Professional Documents
Culture Documents
MSC Textbook
MSC Textbook
Master of Science/
Postgraduate Diploma
Programme Handbook
2016/17
All students registered for the programme are expected to have read and to be familiar with the
contents of this Handbook
Disclaimer: Every effort has been made to ensure the contents of this handbook are accurate at the
time of printing. Unforeseen circumstances may necessitate changes to the procedures, curricula and
syllabus described
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CONTENTS
1. CONTACT DETAILS ........................................................................................................................... 1
2. INTRODUCTORY INFORMATION ...................................................................................................... 3
2.1. Enrolment ................................................................................................................................ 3
2.2 Timetable ................................................................................................................................. 3
2.3. Attendance .............................................................................................................................. 3
2.4. Computer Facilities .................................................................................................................. 4
2.5. Note from the Programme Directors ...................................................................................... 4
3. IMPORTANT INFORMATION ............................................................................................................ 5
4. GENERAL INFORMATION ................................................................................................................. 6
4.1. Teaching Accommodation and Staff Accommodation ............................................................ 6
4.2. Contacting You ........................................................................................................................ 6
4.3. Student Mail ............................................................................................................................ 6
4.4 Finance .................................................................................................................................... 6
4.5 Personal Tutors........................................................................................................................ 6
4.6 Faculty of Actuaries Students' Society (FASS) ......................................................................... 7
4.7. Class Representatives .............................................................................................................. 7
5. PROGRAMME STRUCTURE .............................................................................................................. 7
5.1. Programme Aim ...................................................................................................................... 7
5.2. Taught Programme .................................................................................................................. 8
5.3. Which courses should you take? ........................................................................................... 11
5.4. Feedback ............................................................................................................................... 12
5.5. Award and Progression Requirements .................................................................................. 13
5.6 Re-Assessment Opportunities ............................................................................................... 14
5.7. MSc Project Work .................................................................................................................. 15
5.8 Graduation............................................................................................................................. 15
6. EXEMPTIONS FROM PROFESSIONAL EXAMS ................................................................................. 16
6.1. Year 1 – CT Subjects .............................................................................................................. 16
6.1.1. Accreditation ................................................................................................................. 16
6.1.2. Subject-by-Subject Exemptions ..................................................................................... 16
6.2 Year 2 - CA/ST subjects .......................................................................................................... 17
6.2.1 Accreditation ................................................................................................................. 17
6.2.2 Subject-by-Subject Exemptions ..................................................................................... 18
6.3. Resits for Exemption ............................................................................................................. 18
6.4. Claiming your exemptions ..................................................................................................... 19
7. HELP DURING THE YEAR ................................................................................................................ 19
7.1. Programme Problems............................................................................................................ 19
7.2 Administrative Help ............................................................................................................... 19
7.3. Wider Support ....................................................................................................................... 20
7.4. Mitigating Circumstances ...................................................................................................... 20
7.5. Important .............................................................................................................................. 21
7.6 Temporary Suspension of Studies ............................................................................................ 21
7.7 Withdrawing from Study .......................................................................................................... 21
8. IMPORTANT INFORMATION FOR ASSESSMENT ............................................................................ 22
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8.1 Unauthorised Material .......................................................................................................... 22
8.2 Calculators, Dictionaries & Electronic Devices/Mobile Phones ............................................ 22
8.3 Plagiarism .............................................................................................................................. 22
8.4 Useful Text ............................................................................................................................. 23
9. GENERAL INFORMATION ............................................................................................................... 23
9.1. National Degree Standards ................................................................................................... 23
9.2 Race Equality and Equal Opportunities Policies .................................................................... 23
10. FREQUENTLY ASKED QUESTIONS .............................................................................................. 24
10.1 Programme Progression and Award Requirements ............................................................. 24
10.2 Accreditation and Exemptions .............................................................................................. 24
10.3 Medical Certificates ............................................................................................................... 25
10.4 Administrative Information ................................................................................................... 25
COURSE DESCRIPTORS - YEAR 1 ............................................................................................................ 25
Financial Mathematics ...................................................................................................................... 26
Life Insurance Mathematics 1 ........................................................................................................... 28
Statistical Methods ............................................................................................................................ 29
Stochastic Modelling ......................................................................................................................... 30
Finance and Financial Reporting ....................................................................................................... 31
Economics.......................................................................................................................................... 32
Life Insurance Mathematics 2 ........................................................................................................... 34
Survival Models ................................................................................................................................. 36
Angus Macdonald .............................................................................................................................. 36
Risk Theory ........................................................................................................................................ 37
Time Series ........................................................................................................................................ 38
Financial Economics 1 ....................................................................................................................... 39
Financial Economics 2 ....................................................................................................................... 40
Torsten Kleinow................................................................................................................................. 40
COURSE DESCRIPTORS - YEAR 2 ............................................................................................................ 42
Actuarial Risk Management 1 ........................................................................................................... 43
Pensions A ......................................................................................................................................... 45
Life Insurance 1 ................................................................................................................................. 47
Derivative Markets and Pricing ......................................................................................................... 49
Enterprise Risk Management 1 ......................................................................................................... 51
Marcus Christiansen .......................................................................................................................... 51
Actuarial Risk Management 2 ........................................................................................................... 54
Pensions B ......................................................................................................................................... 56
Life Insurance 2 ................................................................................................................................. 58
Advanced Derivative Pricing .............................................................................................................. 60
Enterprise Risk Management 2 ......................................................................................................... 62
Finance & Investment ....................................................................................................................... 65
MSc Project Work .............................................................................................................................. 66
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1. CONTACT DETAILS
Programme Director
Year 1 – Actuarial Science
Mr Peter Ridges
Office: CMF.16, Telephone: 451 3906, Email: [email protected]
Mr Ridges is responsible for all academic matters relating to the first year of the programme.
Programme Administrator
Rodi Amiridou
Office: EM 1.24, Telephone: +44 (0) 131 451 8314, E-mail: [email protected]
Rodi is responsible for all programme administrative matters and is the secretary to the Board of
Examiners.
Students should contact staff in the School Office (EM1.25) in the first instance for any enquiries in
relation to the programme. The School Office is open week days from 1000 to 1600. The School
Office can also be contacted on: [email protected]; tel 0131 451 3432
Students can also get advice on a range of Finance, Hospitality Services and Academic Registry issues
from the Student Service Centre (http://www1.hw.ac.uk/studentcentre/) which is situated in the
Hugh Nisbet Building along from the Bank (email: [email protected])
Course Information
Details on all the courses offered on the programme can be found at:
http://www.macs.hw.ac.uk/students/ams/pg-programmes/msc-actuarial-science-and-
management/. Brief course descriptors are can also be found in the Appendix of this handbook.
Each course will also have on-line material available at the University’s Virtual Leaning Environment
(VISION) which can be found at: https://vision.hw.ac.uk. You will have access to information for all
the courses for which you are enrolled.
Most student queries can be answered by looking at the material on the programme website
http://www.macs.hw.ac.uk/students/ams/courses1/ or on the Programme VISION pages (Click on
the Organisation Tab and follow the links: School of Mathematical and Computer Sciences/Actuarial
Mathematics & Statistics/Postgraduate Programmes/MSc Actuarial Science and Management)
The Programme VISION pages will be updated regularly. It is your responsibility to check VISION for
information regarding additional classes, timetable changes, forthcoming events etc.
Important information is also contained in the School Postgraduate Handbook which can be found
at: http://www.macs.hw.ac.uk/students/wp-content/uploads/PG_SchoolHandbook.pdf
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Programme Codes
MSc in Actuarial Science & Management– F7IM-ACP, Postgraduate Diploma in Actuarial Science &
Management – F7ID-ACP, Postgraduate Certificate in Actuarial Science & Management - F7IC-ZZZ
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2. INTRODUCTORY INFORMATION
2.1. Enrolment
All student enrolment is completed online. You are responsible for ensuring your enrolment details
are correct, and that you have enrolled for all courses that you wish to take. Information to assist
with course selection will be provided at the Pre-Enrolment meeting. If you have any questions
about enrolment you should speak to staff in the School Office. Students entering Year 1 are advised
to enrol for ALL courses the first instance. This can always be changed at a later date.
You must enrol for either the PG Diploma or the MSc in Actuarial Science and Management. If you
change your mind and wish to change programme you may only do so before 30 September by
advising the Programme Administrator in writing. International students should be aware that any
programme changes will be notified to the UK Border Agency and this may have implications for your
student visas.
No refunds of programme fees will be provided to students who leave the University without
completing the programme for which they are registered for any reason (ie regardless of whether
this departure is voluntary or because students have failed to qualify for the desired award).
2.2 Timetable
Timetables can be found at: https://www.hw.ac.uk/students/studies/timetables.htm. Occasionally
it is necessary to make adjustments to the timetable, such as rescheduling a class – all changes will
be notified on the class VISION pages or by email.
Course F71SZ (Stochastic Modelling) will not begin until Week 3 (26 September 2016).
Classes are timetabled to start and finish at 15 minutes past the hour. The standard Heriot-Watt
practice is that classes start at 20 minutes past the hour and finish at 10 minutes past. Please be
courteous to staff and fellow students by ensuring you arrive on time to all your classes.
2.3. Attendance
In order to achieve course and programme learning outcomes, students are expected to attend all
scheduled course learning sessions (e.g. timetabled lectures, tutorials, lab sessions, etc). Should you
have to missed a timetabled session due to ill health or other legitimate reasons, you should submit a
self-certification or medical certification or an application for consideration of Mitigating
Circumstances http://www1.hw.ac.uk/committees/ltb/resources/mc-policy.pdf.
