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
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
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 16:958:590 Foundation of Financial Statistics and Risk Management
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
FSRM 16:958:534 Advanced Statistics for Risk Management Practice
FSRM 16:958:536 Financial Risk Evaluation and Management
FSRM 16:958:587 Advanced Simulation Methods for Finance
FSRM 16:958:590 Foundation of Financial Statistics and Risk Management
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 16:958:589 Advanced Programming for Financial Statistics and Risk Management
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 IEconomics 16:220:502 Microeconomics II
Economics 16:220:504 Macroeconomics I
Economics 16:220:505 Macroeconomics II
