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Program

Program Requirements

Formal credit requirements

 Students may choose one of two tracks in the program: Financial Statistics or Financial Risk Management . The requirements for each track include completing 10 courses for a total of 30 course credits plus a final Master's project. It is reasonable for full time students to complete the requirements in three semesters, although some take one semester longer. The courses for each track are listed below - eight need to be taken from among courses listed as "required" for the track and two can be approved electives offered either by the FSRM or other programs. Most students enter the program in the Fall semester because the core required courses offered in that semester are not repeated in the Spring semester. In addition, all students are required to register for the 16:958:690 Practical Training course (zero credit) in all semesters while in the program. 

 

Final Project: The degree requires the submission of a technical paper on some topic in FSRM. Ordinarily, this will be satisfied by the submission of an acceptable paper based on a course project.  

 

Academic Standing

The minimum cumulative grade-point average required for graduation is 3.0 for all courses taken at Rutgers after admission to the FSRM program. In addition, no more than 6 of the required 30 semester-hours of approved graduate credits, and no more than 2 of the 10 required courses,  may be graded as  "C" or lower. If a student takes a course a second time, both the original grade and the repeated grade contribute to the grade-point average in the standard way (that is a poor course grade cannot be replaced in the calculation of cumulative GPA by a better grade if the course is retaken)

 

Transfer of Credits

Up to 9 credits of acceptable graduate credits not used to satisfy the requirements of another graduate degree may be permitted to be applied towards meeting the requirements of the FSRM degree. This is subject to individual consideration and approval.



Required courses for Financial Statistics track (course descriptions):

FSRM 16:954:581 Methods and Theory of Probability and Statistical Inference with Financial Applications (offered in Fall)
FSRM 16:958:563 Regression Analysis in Finance (offered in Fall)
FSRM 16:958:565 Financial Time Series Analysis (offered in Spring)
FSRM 16:958:590 Foundations of Financial Statistics & Risk Management (offered in Fall)
FSRM 16:958:535 Advanced Statistical Methods in Finance (offered in Spring)
FSRM 16:958:587 Advanced Simulation Methods for Finance (offered in Fall)
FSRM 16:958:588 Financial Data Mining (offered in Fall)
FSRM 16:958:694 Asset Allocation and Portfolio Management (offered in Fall)

Students selecting the Financial Statistics track must complete all of the above courses unless they receive formal waivers from either the Program or the Associate Program Director.


Required courses for Financial Risk Management track (course descriptions): 

FSRM 16:958:534 Advanced Methods/Statistics for Risk Management Practice (offered in Spring)
FSRM 16:954:581 Methods and Theory of Probability and Statistical Inference with Financial Applications (offered in Fall)
FSRM 16:958:563 Regression Analysis in Finance (offered in Fall)
FSRM 16:958:565 Financial Time Series Analysis (offered in Spring)
FSRM 16:958:590 Foundations of Financial Statistics & Risk Management (offered in Fall)
FSRM 16:958:535 Advanced Statistical Methods in Finance (offered in Spring)
FSRM 16:958:587 Advanced Simulation Methods for Finance (offered in Fall)
FSRM 16:958:536 Advanced Risk Evaluation and Management (offered in Fall)

 Students selecting the Risk Management track must complete all of the above courses unless they receive formal waivers from either the Program or the Associate Program Director.

Elective Courses (course descriptions): 

FSRM Electives Available For Students taking the Risk Management Track
FSRM 16:958:589: Advanced Programming for Financial Statistics & Risk Management
FSRM 16:958:694 Asset Allocation and Portfolio Management (elective for students taking the Risk Management track, required for students taking the Financial Statistics track)
FSRM 16:958:588 Financial Data Mining (elective for students taking the Risk Management track, required for students taking the Financial Statistics track)

FSRM Electives Available For Students taking the Financial Statistics Track
FSRM 16:958:589: Advanced Programming for Financial Statistics & Risk Management
FSRM 16:958:534 Advanced Methods for Risk Management Practice (elective for students taking the Financial Statistics track, required for students taking the Risk Management track)
FSRM 16:958:536 Advanced Risk Evaluation and Management(elective for students taking the Financial Statistics track, required for students taking the Risk Management track)

Non- FSRM Electives available to students in both tracks
Stat 16:960:542 Life Data Analysis
Stat 16:960:554 Applied Stochastic Processes
Stat 16:960:567 Applied Multivariate Analysis
CS 16:198:513 Design and Analysis of Data Structures and Algorithms I
CS 16:198:514 Design and Analysis of Data Structures and Algorithms II
CS 16:198:515 Programming Languages and Compilers I
CS 16:198:516 Programming Languages and Compilers II
CS 16:198:527 Computer Methods for Partial Differential Equations
Math 16:642:623 Computational Finance
Math 16:642:624 Credit Risk Modeling
Math 16:642:625 Portfolio Theory and Applications
Econ 16:220:501 Microeconomics I
Econ 16:220:502 Microeconomics II
Econ 16:220:504 Macroeconomics I
Econ 16:220:505 Macroeconomics II

Students may also select courses from the MSDS, MQF and Math Finance program course catalogs as electives if they satisfy the pre-requisites and get approval from the program offering the course


Example Course Schedule:

(Financial Statistics Track)

Fall (First Semester)

Spring (Second Semester)

Fall (Third Semester)

FSRM 16:958:581 (required) FSRM 16:958:565 (required) FSRM 16:958:588 (required)
FSRM 16:958:563 (required) FSRM 16:958:535 (required) FSRM 16:958:587 (required)
FSRM 16:958:590 (required) FSRM 16:958:589 (FSRM elective) FSRM 16:958:694 (required)
  Non-FSRM elective  

(Risk Management Track)

Fall (First Semester) Spring (Second Semester) Fall (Third Semester)
 FSRM 16:958:581 (required)  FSRM 16:958:565 (required)  FSRM 16:958:536 (required)
 FSRM 16:958:563 (required)  FSRM 16:958:535 (required)  FSRM 16:958:587 (required)
 FSRM 16:958:590 (required)  FSRM 16:958:534 (required)  Non-FSRM elective
   FSRM 16:958:589 (FSRM elective)