Students who fail to satisfy course attendance requirements may, after due warning, be disallowed
from presenting themselves for examination in the course (see
https://www.hw.ac.uk/students/doc/compulsorywithdrawal.pdf.
Coursework must be handed in by the stipulated dates, and students are required to see their
personal tutors at agreed times. Students who fail to submit compulsory coursework may also be
disallowed from presenting themselves for examination in the relevant courses.
All lectures and tutorials are compulsory and registers of attendance may be taken.
If you are absent from class due to illness for four days or less, you should complete a self-
certification form, obtainable from the School Office (EM 1.25), and return it to the School office
within a week of your return. If you are absent for more than four days, you must supply a medical
certificate to the School Office within a week of your return.
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Students here on a Tier 4 Student Visa are required to attend the signing-in sessions in October,
November, February, March, June, July and August. You must also attend the re-enrolment session
in January. It is your responsibility to make sure that you attend these events. Failure to attend will
mean that you will be reported to UKVI and your right to remain in the UK maybe removed.
You will be credited with a printing quota for use over the year. While an additional allocation may
be made in the summer of Year 2 for those proceeding to the MSc, you are advised to use your quota
sparingly.
Abuse of the computing facilities will result, at the very minimum, in a ban from the facility.
There are a total of 11 taught courses available in Year 1 and students must pass at least 8 (allowing
for course weightings – see Section 5.4) to qualify for the PG Diploma (with an average of at least
60% to progress to Year 2). You may wish to discuss with your personal tutor the most appropriate
courses for you to take in order to succeed on the programme.
Anyone who finds they are struggling with any aspect of the coursework should alert the course
lecturer at the first available opportunity. Staff are always happy to help but cannot do so if they are
not aware there is a problem.
Your academic personal tutor (see Section 4.5) is also available during the year to provide support
when needed. It is a programme requirement to meet with your personal tutor at least once a
semester.
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3. IMPORTANT INFORMATION
It is the student's responsibility to check all relevant examination timetables (including resits) on the
Registry web page http://www.hw.ac.uk/registry/examinations.htm.
The publication of the exam timetables for Semesters 1 and 2 can be found here
https://www.hw.ac.uk/students/studies/examinations/timetables.htm
Please note that although the majority of semester 2 examinations will take place in the first two
weeks of the University assessment block (in 2016, 24 April-6 May), it may be necessary for
examinations to run into the third week.
For both examination blocks, it is important that students do not make any travel arrangements until
the final examination timetable has been published. However, please note that changes to the final
timetable may still be required after it has been published due to circumstances beyond our control.
You will officially receive the provisional results of your semester 1 assessments in mid-January.
You will receive the final results of your semester 1 & 2 assessments in mid-June. In Year 2, you will
receive your MSc project work result and your award recommendation in mid-September. You will
receive an email to your University email account to inform you when you can view your official
results on-line at www.hw.ac.uk/selfservice. You will receive a final assessment results letter with
your award recommendations in mid-September.
Graduate Attributes
As a student of Heriot-Watt University, you are part of our global community. You will meet new people,
discover new interests, develop your life skills and enhance your employability and career prospects.
The University will provide you with opportunities to develop skills, qualities and academic abilities during
your time as a Heriot-Watt student. These are known as the Four Heriot-Watt Graduate Attributes:
Specialist
Creative
Global
Professional
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Further information can be found
at: https://www.hw.ac.uk/students/doc/StudentGraduateAttributes.pdf
4. GENERAL INFORMATION
The academic staff of the Department of Actuarial Mathematics and Statistics all have their offices in
the Colin Maclaurin (CM) building. Administrative staff and the MACS School Office (EM 1.25) are
nearby in that section of the Earl Mountbatten building close to the CM building.
It is your responsibility to find out what arrangements have been made and what information has
been sent to you.
You should also check the VISION regularly for announcements and updates.
4.4 Finance
Students are reminded that tuition fees are due prior to or at enrolment and are payable
immediately. Anyone who is experiencing difficulty in meeting their repayments should contact the
Student Service Centre immediately. The University has a strict policy regarding the payment of
invoices and students who fail to meet this will have their student privileges withdrawn and may in
some cases be subject to legal proceedings.
If you are experiencing difficulties in meeting your payments it is essential you contact the Student
Service Centre at the first available opportunity. You may also wish to seek advice from your personal
tutor or from staff in the School Office who can liaise with Finance Office on your behalf.
If you are paying by recurring card plan the payments will be taken in six, equal monthly instalments
on specific dates. This option is not flexible and one missed payment will result in the agreement
being revoked and the remaining balance will be due for immediate payment.
No student with outstanding debt from the first year of the programme will be allowed to enrol for
the second year of the programme. All outstanding debt must be cleared first.
No student with outstanding debt will be permitted to graduate from the University, and in some
cases students with debt may be prevented from continuing to the MSc project work stage of the
programme.
You are required to meet with your personal tutor at least once each semester. For international
students this counts as a required contact point for attendance monitoring purposes.
The Society meets about five times during the year for discussion of papers which cover a variety of
topical actuarial issues. It also gives you the opportunity to meet other actuarial trainees in
Edinburgh. Most meetings are preceded by tea, coffee and biscuits. The annual dinner is preceded
by a meeting at which there will be a distinguished speaker.
FASS Student Representatives will contact you during the first semester with details on how to join.
5. PROGRAMME STRUCTURE
Year 1
to provide intensive and high-quality education in a postgraduate context in a wide range of
subjects in contemporary actuarial science and statistics, and in economics and finance
to provide coverage of the material in the syllabuses of the subjects CT1 – CT8 in the "Core
Technical" series of the Institute and Faculty of Actuaries and provide an opportunity for
students to gain exemptions from some or all of the corresponding professional examinations as
a result of dedicated study over a nine-month period
to provide a challenging period of study which enables students to test themselves against
standards requiring intensive work and strong commitment in a demanding postgraduate
environment
to enable students to develop detailed knowledge and critical understanding, and acquire a
range of new skills, in central areas in actuarial science and statistics
to provide tutorial and discussion opportunities of a style and at a level appropriate for
postgraduate studies
to enable students to communicate and work effectively with peers and academic staff,
demonstrating appropriate levels of autonomy, initiative, and responsibility
Year 2
to provide intensive and high-quality education in a postgraduate context in a wide range of
subjects in contemporary actuarial management, and professional practice
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to provide coverage of the material in the syllabuses of the subjects CA1, CA3, ST2, ST4, ST5, ST6
and ST9 of the Institute and Faculty of Actuaries and provide an opportunity for students to
gain exemptions from some or all of the corresponding professional examinations as a result of
dedicated study over a nine-month period
to provide a challenging period of study which enables students to test themselves against
standards requiring intensive work and strong commitment in a demanding postgraduate
environment
to enable students to develop detailed knowledge and critical understanding, and acquire a
range of new skills, in central areas in actuarial management
to provide tutorial and discussion opportunities of a style and at a level appropriate for
postgraduate studies
to enable students to communicate and work effectively with peers and academic staff,
demonstrating appropriate levels of autonomy, initiative, and responsibility
to provide students at Master’s level with the opportunity to plan and execute a significant
investigation and write case studies or a dissertation requiring detailed and critical
understanding in an area of study related to actuarial practice, and demonstrating originality
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YEAR 1 COURSES
Lecturer: Andrew Stott FFA. Office CM S.19; telephone 451 8293; [email protected]
Lecturer: Peter Ridges FIA. Office CM F.16; telephone 451 3906; [email protected]
Lecturer: Gavin Reid FFA. Office CM F.09; telephone 451 3075; [email protected]
Lecturer: Andrew Stott FFA. Office CM S.19; telephone 451 8293; [email protected]
Lecturer: Peter Ridges FIA. Office CM F.16; telephone 451 3906; [email protected]
Lecturer: Gavin Reid FFA. Office CM F.09; telephone 451 3075; [email protected]
Lecturer: Prof Andrew Cairns FFA. Office CM S.08; telephone 451 3245; [email protected]
Year 1
To qualify for progression to Year 2 you must pass at least eight courses (taking account of course
weights). Therefore you must ensure you are registered for at least eight courses (taking account
of course weights).
There are three mandatory courses in Year 1 (F71AF/AB/BF). All other courses in Year 1 are optional.
Students may choose any courses leading to a minimum of 120 credits, but are not limited to 120
credits. Students may study all available courses in order to obtain maximum possible exemptions
from the examinations of the Institute and Faculty of Actuaries (IFoA). Guidance is provided to
students on selection of courses.
If you are not sure which courses to take, please register for all courses at the start of the year. It is
possible to drop one or more of the courses during the year, provided the subjects still being taken
are equivalent to eight or more courses. You cannot drop the mandatory courses.
If you wish to drop/change a course before the standard University deadline (end of week 3), you
should complete a Change of Course Form which is available from the School Office and should be
handed in to the School Office. If you wish to drop a course after this time you may only do so
before any assessments (eg coursework) has been handed in, or by the end of Week 8 of the
semester, whichever comes earlier. If you de-register from a course it will not appear on your final
transcript. However if you de-register for a course then you will not have a re-assessment
opportunity in that course.
Some students may have studied Statistics or Economics before and may wish to drop one or both of
these courses. However, it should be noted that it is not possible for us to decide whether this
previous study is sufficient for an exemption from the corresponding professional actuarial subject -
these exemption decisions can be taken only by the IFoA and then only after you have joined the
IFoA. The decision to drop one or more courses should be taken only after a full discussion with your
Personal tutor or the Programme Director.
