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  Graduate School-New Brunswick 2012-2014 Programs, Faculty, and Courses Financial Statistics and Risk Management 958 Program  

Program


Program Description

The graduate program in statistics and biostatistics offers a master of science (M.S.) concentration in financial statistics and risk management (FSRM). This program is designed to meet the growing demand for financial statistics and risk management professionals.

Financial statistics is one of the emerging frontiers of statistics. As modern information technologies relentlessly generate voluminous and complex financial data, statistical theory and methodology have become indispensable to the financial industry. Statistical approaches based on empirical data have imposed themselves as a new generation of tools for arbitrage opportunities, performance predictions, risk exposure evaluation and management, portfolio management, asset evaluations, and the devising of novel financial products.

Risk management is an increasingly important subject in financial, industrial and regulatory sectors, in light of the global economy and the proliferation of innovative and complex risk management products. A successful risk management system incorporates expert knowledge from statistics, mathematics, finance, actuarial science, and computer science. Due to the interdisciplinary nature of the subject, it requires a special approach toward the training of the next generation of experts and leaders.

The FSRM program is designed to provide its graduates with a deep understanding of the nature of uncertainty, financial risks, and statistical properties of financial markets; a broad knowledge of established regulatory guidelines in risk management; strong technical skills for asset and portfolio analysis, risk evaluation, and management; and necessary communication and leadership skills for a successful career in financial statistics and risk management.

Students are encouraged to seek summer internships in the financial industry. A report on a suitable summer internship project can serve as the basis for the master's degree essay.

Students may pursue the degree full time or part time. Full-time students can complete the degree in three semesters and part-time students must complete their degree within five years.

It also is possible to apply for admission to FSRM as a nondegree student. As many as 12 credits of coursework taken as a nondegree student can count toward the degree if the student is subsequently admitted to the degree program.

Requirements

The requirements for the master's degree in the FSRM program include completing 10 courses for a total of 30 course credits and an approved master's degree essay. Among the 10 courses, eight are required courses and two are electives. Students may choose one of two tracks in the program: financial statistics or financial risk management. There is significant overlap in courses required for the two tracks. All students are required to take 16:958:690 Practical Training in all semesters while in the program.

The minimum cumulative grade-point average required for graduation is 3.0 (B) for all courses taken at Rutgers after admission to the FSRM program. M.S. candidates must ordinarily have at least 30 semester-hours of approved graduate credits of which no more than two may be Cs or lower. If a student takes a course a second time, both the original and any repeated grades contribute to the grade-point average in the standard way. The M.S. degree requires the submission of a paper on some topic in FSRM. Ordinarily, this will be satisfied by the submission of an acceptable paper done as a course project. No additional examination is required.

Read more at: http://www.fsrm.rutgers.edu/program/reqs#ixzz1a276FHG4.

Required Courses for Financial Statistics Track:

FSRM 16:958:582  Methods and Theory of Probability with Financial Applications

FSRM 16:958:583  Methods of Statistical Inference with Financial Applications

FSRM 16:958:563  Regression Analysis in Finance

FSRM 16:958:565  Financial Time Series Analysis

Finance 22:390:589:61  Foundations of Finance (special section for FSRM)

FSRM 16:958:535  Advanced Statistical Methods in Finance

FSRM 16:958:587  Advanced Simulation Methods for Finance

FSRM 16:958:588  Financial Data Mining

FSRM 16:958:690  Practical Training in the Application of Financial Statistics and Risk Management

Required Courses for Financial Risk Management Track:

FSRM 16:958:582  Methods and Theory of Probability with Financial Applications

FSRM 16:958:583  Methods of Statistical Inference with Financial Applications

FSRM 16:958:563  Regression Analysis in Finance

FSRM 16:958:565  Financial Time Series Analysis

Finance 22:390:589:61  Foundations of Finance (special section for FSRM)

FSRM 16:958:536  Financial Risk Evaluation and Management

FSRM 16:958:587  Advanced Simulation Methods for Finance

Finance 22:390:610  Risk Management and Insurance

FSRM 16:958:690  Practical Training in the Application of Financial Statistics and Risk Management

Elective Courses:

Statistics 16:960:542  Life Data Analysis

Statistics 16:960:554  Applied Stochastic Processes

Statistics 16:960:567  Applied Multivariate Analysis

FSRM 16:958:693  Special Topics in Statistics

Computer Science 16:198:443  Advanced Programming for Financial Applications (special section for FSRM)

Computer Science 16:198:513  Design and Analysis of Data Structures and Algorithms I

Computer Science 16:198:514  Design and Analysis of Data Structures and Algorithms II

Computer Science 16:198:515  Programming Languages and Compilers I

Computer Science 16:198:516  Programming Languages and Compilers II

Computer Science 16:198:527  Computer Methods for Partial Differential Equations

Mathematics 16:642:623  Computational Finance

Mathematics 16:642:624  Credit Risk Modeling

Mathematics 16:642:625  Portfolio Theory and Applications

Economics 16:220:501  Microeconomics I

Economics 16:220:502  Microeconomics II

Economics 16:220:504  Macroeconomics I

Economics 16:220:505  Macroeconomics II

 

 
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