and perspectives of industry practitioners to produce balanced and “work ready” graduates. Practical training is, therefore, a required component of the program and encompasses attendance at seminars given by industry practitioners, selective use of industry practitioners as classroom instructors, internships, project and case study assignments using real financial data and attendance at career preparation workshops.
Program applicants should have a Bachelor’s degree in one or other of mathematics, statistics, engineering, computer science, economics, finance, or related fields. With some variations, depending on their individual prior backgrounds, full time students should be able to complete the program in 3 semesters encompassing a total of 10 courses. However, the program is flexible and able to accommodate part time students as well and all classes are held in early evening hours.
Overall, the program is intended to prepare students for a range of successful careers in quantitative finance or risk management roles.
Why FSRM versus other Quant Masters Programs? The program is unique among quantitative finance, computational finance and mathematical finance master’s programs in that FSRM emphasizes the statistical and data analytical tools for dealing with uncertainty, risk and volatility, as opposed to the primary emphasis of traditional programs which is on mathematical modeling for developing and pricing complex derivative products. Fundamental financial engineering concepts, like no-arbitrage pricing and risk neutral probabilities, are certainly not overlooked in the FSRM training, but our students are taught not to rely that the standard assumptions or the “stylized facts” of finance apply in any given real world situation that they might have to deal with. Instead they are taught to statistically examine and analyze the data for deviations from expected behavior and to use robust methods to mitigate and manage the impact of such deviations. Students are thoroughly trained in the mathematics of uncertainty and to identify, manage and mitigate financial risk.
The outcome of this training is that quantitative and risk management analyses undertaken by FSRM graduates properly reflect the reality of frequently changing financial market relationships, data and correlations. Moreover, the training develops the capability to deal with "Big Data" and the ever increasing volumes of transaction and other financially relevant data.
The experience of the financial crisis of 2007/08 shows that the over-emphasis on complex mathematical modeling, as taught in many traditional Quantitative Finance programs (or Computational Finance and Mathematical Finance or Financial Mathematics programs), produces bad or misleading outcomes when underlying financial market data relationships change rapidly and significantly. FSRM training is designed to mitigate and offset this “models behaving badly” short coming of the traditional approaches. For more on the comparative advantage of the FSRM approach to quantitative finance training and risk management, please view one of the short slide show videos posted here.
In short, the FSRM program brings world class faculty together with leading industry practitioners and advisors in a world class university close to a world leading financial center, NYC, to create “best of breed” training for entry level professionals in applying cutting edge, robust statistical data analysis to financial applications and financial risk management.
How does FSRM Training Remain Relevant? The FSRM program is committed to continuously respond to the industry’s changing needs by embedding feedback loops into the program e.g. from our Advisory Board of leading practitioners and academics thru semi-annual meetings and reviews. In addition, starting in the fall semester of 2013, the program will incorporate preparation and testing for both the Level-1 and the Level-2 Financial Risk Manager Certification (FRM) exams via the program’s Academic “Partner Plus” Partnership with GARP (Global Association of Risk Professionals). Supporting the FRM Certification will provide a mechanism to leverage GARP’s deep reach into the industry for ongoing feedback into evolving needs for risk management and the educational content changes needed to meet them.
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