In exceptional circumstances, you may be permitted to replace one or more of the courses with one
or more actuarial courses given to honours undergraduate students. You will be advised accordingly
which courses are considered a relevant replacement. Note that such courses may or may not lead
to exemptions from professional actuarial subjects.
Year 2
To qualify for progression to the MSc, or the award of PG Diploma, you must pass at least eight
courses. Therefore you must ensure you are registered for at least eight courses.
Actuarial Risk Management 1 and 2 are mandatory courses; you must register for them. Other
courses listed above, in pairs over both semesters, may lead to exemptions from subjects ST2, ST4,
ST5, ST6 and ST9. The actuarial profession requires students to pass TWO ST subjects in order to
qualify as a Fellow. However, a student who has passes in THREE ST subjects will have broader
employment prospects, and may go on to qualify as a Fellow with a choice of three SA subjects. Note
also that the profession is strongly encouraging students and qualified actuaries to take subject ST9
(Enterprise Risk Management) which leads to the extra internationally-recognised qualification of
Certified Enterprise Risk Actuary (CERA). Therefore, you may find your best option is to choose three
of the pairs of courses listed above.
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It may be possible, depending on timetabling constraints, to take one or two courses offered on the
BSc in Actuarial Science or the MSc in Actuarial Science, leading to possible exemption from one of
subjects CT1 to CT8. Please discuss this possibility with the Programme Director if you wish to
consider this. Note that students with a BSc, Postgraduate Diploma or MSc in Actuarial Science from
Heriot-Watt University may not repeat a course already taken on the earlier programme.
Any student who has been granted credits under the University’s Accreditation of Prior Learning
(APL) policy should contact the Programme Administrator prior to registering.
If you are not sure which courses to take, you may register for more than eight courses at the start of
the year. It is possible to drop one or more of the courses during the year, provided the subjects still
being taken are equivalent to eight or more courses.
You may have been accepted on to the programme on the basis of previous studies in actuarial
science at a university that does not have an accreditation agreement or exemptions from the UK
actuarial profession. Your previous study may, possibly, be accepted by the profession for the
purpose of granting exemption from some of subjects CT1 to CT8. However, it should be noted that it
is not possible for us to decide whether the previous study is sufficient for an exemption from the
corresponding professional actuarial subject - these exemption decisions can be taken only by the
IFoA and then only after you have joined the IFoA.
5.4. Feedback
Feedback is a two-way process. Feedback is provided to students in a variety of ways in order to help
you to reflect on and to evaluate your progress and to assist you to take steps to improve before the
next relevant assessment. For most courses, students can expect feedback on assessed coursework
within three teaching weeks of the coursework due date.
Feedback is sought from students via Student-Staff Liaison Committees and various surveys so that
the School can continue to enhance the student learning experience. Your feedback is valued by the
School, so please be sure to provide feedback whenever it is sought.
At the end of each course you will receive a Course Questionnaire. This will give you the opportunity
to say what you thought was good and what was not so good about that course.
It is important for us that you take these questionnaires seriously - we do. We listen to what you say
and always aim to improve the programme wherever possible. You are benefiting this year from
improvements to the programme which have been made as a result of past students' comments.
The IFoA may offer an online questionnaire and your participation in this would be appreciated.
This questionnaire will be available for completion for a short period in Semester 2.
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5.5. Award and Progression Requirements
The University operates the Heriot-Watt Assessment and Progression System (HAPS) which specifies
minimum progression requirements. Schools have the option to apply progression requirements
above the minimum University requirement, which are approved by the Studies
Committees. Students should refer to the programme specific information on progression
requirements. This information is detailed below.
For each course you will receive a mark and grade based on your performance in the examination
and related coursework. The University’s standard grade classification is as follows:
For MSc Project Work the Examiners will award a mark and grade based upon the following
classification:
The Board of Examiners’ Meeting will be held each June and September to consider Progression and
Award decisions.
Progression Requirements
Transfer to the MSc/PGDip in Actuarial Science as an exit award will be on the basis of their highest
average mark and required grades over any set of courses bearing 120 credits in total.
Progression to MSc
Progression to MSc carrying Distinction requires at least eight courses passed at grade D or better in
Year 2, with an average in the best eight courses of at least 70%.
Progression to MSc requires at least eight courses passed at grade D or better in Year 2, with an
average in the best eight courses of at least 50%.
The Examiners reserve the right to exclude anyone who meets the minimum progression
requirements but whom they consider to be unsuitable for project work.
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No student will be permitted to progress to the MSc before meeting the specified coursework
requirements.
No “exemptions” from courses, or “credits” of course passes are given, on the grounds of work done
elsewhere or on any other grounds.
MSc project work (see section 5.7) will normally be carried out over the summer immediately after
the end of the second semester in Year 2- a period of 11 weeks is specified for this.
Award Requirements
Award of MSc with Distinction - credit-weighted average at least 70% over 8 courses at grades A-C in
Year 2, plus a dissertation/project mark at least 70%
Award of MSc - credit-weighted average at least 50% over 8 courses at grades A-D in Year 2, plus a
dissertation/project mark at least 50%
Award of PG Diploma with Distinction - credit-weighted average at least 70% over 8 courses at
grades A-C in Year 2
Award of PG Diploma - credit-weighted average at least 40% over 8 courses at grades A-D in Year 2
Award of PG Certificate - credit-weighted average at least 40% over 4 courses at grades A-E in Year 2
A student who has been awarded a Grade E or a Grade F in a course may be re-assessed in that
course. A student who has been awarded a Grade D in a course may be re-assessed in that course in
order to proceed to, or be eligible to receive the award of, Masters.
If you have already passed eight courses at D Grade or above in Year 1 but have not qualified for
progression to Year 2 (as your average in the best eight courses is lower than 60%) you may resit the
exam in up to three courses where you achieved no more than a D Grade at first attempt in order to
increase your average in the best eight courses and proceed to Year 2.
If you have already passed eight courses at D Grade or above in Year 2 but have not qualified for
progression to the MSc (as your average in the best eight courses is lower than 50%) you may resit
the exam in any courses where you achieved no more than a D Grade at first attempt in order to
increase your average in the best eight courses and proceed to the MSc.
You must take the resit examinations at the next available opportunity. For most students this will
be in the next academic session. Only one resit opportunity will be permitted. All reassessment is
based on examination results only, even in courses which include assessable coursework
If you are required to be re-assessed before you are able to progress to Year 2 or to the MSc Project
Work and if you are in the UK on a Tier 4 Visa, the University is obliged to inform the UKBI that you
will not continuing immediately and therefore your visa will cancelled and you will be expected to
leave the UK as soon as possible after the release of your results.
If you are not a UK resident you may be able to take the re-assessment exams off-campus i.e. in your
home country. Further information on this will be provided to students at the relevant time.
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Special arrangements may apply where a student has presented mitigating circumstances in relation
to the first attempt. See the relevant section later in this Guide for more information.
Students who achieve the standards required to progress to the MSc following reassessment will be
invited to return to the University at the appropriate stage of the next academic year. We do not
normally offer MSc supervision at times except during the summer.
Students who fail to meet the standards required for the PG Diploma following reassessment in Year
1 courses may be awarded the PG Certificate in Actuarial Science provided they have passed at least
four courses at D Grade or above.
The project work normally consists of two case studies, each undertaken over about five weeks.
Students normally have a choice of two case studies. At the end of each case study, the student
submits a substantial written report for assessment. Both count equally for the award of the MSc.
The assessment of the first case study should normally be completed, and feedback given to the
student, before the student begins to write the report on second case study.
A list of case studies being offered will be made available during Semester 2 of Year 2 and allocation
will be made after the Board of Examiners meeting. Please note that student preferences will be
considered but cannot always be guaranteed.
5.8 Graduation
Students who qualify for an award following the September Examiners’ meeting are eligible to
graduate in November.
Students eligible to graduate will find all the relevant graduation details on Academic Registry’s
website http://www.hw.ac.uk/registry/graduation.htm.
It is your responsibility to complete and return the required forms and payment to the Student
Service Centre before the specified deadline to ensure you are included in the Graduation ceremony.
No student with outstanding debt will be permitted to graduate from the University.
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6. EXEMPTIONS FROM PROFESSIONAL EXAMS
Recommendations for exemptions from professional exams based on performance in the taught
courses examinations will be agreed at the Examiners' Meetings in May.
To obtain any exemption, a student must take the examinations for all the courses listed for that
exemption. For example a student hoping for the CT3 exemption must take the examinations for
F71SM, F71AG and F71SZ.
6.1.1. Accreditation
The programme is accredited by the IFoA. Students with an overall average of at least 65% in all
courses taken and who pass (at D grade or higher) all courses taken at first attempt will be
recommended for block exemptions from all subjects where they have attempted all the underlying
exemption courses.
Page | 16
6.1.2. Subject-by-Subject Exemptions
Students who do not achieve an overall average of 65% are recommended for exemption on a
subject-by-subject basis.
The exemption level varies among subjects but usually lies in the range 60% to 65%.
Exemption levels are determined by the Board of Examiners in May. No information is available
regarding exemptions prior to the May meeting.
6.2.1 Accreditation
The MSc programme is accredited by the UK actuarial profession. Students with an overall average of
at least 65% in all courses taken in Year 2 ("the accreditation average") will be recommended for
block exemptions from all subjects in the table above where they have achieved a C Grade pass or
better (at first attempt) in each of the underlying exemption courses, except Subject ST9. If a student
takes Enterprise Risk Management 1 & 2, their marks in these subjects will be included in the
accreditation average, but exemption from Subject ST9 is available only to students who meet the
subject-by-subject exemption standard for Subject ST9. (The reason for this special treatment of
Subject ST9 is that it leads to the additional CERA qualification. This is an international qualification
and the Institute and Faculty of Actuaries is itself overseen by the International Actuarial Association
as a body entitled to award CERA status.)
Page | 17
The Institute and Faculty of Actuaries requires CT subjects and CA/ST subjects to be kept separate for
accreditation purposes, which is why separate accreditation averages are calculated for Years 1 and
2.
Exemption from Subject CA3 (Communications) is on the basis of three assessed pieces of work, as
follows:
- the second case study or (exceptionally) research dissertation undertaken during the
summer (weight 40%);
- a written test of communication undertaken at the end of the summer project period
(weight 30%); and
- a ten-minute presentation undertaken at the end of the summer project period (weight
30%).
-
The PG Diploma is not accredited by the UK actuarial profession, because project work is a
requirement for accreditation. Students graduating with the PG Diploma are eligible for Subject-by-
Subject exemptions, see below.
The exemption level varies among subjects but usually lies in the range 60% to 65%.
Exemption levels are determined by the Board of Examiners in May and September (CA3). No
information is available regarding exemptions prior to the May meeting.
Following the Board of Examiners' Meetings in September of Year 2, the Department will write to the
education offices of the Institute and Faculty of Actuaries listing the specific exemption
recommendations for each member of the class.
Once the exemption recommendations have been accepted by the UK Actuarial Profession, we will
provide each student with a letter confirming the exemptions for which they have been
recommended. This letter is expected to be issued shortly before your graduation..
For exemption purposes, the mark in any resit exam or other assessment will be capped at the
normal pass mark, which is 40%. This means that it will not usually be possible to gain an exemption
on the basis of resits. However, the rules are more lenient if Section 7.4 of this handbook applies to
you.
Any resits taken in accordance with this policy are for the purpose of subject-by-subject exemption
only. Results from these examinations will not be included in calculating your accreditation average,
and therefore will not affect your entitlement to exemptions under the accreditation agreement.
Page | 18
6.4. Claiming your exemptions
To claim your exemptions, you must join the Institute and Faculty of Actuaries as a student member.
You must then submit the Application for Exemptions form, accompanied by a certified copy of your
academic transcript. You do not need to provide a letter confirming your exemption
recommendations as the IFoA will match your application with the information provided by the
Department and then confirm your exemptions. More information is available from the IFoA
website: www.actuaries.org.uk.
You should note that fees are payable to become a student member and to claim your exemptions.
We generally recommend that you wait until after you have completed the programme to join the
profession. Applications for exemption will not be accepted by the IFoA until they have officially
accepted the Department’s recommendations. At this time you will be provided with a letter from
the Department confirming the exemptions for which you have been recommended.
Universities have the power only to recommend exemptions. The IFoA normally accept our
recommendations, but the final decision is theirs alone.
If you have any problems during the year you are encouraged to seek help as soon as possible.
There are many sources of help available for students at Heriot-Watt, and staff are always happy
to help.
The principal areas of services that the Centre will offer to students are:
Issue of ID cards
Council Tax exemptions
Transcripts and certifications –see http://www.hw.ac.uk/registry/forms.htm under Student
Records)
Graduation applications – see http://www.hw.ac.uk/registry/forms.htm
Processing payments and dealing with payment-related enquiries including tuition and
accommodation fees
Page | 19
ii) Updating contact details
It is important the University has up-to-date contact details for all students. If your contact
details change during the year you can update them at: www.hw.ac.uk/selfservice
The Chaplaincy welcomes all students from any background and is available for prayer, counselling
and support and social events. See: www.hw.ac.uk/chaplaincy; email: [email protected]
Student Support and Accommodation provides student counselling and welfare support. See:
http://www.hw.ac.uk/students/health-wellbeing.htm
University Health Service is available to all students. You can make an appointment to see a doctor
by telephoning 451 3010 or dentist by telephoning 451 3080. See:
http://www.hw.ac.uk/students/health-wellbeing.htm
International Student Advisors are available to provide advice and support with visas, studying in
Scotland and any other general support and advice to international students. See:
http://www.hw.ac.uk/support/isao/about-us.htm
Careers Advisory Service has in-house advisers with considerable expertise in the actuarial and
financial job market and can assist with job applications and preparing for interviews. See:
www.hw.ac.uk/careers or contact Alan Smith (telephone 451 3390 or email [email protected]).
Academic Skills Service provides coaching and counselling to assist students to work smarter. See:
http://www.hw.ac.uk/sbc/library/academic_skills/index.htm
You should read the University’s Policy on Mitigating Circumstances in Relation to Assessment at:
http://www.hw.ac.uk/registry/resources/special-circumstances-policy.pdf and then complete the
application form at: http://www.hw.ac.uk/registry/resources/special-circumstances-form.doc. This
form along with any relevant evidence (eg medical certificates) should be submitted to the School
Office. Evidence submitted after your results have been published cannot be taken into account.
If you think you qualify as a Special Needs student (if for example you are registered with a disability)
please bring this to the attention of Mrs Gunn as soon as possible.
Page | 20
7.5. Important
It is very important that if you have a problem you see help as soon as possible, and notify us of the
situation. The Examiners will always take such circumstances into account where appropriate, but
the later the notification, the less scope there is to do so. Notification of mitigating circumstances
must be given before the Exam Board meeting is held. Late notification will normally mean that no
consideration can be taken of the circumstances.
Any information which you provide to us will be used solely by the Board of Examiners to determine
how best to help you, given the circumstances. We will not share the information with other
students or services of the University without your consent.
If students are unable to study for a considerable period (i.e. more than one diet) they should inform
their personal tutor, so that such periods of non-study can be taken into consideration when
reviewing the students continued registration on the Programme.
If students continue to be unable to study for a specific known period (for example, more than one
year) due to other external factors (for example, maternity), then they should seek to temporarily
suspend their studies.
If you intend to apply for a suspension of studies, please contact your School/Institute Office. You can
find useful information here: https://www.hw.ac.uk/students/studies/leaving/temporary-
suspension-studies.htm
Students should think very carefully before they do withdraw. If they do so, it may well be that
sometime later they decide that they would like to continue with their studies.
Before making a final decision about withdrawing, students should discuss their situation with their
Personal Tutor.
The University has a “Thinking of Leaving” Service which you can use. Please see more information
here: https://www.hw.ac.uk/students/studies/leaving.htm where you can find a range of
information and advice that can help you make the final decision.
Page | 21
8. IMPORTANT INFORMATION FOR ASSESSMENT
You must provide your own calculator: they will not be provided for you in any exams. Calculators
can be purchased from the student union shop.
No translation dictionaries are permitted in any of the University’s examinations. The only exception
to the policy is in the case of individual students who had been assessed by the University’s Disability
Service as requiring access to a translation dictionary.
Students are not allowed to have mobile phones or other communication devices on or about their
person during examinations. Phones may be left at the front of the examination room but must be
switched off.
8.3 Plagiarism
The University has a strict policy on Plagiarism – the passing off as one’s own the ideas or writing of
another.
Plagiarism is cheating and the Department, the School, and the University treat it very seriously
indeed.
This is relevant for all students and has implications for Diploma exams and the writing of MSc
project work.
The sanctions for plagiarism range from the discounting of the course or MSc project work
completely, to the withholding of the degree or Diploma concerned, to expulsion from the
University.
Anyone indulging in plagiarism of any kind can expect no sympathy or understanding from the
University.
All students should be familiar with the University’s policy on plagiarism, which can be downloaded
from: http://www.hw.ac.uk/registry/resources/PlagiarismGuide.pdf.
If you have the slightest doubt about any aspect of this matter and of how your own work relates to
it, you must discuss it with the Programme Director before submitting any work.
For information, some summary ideas are included below: (ref Georgetown University website,
Washington DC, www.georgetown.edu.honor/plagiarism.html).
Page | 22
If you use someone else's ideas, or quote from someone else's work, you must cite the
source (i.e. provide a reference).
If the way in which you are using the source is unclear, make it clear.
If you received specific help from someone in writing the project work, acknowledge it.
Here is another version (from the website of the University of Indiana, Bloomington: see
www.indiana.edu/~wts/pamphlets/plagiarism.html)
Higham, N.J. (1998) Handbook of Writing for the Mathematical Sciences (second edition). SIAM,
Philadelphia USA.
Although mathematics is highlighted, this book has much useful advice on writing precise technical
material. Chapter 5 is entitled "When English is a Foreign Language". The advice in Sections 5.1 and
5.2 may be particularly useful in week 1 of the MSc project work.
9. GENERAL INFORMATION
Policies relating to race equality and equal opportunities can be obtained from the following website:
Policies and Procedures
Page | 23
10. FREQUENTLY ASKED QUESTIONS
FAQ 1 I have not passed eight courses after the second semester exams in Year 2. Can I take
the resit exams while undertaking my MSc project work this summer?
No. There are no resit examinations in August. You must take the re-assessments in
the next academic year. If you are successful in meeting the progression
requirements after the December and April/May diets you will be invited to return in
summer 2018 to undertake your MSc project work.
FAQ 2 Now that I have completed the taught programme, can I come back in a few years
and do the MSc project work once I have some work experience / more money /
taken a holiday?
Under normal circumstances, the answer to this question is no. The University
requires full-time MSc students to complete their degree within 24 months, so you
are expected to continue to the MSc project work immediately after completing the
taught coursework.
The Board of Examiners may allow students to defer their MSc project work for one
year in extenuating circumstances. Requests for deferral must be made in writing to
the Programme Director for discussion by the Board of Examiners at their June
meeting.
No. Your average mark in the underlying courses must meet the required exemption
standard for the subject as a whole.
FAQ 4 I am eligible for block exemptions in Year 1 or Year 2 because my overall average is
higher than 65%. Will I get an exemption even when I failed the underlying course?
For single assessment exemptions in Year 1 (CT1, CT2, and CT7) if you failed the
relevant course assessment you cannot be recommended for exemption (although
the fail mark will count towards your accreditation average).
For those exemptions in Year 1 involving assessment in more than one course (CT3,
CT4, CT5, CT6 and CT8) you will be recommended for exemption if your average
mark in the underlying courses is at least a D Grade pass.
For exemptions in Year 2 you will be recommended for exemption if your average
mark in the underlying courses is at least a C Grade.
Page | 24
10.3 Medical Certificates
FAQ 5 I am eligible for block exemptions as my actuarial average was greater than 65%.
However I did not get all available exemptions due to illness. Can I resit the exam(s)
for exemption while I do my MSc project (or other form of assessment)?
All students are issued with a certification letter upon enrolling with the University.
If you require an updated letter during the academic year, please see section 7.2 of
this guide for the required procedure. Please bear in mind that support staff are
extremely busy during the year and it is your responsibility to plan ahead and give
sufficient notice. Please do not ask for a letter to be typed while you wait, as this will
be refused.
Timetables for all examination diets are prepared by Academic Registry and posted
on their website. It is your responsibility to ensure you check the timetable for the
correct date, time and location of the exams.
See: http://www1.hw.ac.uk/registry/examinations.htm
Provisional results from the December examinations released on-line following the
Assessment Board in January. Final results will be released on-line by Academic
Registry after the April/May examination diet and after the programme Award Board
in early September. You will be sent an email to your University email address to let
you know when your results are available. You can access your results at:
www.hw.ac.uk/selfservice
In addition, progression and award notices will be posted on Vision after the May
and September Board of Examiners’ Meetings.
The Department will notify you separately about your Exemptions after our
recommendations have been accepted by the IFoA. We expect letters to be
distributed around the end of September.
Page | 25
APPENDIX
Page | 25
Course Code: Course Title: Course Co-ordinator:
F71AB Financial Mathematics Gavin Reid
Linked courses:
Aims: This course aims to provide postgraduate students with a broad knowledge of basic
concepts in financial mathematics including interest rates, arbitrage, stochastic
interest rates, inflation and continuous cash flows.
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Page | 26
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 27
Course Code: Course Title: Course Co-ordinator:
F71AF Life Insurance Mathematics 1 Angus Macdonald
Linked courses: F71BF Life Insurance Mathematics 2 for CT5
Aims: This course aims to provide postgraduate students with a good knowledge of survival
models, life tables and first and second moments of the present values of payment
streams contingent on survival or death. This knowledge is then applied to the
calculation of premiums and reserves for life insurance contracts.
Syllabus: Survival models
Select survival models
Life tables
Annuities and assurances
Premiums
Expenses
With profits policies and bonuses
Reserves
Thiele’s differential equation
Calculation of annual profit/loss
Policy alterations
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 28
Course Code: Course Title: Course Co-ordinator:
F71SM Statistical Methods Damian Clancy
Linked courses: F71AG/F71TS Risk Theory / Time Series Analysis and F71SZ/F71AE Stochastic
Modelling /Survival Models for CT3
Aims: This course aims to provide postgraduate students with a broad knowledge of the
principal areas of mathematical statistics and statistical methods widely used in
actuarial science and finance
Syllabus: Data summary
Probability
Random variables, special distributions
Multivariate distributions and linear combinations
Sampling distributions, central limit theorem, t and F distributions
Estimation – properties of estimators, methods of constructing estimators
Interval estimation
Hypothesis testing
Linear relationships – regression and correlation
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 29
Course Code: Course Title: Course Co-ordinator:
F71SZ Stochastic Modelling Sergey Foss
Linked courses: F71AE Survival Models for CT4
Aims: To introduce fundamental stochastic processes which are useful in insurance.
Syllabus: Conditional expectation.
Sequences of random variables and the Markov property
Review of matrix algebra
Review of summation notation and other useful concepts
Using the Markov property
Absorbing Markov chains with finite state space
First step (backwards) equations
Basic examples
Stationarity problem for finite state space chains
Tricks for the computation of the stationary distribution
Convergence to stationarity
Markov chains with infinite but countable state space
Examples
Simple point processes, Poisson and compound Poisson processes
Continuous time Markov processes
Chi-squared test for contingency tables and goodness of fit.
One-way ANOVA.
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 30
Course Code: Course Title: Course Co-Ordinator:
C31FF Finance and Financial Reporting Andrea Eross and Melanie Wilson
Linked courses:
Aims: To provide a basic understanding of issues in corporate finance
Syllabus: Instruments used by companies to raise finance
Management of financial risk
Personal and corporate taxation
Interpretation of financial statements of companies and financial institutions
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 31
Course Code: Course Title: Course Co-ordinator:
C21AO Economics Prabir Bhattacharya
Linked courses:
Aims: The aim of this module is to equip students with knowledge and understanding of the
fundamental principles and concepts of microeconomics and macroeconomics. By
the end of the module students should be able to apply their knowledge and
understanding in the analysis of a range of economic problems.
Syllabus: The economic problem – scarcity, choice, resource allocation, opportunity cost,
production possibility curve.
Comparative and absolute advantage, gains from trade.
Demand and supply, price determination, equilibrium.
Elasticity, normal, inferior and Giffen goods.
Risk, utility and insurance.
The short and long run, production and costs.
Market structures – perfect competition, monopolistic competition, oligopoly,
monopoly.
Wages and the distribution of income.
Market failure.
The national economy – circular flow of income, growth, the equilibrium level of
national income, the business cycle, the multiplier.
Aggregate demand and supply.
Money – demand and supply, interest rates and prices.
Unemployment, inflation and growth.
Fiscal and monetary policy, demand and supply side policies.
Balance of payments and exchange rates
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Page | 32
Assessment Assessment: Re-assessment:
Methods: Examination: (weighting - 60%) Examination (weighting –100%)
Mid Semester Test (weighting - 20%)
Coursework: (weighting - 20%)
Page | 33
Course Code: Course Title: Course Co-ordinator:
F71BF Life Insurance Mathematics 2 Peter Ridges
Linked courses: F71AF Life Insurance Mathematics 1 for CT5
Aims: To introduce some more advanced topics in life insurance mathematics, and complete
the material covered in Subject CT5.
Syllabus: Markov multiple-state models,
Insurances written on multiple lives,
The features of disability and long-term care insurance contracts
Duration dependence and semi-markov models,
Heterogeneity and selection,
Single-figure indices,
Population projections,
Pension fund mathematics,
Profit testing conventional insurance contracts,
Profit testing unit-linked contracts.
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Define Markov life-history models in terms of states, transitions and transition
intensities;
State and prove Kolmogorov's forward equations, state Thiele's differential
equations, and use an Euler scheme to solve both numerically, for a general
Markov multiple-state model;
Define models for the joint life histories of two individuals; (a) as a multiple-state
model; and (b) in terms of random future lifetimes;
Calculate expected present values, premiums and policy values for the following
types of joint-life policies: first-death and second-death assurances and
annuities, reversionary annuities, and contingent assurances;
Describe the main features of disability insurance and long-term care insurance;
Define multiple-state models representing life histories involving disability and
long-term care, and show how these introduce duration dependence, hence
semi-Markov models;
Derive integro-differential equations for the occupancy probabilities needed to
compute actuarial quantities in special cases of semi-Markov models;
Give expressions for expected present values, premiums and policy values in
special cases of semi-Markov models;
Understand possible sources of heterogeneity, its effect on the analysis of
insurance data, and its possible impact on insurance business;
Construct single figure indices to summarise mortality and other experiences,
and understand the strengths and weakness of each;
Explain mathematical and component methods of population projection;
Describe the main retirement and death-in-service lump sum benefits found in a
defined benefit pension scheme in the UK;
Derive commutation functions to perform valuations of the main retirement
benefits, death-in-service lump sum benefits, and future contributions;
Calculate the profit vector, profit signature, net present value, profit margin,
discounted payback period, and internal rate of return for conventional policies;
Describe the effect on the profit vector of changes in the premium, valuation,
and experience bases;
Describe the operation of the unit price and the charging structure for unit-linked
policies;
Calculate the unit fund, sterling fund, sterling reserve, and measures of profit for
unit-linked policies.
Page | 34
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 35
Course Code: Course Title: Course Co-ordinator:
F71AE Survival Models Angus Macdonald
Linked courses: F71SZ Stochastic Modelling for CT4
Aims: To understand the use of mathematical models of mortality, illness and other life
history events in the study of processes of actuarial interest
To be able to estimate the parameters in these models, mainly by maximum
likelihood
To apply methods of smoothing observed rates of mortality and to test the
goodness-of-fit of the models
Syllabus: Estimating the lifetime distribution
Markov models: theory
Markov models: data and estimation
Binomial and Poisson models of mortality
Graduation and statistical tests
Exposed to risk
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
After studying this course, students should be able to:
Estimate a survival function using the Kaplan-Meier method
Find the partial likelihood function in the Cox model
Use the partial likelihood to estimate parameters (with standard errors) in the Cox
model
Write down an appropriate Markov multi-state model for a system with multiple
transfers
Obtain the Kolmogorov Forward Equations in a Markov multi-state model
Derive the likelihood function in a Markov multi-state model
Use the likelihood function to estimate parameters (with standard errors) in a
Markov multi-state model
Obtain the likelihood function in the 2-state model with states Alive and Dead
under the binomial or Poisson models
Use any of two assumptions (uniform distribution of death, constant force of
mortality) to reduce the binomial likelihood to a function of a single parameter,
and estimate the parameter
Understand the need for graduation of observed rates of mortality and be familiar
with the main methodologies in this area of survival modelling
Apply a range of appropriate tests to check adherence of a graduation to data
Understand the effects of duplicate policies on estimates of mortality
Calculate exactly and from census data the central exposed to risk
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
At the end of the course, students should be able to:
Demonstrate the ability to learn independently
Manage time, work to deadlines and prioritise workloads
Present results in a way which demonstrates that they have understood the
technical and broader issues of modelling mortality and morbidity data
Communicate findings effectively in the actuarial and financial services industry
Assessment Assessment: Re-assessment:
Methods: Examination (weighting - at least 75%) Examination (weighting –100%)
Coursework (weighting – no more than 25%)
Page | 36
Course Code: Course Title: Course Co-ordinator:
F71AG Risk Theory Marcus Christiansen
Linked courses: F71TS Time Series for CT6
Aims: To provide an introduction to risk theory as applied to insurance processes and
problems
To teach students methods of assessing premiums for short term insurance
policies
To introduce students to simple methods of claim reserving
Syllabus: Loss distributions
Aggregate risk model and individual risk model
Risk sharing - simple reinsurance and deductibles
Premium calculation principles
Bayesian estimation and credibility theory
Experience rating - No Claims Discount Systems
Ruin Theory
Claims reserving - run-off triangles
Simulation
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 37
Course Code: Course Title: Course Co-ordinator:
F71TS Time Series Sergey Foss or Marcelo Pereyra
Linked courses: F71AG Risk Theory for CT6
Aims: This half-course aims to provide student with an introduction to time series analysis,
including models with applications in finance. Presenting the material in the form of a
specific half-course allows for greater flexibility and makes it available to
postgraduate students on other programmes who would benefit.
Syllabus: Basic time series concepts and operators
Stationary processes, general linear filter, autocorrelation function and spectrum
MA, AR and ARMA processes
ARIMA processes and Random Walk (RW) with or without drift
Model estimation and model selection
Models with trend and/or seasonality
Forecasting
Introduction to nonlinear processes
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 38
Course Code: Course Title: Course Co-ordinator:
F71AH Financial Economics 1 Andrew Cairns
Linked courses: F71AJ Financial Economics 2 for CT8
Aims: This aim of this course is to provide postgraduate students with a broad knowledge of
asset pricing and portfolio selection models.
Syllabus: Utility Theory
Stochastic Dominance
Measures of Investment Risk
Mean-Variance Portfolio Theory
Models of Asset Returns
Capital Asset Pricing Model
Efficient Market Hypothesis and Behavioural Finance and Prospect Theory
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Page | 39
Course Code: Course Title: Course Co-ordinator:
F71AJ Financial Economics 2 Torsten Kleinow
Linked courses: F71AH Financial Economics 1 for CT8
Aims: This course aims to provide a good understanding of the concepts, methods and
mathematics used in arbitrage pricing in discrete and continuous time.
Syllabus: Background on financial derivatives.
The binomial model of stock prices.
Definition and properties of Brownian motion and stochastic integrals.
Stochastic differential equations.
Geometric Brownian motion and Ornstein-Uhlenbeck process.
Definition and examples of continuous-time martingales, including the stochastic
integral as a martingale.
Statement of the Martingale Representation Theorem.
Stochastic calculus and Ito’s Formula.
Change of measure and Girsanov’s Theorem.
The Black-Scholes Model.
Other models of stock prices.
Portfolio risk management.
Models of the term structure of interest rates.
Introduction to credit risk models.
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Students should be able to:
Demonstrate an understanding of the main aspects of martingale theory in
discrete and continuous time.
Know the main results and basic applications of stochastic ito calculus in
problems of financial mathematics.
Understand the role of equivalent martingale measures in the arbitrage-free
pricing of contingent claims and their connection with arbitrage free/complete
markets.
Understand the martingale representation theorem and its role in financial
applications.
Understand stochastic differential equations.
State the binomial and Black Scholes model.
Derive the Black-Scholes formula and the Black-Scholes partial differential
equation.
Price simple contingent claims (in particular, European-style options and forward
contracts).
Understand the concepts of replication and hedging.
Construct a buy-and-hold portfolio for a simple contingent claim.
Construct a portfolio that is neutral with respect to the delta and gamma, and
understand the implications of the neutrality.
Simple extensions of the Black-Scholes model, for example to dividend-paying
stocks, and the corresponding Black-Scholes formula.
Know desirable characteristics of term structure models.
Know well-known short rate models and their advantages and disadvantages.
Derive relationships between forward interest rates, spot rates and zero-coupon
bond prices.
Manipulate explicit zero-coupon bond price formulae for the Vasicek and Cox-
Ingersoll-Ross models, and derive the implied forward rate curves.
Understand basic credit risk models and define the different approaches to the
modelling of credit risk.
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Know stochastic models for stock prices other than the Black-Scholes model.
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 41
COURSE DESCRIPTORS - YEAR 2
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Course Code: Course Title: Course Co-ordinator:
F71CA Actuarial Risk Management 1 Andrew Stott
Linked courses F71CB Actuarial Risk Management 2 for CA1 Exemption
Aims: The aims of this course (and of Actuarial Risk Management 2) are:
To provide students with a thorough grounding in the strategic concepts required
to manage the business activities of financial institutions and programmes
To provide students with an understanding of the various types of risk faced and
the processes used to manage those risks
To teach students to make use of those processes in order to formulate, justify
and present plausible and appropriate solutions to business problems
Syllabus: Professionalism
The roles and statutory roles actuaries can play
The professionalism framework of the Actuarial Profession and the Board for
Actuarial Standards
The factors and issues to be taken into account when doing a professional job
The components of and application of the Actuarial Control Cycle
Stakeholders and their needs
The variety of stakeholders and their needs
Products, schemes, contracts and other arrangements that can provide benefits
on contingent events which meet the needs of clients and other stakeholders
The environment
The risk environment, the identification of risks, the classification of risks and
related concepts
The principles and aims/rationale of prudential and market conduct regulatory
regimes
The impact of the external environment
The investment environment; its behaviour and its contracts
The impact of capital requirements and their measures
Specifying the commercial problem
The factors to be considered in the design of products, schemes, contracts or
other arrangements that provide benefits on contingent events
Project management and the use of actuarial techniques in the assessment of
capital investment projects and cost-benefit analyses
How risks are taken into account in project management
What data is required and how it should be handled
The issues surrounding the management of risk
Methods of measuring risk
Risk management tools
Principal terms
The principal terms used in financial services and risk management
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
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company is operating
Know what should be considered in terms of contract design and project planning
and management
Know how to handle data
Know how to manage risks
Be able to describe/explain the principal terms used in financial services and risk
management
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Ability to deal with complex issues and make informed judgements about
Demonstrate the ability to learn independently and as part of a group
Manage time, work to deadlines and prioritise workloads
Present results in a way that demonstrates an understanding of the workplace,
market place and general environment
Understand the importance of risk management
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Course Code: Course Title: Course Co-ordinator:
F71PC Pensions A Peter Ridges
Linked courses: F71PD Pensions B for ST4 Exemption
Aims: The aims of this course are:
To provide an understanding of the roles and needs of the parties involved in the
provision of pensions, including social security
To provide a thorough understanding of alternative systems of pension provision,
and their financing
To provide an understanding of the factors involved in pension scheme design
To provide an understanding of issues relating to sponsor covenants in
occupational pension schemes
Syllabus: Different Types of Pension scheme
Defined Benefit
Defined Contribution
Hybrid
Social Security
Individual Accounts
Personal Pensions
Key Stakeholders
State
Employers
Individuals
Timing of Contributions
Pay-As-You-Go
Funding
Book Reserving
Types of Investment
Direct Investment
Insurance Products
Sponsor Covenant
Measurement
Monitoring
Scheme Design
Eligibility
Benefits
Contributions
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
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Course Code: Course Title: Course Co-ordinator:
F71LA Life Insurance 1 Gavin Reid
Linked courses: F71LB Life insurance 2 (synoptic) for ST2 Exemption
Aims: The aims of this course are:
To introduce the principles of actuarial planning and control within insurance
companies
To apply this knowledge and understanding to practical situations in life
insurance
Syllabus: Key Concepts in Life Insurance
Introducing the balance sheet, risk & uncertainty, and the individual versus
the collective
Asset Shares
Describing how asset share is built up, including using a recursive formula
Describing the main uses of asset share
Policy Values
Describing the use of a valuation basis
Describing the gross premium and new premium policy valuation methods
Describing the recursive relationship between policy values over time
Strain, Surplus and Profit
Describing the effect of the differences between the gross premium and new
premium valuation methods
Describing the concept of surplus, and sources of surplus
Analysis of Surplus
Describing the interaction between the premium, valuation and experience
bases
Describing and applying how to analyse surplus into its various sources
Assets
Describing the main asset classes in which life insurance companies may
invest
Describing the principles of investment, with reference to matching liabilities
and level of free assets
Bonus and Cost of Bonus
Describing different with profits bonus distribution systems, in particular the
concept of reversionary and terminal bonuses
Describing conventional and unitised with profits products
Life Insurance Products
Describing the key features of the main products which a life insurance
company writes, including
o Savings, protection and income products
o Without profit and with profit products
o Conventional and linked products
General Business Environment
Describing the background in which the insurance company operations,
including
o Distribution channels
o Legislation and regulation
o Professional matters
Sources of Risk
Describing the main sources of risk within an insurance company
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Risk Management
Describing ways in which the main sources of risk within an insurance
company can be managed or mitigated
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
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Course Code: Course Title: Course Co-ordinator:
F71DV Derivative Markets and Pricing Anke Wiese
Linked courses: F71AP Advanced Derivative Pricing for ST6 Exemption
Aims: The aims of this course are:
To provide a thorough grounding in the operation of derivative markets
To provide an introduction to the methods of hedging using option and forward
contracts, with particular emphasis on bond (interest rate) markets
To provide students with a good understanding of the principles of no-arbitrage
pricing
To introduce mathematical concepts related to stochastic processes
To teach students the CRR (discrete time binomial) model for derivative pricing
To introduce the Weiner process and the BSM option pricing model
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Continuous Time Models
Limit of the CRR model
The Weiner process
Derivation of the BSM equation for a GBM asset, the BSM pricing formula and
link to CRR formula
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 50
Course Code: Course Title: Course Co-ordinator:
F71ER Enterprise Risk Management 1 Marcus Christiansen
Linked courses: F71EM Enterprise risk Management 2 (synoptic) for ST9 Exemption
Aims: The aims of this course are:
To provide a thorough grounding in the wide range of risks that a financial
institution or other enterprise might be exposed to
To provide an introduction to the statistical methods underpinning financial risk
management
To teach students the different methods of assessing financial risk
To equip students with a variety of tools to tackle problems involving financial
time series
To provide students with a good understanding of the regulatory frameworks and
regimes that promote and guide the use of risk management
Syllabus: Introduction
Describe the concept of ERM, the drivers behind it and the resulting value to
organisations
Risk and uncertainty, different definitions
Why is it necessary or desirable to manage risk? Describe the benefits of ERM
Direct and indirect stakeholders in an enterprise. Relevance of risk
measurement and management to all stakeholders.
Risk taxonomy and overlaps.
Quantitative Analysis of Financial Data
Quantifiable and non-quantifiable risks
Stylised facts about financial time series
Common univariate distributions, model fitting and diagnostic tests
Extreme value theory
Econometric models for stochastic volatility
Common multivariate distributions
Modelling multivariate risks using copulas
Different measures of correlation including tail correlation
Risk measures; coherent risk measures
Scenario analysis and stress testing
Model and parameter risk
Contagion and Credit Risk
Different sources of credit risk; contagion
Corporate bonds; define the credit spread and the three components that
make up a credit spread
Different theoretical and commercial approaches to modelling credit risk
Factor models for credit risk
Risk Frameworks and Regulatory Regimes
Basel II and Solvency II and their underlying principles and approaches to risk
measurement
Pillar 1 methods for Basel II: variance-covariance methods, historical
simulation, Monte Carlo
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
On completion of this course the student should be able to:
Demonstrate an understanding of the different reasons for measuring financial
risk.
Describe and apply the different measures of financial risk
Define what is meant by a coherent measure of risk;
Page | 51
Determine the main characteristics of a univariate financial time series
Use appropriate statistical and computational methods to determine the fatness
of the tails of returns data
Describe and apply the main univariate and multivariate distributions to financial
data
Describe and apply the fundamental concepts and theorems in Extreme Value
Theory (EVT)
Describe how analysis of financial data using EVT differs from traditional
statistical methods
Describe and apply the main statistical methods in EVT to financial data
Demonstrate how multivariate returns can be described using marginal
distributions and copulas
Describe and apply the main copulas
Explain how the use of different copulas can affect the returns distribution on a
portfolio containing two assets
Describe some empirical techniques that can be applied to financial time series
data to establish the presence of stochastic volatility
Describe some simple time series models for stochastic volatility and explain how
these affect the distribution of returns over time
Use appropriate statistical software to analyse problems involving financial risk
Demonstrate a good understanding of the different sources of credit risk and
credit spreads
Show an awareness of the different approaches to modelling and managing
credit risk
Show an awareness of the Basel II and Solvency II and other regulatory
environments and implement their main requirements
Evaluate market risk using a standard method under pillar 1 of Basel II.
Understand how ratings agencies assess risk
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Show an appreciation of the interface between academic theory and industrial
practice
Demonstrate the ability to learn independently and as part of a group
Manage time, work to deadlines and prioritise workloads
Use an appropriate computer package to analyse financial data and solve
complex problems
Present results in a way that demonstrates that they have understood the
technical and broader issues of financial risk management
Show an appreciation of the societal role of risk management in protecting the
consumer and other stakeholders
Assessment Assessment: Re-assessment:
Methods: Examination: (Weighting at least 70%) Examination (weighting –100%)
Coursework: (weighting up to 30%)
Synoptic with F71EM Enterprise Risk
Management 2
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Course Code: Course Title: Course Co-ordinator:
C31FM Financial Markets Bing Xu
Linked courses C31FV Finance & investment for ST5 Exemption
Aims: To introduce students to the way financial markets and institutions function in
practice, with particular emphasis on equities and bonds. This will provide the context
of underlying finance theory into which the mathematics will fit.
Syllabus: Introduction to Financial Markets
Introduction, purpose of financial markets, the Stock Exchange, types of
investments.
Institutional investors: pension funds, life funds, general insurance funds, mutual
funds.
Interest rate calculations: compound interest, annuities, real and nominal
interest rates, spot and forward rates, discounted cash flow.
Equities: fundamental analysis and technical analysis, portfolio management.
Portfolio theory: Markowitz model, international diversification; basics of CAPM
and Arbitrage Pricing Theory.
Efficient markets: informational efficiency, behavioural finance.
Market indices: equity indices, bond indices, property indices.
Portfolio performance measurement: rates of return, notional funds,
consideration of risk.
Bond Markets
Overview of fixed-income securities.
Bond mathematics including bond prices, interest rates and yields.
The concepts of duration and convexity, and their use in portfolio management.
The term structure of interest rates and alternative theories, and empirical
evidence.
Index-linked securities.
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
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Course Code: Course Title: Course Co-ordinator:
F71CB Actuarial Risk Management 2 Andrew Stott
Linked courses F71CA Actuarial Risk Management 1 for CA1 Exemption
Aims: The aims of this course (and of Actuarial Risk Management 1) are:
To provide students with a thorough grounding in the strategic concepts required
to manage the business activities of financial institutions and programmes
To provide students with an understanding of the various types of risk faced and
the processes used to manage those risks
To teach students to make use of those processes in order to formulate, justify
and present plausible and appropriate solutions to business problems
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 55
Course Code: Course Title: Course Co-ordinator:
F71PD Pensions B Peter Ridges
Linked courses: F71PC Pensions A for ST4 Exemption
Aims: The aims of this course are:
To provide a good understanding of the risks and uncertainties facing the parties
involved in pension provision
To provide a thorough understanding of actuarial models used in the
management of pension schemes
To provide an understanding of risk management in pension schemes, including
the use of reinsurance
To provide an understanding of how to monitor the experience of pension
schemes
Syllabus: Risks and Uncertainties
Benefits and Contributions
Returns on Assets
Security
Risk Management including Reinsurance
Population Projections
Models and their Weaknesses
Socio-economic Factors
Models
Objectives
Features
Uses
Sensitivity Analyses
Managing a Social Security Scheme
Evaluating Liabilities
Assessing Contributions
Valuation of a Pension Scheme
Selecting Assumptions
Calculating Values for Benefits, Contributions and Assets
Applying Results
Analysing Asset-Liability Matching
Analysing Surplus or Deficit
Analysing Experience
Discontinuance
Determining Benefits
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
On completion of this course the student should be able to:
Describe the risks and uncertainties affecting benefits, contributions, returns on
assets and security
Describe the process of population projection and its main determinants
Discuss the use of actuarial models for decision making purposes in non-state
pensions
Discuss the application of actuarial methods and techniques to the financial
management of a social security scheme
Discuss the principles behind the determination of assumptions for valuing future
benefits and contributions
Discuss the principles behind the determination of discontinuance terms in respect
of benefits
Discuss how to determine values for assets, future benefits and future
Page | 56
contributions
Discuss the application of actuarial methods and techniques to the financial
management of defined contribution pension schemes
Analyse the asset-liability matching requirements of a provider of pensions and
related benefits
Discuss the principles underlying the use of re-insurance
Identify the sources of surplus/deficit for a benefit provider
Explain why and describe how the actual experience of a pension scheme should
be monitored and assessed
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 57
Course Code: Course Title: Course Co-ordinator:
F71LB Life Insurance 2 Gavin Reid
Linked courses: F71LA Life insurance 1 (synoptic) for ST2 Exemption
Aims: The aims of this course are:
To introduce the principles of actuarial planning and control within insurance
companies
To apply this knowledge and understanding to practical situations in life
insurance
Syllabus: Models
Describing the use of actuarial models (including stochastic models) for decision
making in life insurance companies
Investment Guarantees and Options
Describing the uses of models and option pricing techniques to values
investment guarantees
Describing the conventional and North American methods of valuing mortality
options, and performing calculations using these methods
Reinsurance
Describing the uses of reinsurance in risk management
Describing the main types of reinsurance and their uses
Underwriting
Describing the uses of underwriting in risk management
Describing the main types of underwriting
Describing the sources of information used when carrying out underwriting
Actuarial Funding
Describing techniques of taking credit upfront for future loadings in
premiums/charges in respect of initial expenses
Unit Pricing
Describing the principles of unit pricing for internal unit-linked funds
Surrenders and Alterations
Describing methods of determining discontinuance and alteration terms for
without profit contracts
Calculating surrender values for without profit contracts
Product Design
Describing principles of determining a suitable design for a life insurance
product
Reserving
Describing the principles for setting supervisory reserves
Describing the ways in which assumptions for setting reserves differ from those
of pricing
Setting Assumptions for Different Purposes
Describing purposes of insurance company valuations, including embedded
value
Describing appropriate assumptions for each purpose
Risk Discount Rate
Describing how the risk discount rate may be set for pricing/embedded value
calculation purposes
Monitoring Experience
Describe how and why the experience of a life insurance company should be
monitored
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Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Page | 59
Course Code: Course Title: Course Co-ordinator:
F71AP Advanced Derivative Pricing Timothy Johnson
Linked courses: F71DV Derivative Markets & Pricing for ST6 Exemption
Aims: The aims of this course are:
To provide a thorough grounding in advanced topics of derivative markets
To introduce mathematical concepts related continuous time martingales
processes
To provide students with a good understanding of developing the BSM model to
different asset price models, including dividends and stochastic volatility
To provide students with a good understanding of pricing American options
To provide students with a good understanding of exotic options
To introduce the student to numerical methods for pricing
To provide students with a good understanding of modelling( the term structure
of) interest rates
To introduce the student to securitisation and credit derivatives
Syllabus: Stochastic Calculus applied to financial markets
Ito calculus, Ito’s formula, statement of the Cameron-Martin-Girsanov
Theorem, the concept of the Radon-Nikodym derivative, the Martingale
Representation Theorem
Self-financing portfolios in continuous time and the construction of replicating
strategies using the martingale approach
OU and Feller processes and derivation of BSM PDE
The role of the market price of risk in the transfer between the real-world and
the risk-neutral probability measures
Hedging derivatives and the Greeks in continuous time models and to stuctures
Exotic options and derivative portfolios
Description of exotic options (including Quanto, Chooser, Barrier, Binary,
Lookback Asian, Exchange, Basket options)
Management of derivative portfolios of using scenario analysis.
Risk management characteristics of certain exotic products
Stochastic Volatility
The role of the volatility parameter in the valuation of options
Estimation of volatility from market data
The “smile” effect and volatility surfaces
Numerical methods
Finite differences and lattices
Trinomial trees
Monte Carlo techniques
Least-Squares (Longstaff-Schwartz) approach for Ameican options
Modelling the Term Structure of Interest Rates
The Black, Hull & White Vasicek and Cox-Ingersoll-Ross models (Ho & Lee,
Black, Derman & Toy, Black & Karasinski)
HJM framework.
Libor Market Models
Implementation and calibration of models
Structured Derivatives and Synthetic Securities
Products for hedging non-financial risks
Securitisation
Credit risk
CDOs and CDSs
Page | 60
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 61
Course Code: Course Title: Course Co-ordinator:
F71EM Enterprise Risk Management 2 Andrew Cairns
Linked courses: F71ER Enterprise Risk Management 1 (synoptic) for ST9 Exemption
Aims: The aims of this course are:
To provide a good grounding in the best practice of risk management within an
organisation
To understand economic measures of capital and capital allocation
To have a thorough understanding of operational risk in its various forms
To identify and measure risks and then to take actions to mitigate risks and exploit
risky opportunities through good risk management strategies
Syllabus: Risk management governance and culture
Sarbanes-Oxley and other risk frameworks; underlying principles
Risk management governance structures and the risk management culture
Governance issues including agency, audit and legal risk
Rating agency assessments of an organisation’s risk management operation
Economic Capital
Economic measures of value and their uses in corporate decision making
Capital allocation and the role of risk measures
Operational Risk
Examples of operational risk
Non-quantitative and quantitative methods and tools for managing operational
risk
Different ways of quantifying operational risk under Basel II
Case Studies
Examples of past disasters and good practice and the lessons to be learned
Risk analysis of real and hypothetical scenarios including non-quantifiable risks;
views of different stakeholders
Risk Management and Optimisation
Articulating an organisation’s risk appetite and risk objectives; translating these
into risk tolerances.
Determining an organisation’s overall risk exposure
How risks and risky opportunities affect the selection of strategy
Developing and recommending strategies for risk optimisation
o Methods for transferring risk to other organisations including financial
derivatives, securitisation, insurance, reinsurance, insurance-linked
securities
o Techniques for managing credit risk
o Different types of securitisation
o Risk reduction within an organisation
o Advantages and disadvantages of different approaches to risk reduction;
e.g. costs and benefits; information asymmetry; transparency; liquidity;
basis risk; moral hazard
o Dynamic versus static hedging using financial derivatives; practical
considerations
o Modern approaches to immunisation of interest-rate risk
o Asset-liability modelling
o Optimising risks and opportunities relative to the Board’s declared risk
appetite and risk tolerances
Risk Management Control Cycle
Describe typical risk management control cycles and explain the relevance of
each component
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Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
On completion of this course the student should be able to:
Demonstrate an understanding of the main international guidelines on good risk
management practice and good governance
Understand how a ratings agency assess risk management practice and use this
to improve risk management practice in an organization
Show how to measure the economic value of a risky venture and how this can be
used to influence decision making
Understand the different methods for how to allocate capital within an
organization and apply these methods in a variety of situations
Demonstrate a good understanding of the different types of operational risks
that might arise in an organization, and be able to identify potential operational
risks in a given scenario
Use quantitative and qualitative methods for identifying and analyzing
operational risk
Analyse multivariate operational risk data using standard methods under Basel II
and internal models
Analyse real and hypothetical case studies of good and bad risk management
practice
Analyse real and hypothetical scenarios from the perspective of different
stakeholders
Demonstrate how to establish at Board level an organisation’s risk appetite, risk
objectives and risk tolerances
Show to optimize risk and opportunities given Board-level constraints on risk
appetite and risk tolerances
Determine an organisation’s overall risk exposure
Develop and recommend strategies for active management of risks using a
variety of methods
Recommend risk mitigation strategies by transfer of risk
Develop strategies for management and mitigation of credit risk
Recommend risk reduction strategies without transferring risk to an external
agency
Demonstrate an understanding of the pros and cons of the different approaches
to risk mitigation
Show an understanding of modern methods for immunization of interest-rate
risk
Show an understanding of the importance of asset-liability modeling for a
financial institution
Develop a risk-management control cycle appropriate to a given scenario
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Show an appreciation of the interface between academic theory and industrial
practice
Demonstrate the ability to learn independently and as part of a group
Manage time, work to deadlines and prioritise workloads
Present results in a way that demonstrates that they have understood the
technical and broader issues of financial risk management
Show an appreciation of the societal role of risk management in protecting the
consumer and other stakeholders
Page | 63
Assessment Assessment: Re-assessment:
Methods: Examination: (Weighting at least 70%) Examination (weighting –100%)
Coursework: (weighting up to 30%)
Synoptic with F71ER Enterprise Risk
Management 1
Page | 64
Course Code: Course Title: Course Co-ordinator:
C31FV Finance & Investment Adrian FitzGerald
Linked courses C31FM Financial Markets for ST5 Exemption
Aims: To install in successful candidates the ability to apply, in simple situations, the
principles of actuarial planning and control to the appraisal of investments, and to the
selection and management of investments appropriate to the needs of investors.
Syllabus: Typical ways in which investment returns are taxed and the effect of the taxation
basis on investor behaviour
Influences over the commercial and economic environment from central banks,
main investor classes and government policy
Methods for the valuation of individual investments and their appropriateness in
different situations
Methods by which an institution can monitor and control its exposure to the
relevant types of risk
Principles and aims of market conduct regulatory regimes; principles underlying
the legislative and regulatory framework for investment management and the
securities industry; and how these principles can be applied in the relevant areas
Aspects of the theory of finance, including motives for mergers and acquisitions,
long-term financial planning and short-term financial planning
Distinctive characteristics of specialist financial instruments
Derivative contracts and their payoffs
Use of actuarial techniques to develop an appropriate investment strategy
Analysis of the performance of an investment and the limitations of such
measurement techniques
Analysis of the performance of an investment portfolio and the limitations of
such portfolio performance measurement
Principal techniques in portfolio management including risk control techniques
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Display knowledge of the principles of finance and investment management;
Apply the principles of actuarial planning and control to the appraisal, selection
and management of investments;
Critically analyse the issues involved in the topics introduced.
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Understand the context within which investment management professionals
work;
Demonstrate the ability to learn independently;
Communicate ideas effectively by written and verbal means;
Recognise, evaluate and comment critically on alternative points of view;
Develop skills of planning and organising their own learning.
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Course Code: Course Title: Course Co-ordinator:
F71MD MSc Project Work Various
Linked courses
Aims:
To carry out a sustained and intensive piece of independent work on topics in
actuarial management and to write a substantial report or reports that communicates
the results of this work to others interested in actuarial mathematics and practice.
Syllabus: Students can carry out projects on a variety of topics in Actuarial Management. The
project or projects should take the student beyond the courses they have already
been taught and examined in on the MSc.
Learning Outcomes: Understanding, Knowledge and Cognitive Skills; Scholarship, Enquiry and Research
Subject Mastery (Research-Informed Learning)
Learning Outcomes: Industrial, Commercial & Professional Practice; Autonomy, Accountability & Working
Personal Abilities with Others; Communication, Numeracy & ICT
Page | 66