MSC Risk Management & Financial Engineering Programme Handbook 2020.21

MSc Risk Management &
Financial Engineering 2020–21

Programme handbook
CONTENTS
1 CONTENTS
2 WELCOME MESSAGE ................................................................................................. 3
3 PROGRAMME OVERVIEW ........................................................................................... 4
3.1 Aims, Objectives, Learning Outcome and Skills Mapping........................................ 4
3.2 Programme Structure .............................................................................................. 8
3.3 Marking Criteria for Foundation Modules .............................................................. 11
3.4 Marking Criteria for Compulsory Modules, Electives and Project .......................... 12
3.5 Assessment Schemes, Exam Papers and External Examiners ............................. 15
3.5.1 Assessment Schemes for MSc RMFE ........................................................... 15
3.5.2 Marking and Exam Papers ............................................................................. 15
3.6 Prizes.................................................................................................................... 18
3.7 Association with Professional Body....................................................................... 20
3.7.1 Professional Risk Managers’ International Association (PRMIA) .................... 20
3.8 Pre-study Online Modules ..................................................................................... 21
3.8.1 BUSI97289 Accounting Primer (Required) ..................................................... 22
3.8.2 BUSI97582 Finance Careers Primer (Required) ............................................ 23
3.8.3 BUSI97081 Introduction to Finance ............................................................... 24
3.8.4 BUSI97080 Introduction to Maths .................................................................. 25
3.8.5 BUSI97178 Plagiarism Awareness Module (Required) .................................. 26
3.8.6 BUSI97176 Ethics and Professional Standards in Finance (Required)........... 27
3.9 Foundation Modules ............................................................................................. 28
3.9.1 BUSI97592 Foundations in Risk Management & Financial Engineering:
Application of R for Finance ......................................................................................... 29
3.9.2 BUSI97592 Foundations in Risk Management & Financial Engineering: Data
Structures and Algorithms Using Python ...................................................................... 30
Financial Modelling ...................................................................................................... 31
Markets and Securities................................................................................................. 32
3.10 Careers ................................................................................................................. 33
3.10.1 BUSI97155 Careers ....................................................................................... 33
3.11 Compulsory Modules ............................................................................................ 35
3.11.1 BUSI97138 Financial Statistics (Autumn Term) ............................................. 36
3.11.2 BUSI97141 Investments and Portfolio Management (Autumn Term) ............. 38
3.11.3 BUSI97144 Stochastic Calculus for Finance (Autumn Term) ......................... 39
3.10.4 BUSI97148 Risk Management and Valuation (Spring Term) ............................. 40
3.10.5 BUSI97151 Empirical Finance: Methods & Applications (Spring Term) ............. 41
3.10.6 BUSI97149 Financial Engineering (Spring Term) .............................................. 43
3.12 Electives ............................................................................................................... 44
3.13 Final Project .......................................................................................................... 45
4 INFORMATION FOR STUDENTS ............................................................................... 47
1
4.1 Term Dates ........................................................................................................... 47
4.2 Student Year Planner............................................................................................ 48
4.3 Academic Director and Programme Team contact details ..................................... 49
4.4 Plagiarism and Cheating ....................................................................................... 51
Proofreading ................................................................................................................ 52
4.5 Group Work and Peer Review............................................................................... 53
4.6 Module Excellence Surveys (MODES) .................................................................. 53
4.7 Global Skills Development .................................................................................... 54
5 FINANCE DEPARTMENT CONTACT DETAILS ......................................................... 55
6 INDICATIVE MODULE LIST........................................................................................ 58
2
2 WELCOME MESSAGE
Welcome from Academic Director
I am delighted to welcome you all to the 2020/2021 MSc in Risk

Management & Financial Engineering. You are embarking on an
exciting and enjoyable year where you will immerse yourselves in
finance and get to grips with both the theory and the practice. The
faculty will be working hard to stimulate you and help you to
understand the concepts of financial theory and to show how theory
and practice interact; to obtain maximum benefit you too will need
to work hard. The pay-off will be a thorough grounding and
competence in finance that will stand you in good stead throughout
your career.
The Hub is the Business School’s bespoke on-line learning

platform. Each programme will have an online Hub, which contains all the module resources
as well as provides a space for all module communication (so students will just need to check
the Hub rather than receive numerous emails).
This handbook contains key information about the programme; you should make sure that you
read it carefully. Please pay careful attention to the checklist of administration tasks that you
need to complete in the first week.
We are extremely fortunate in having a very experienced programme team to ensure the
smooth running of your programme; they are available to deal with any queries that arise. We
have made every preparation possible to ensure that this year will run as smoothly as other
years despite the pandemic. However, it might be necessary to be slightly more flexible this
year than normal. However, if any changes are necessary, the programme team and I, will
be here to support you at all times. As the academic director, I will be happy to meet you to
discuss any issues you would like to raise; I can always be contacted by email
(l.cathcart@imperial.ac.uk).
We hope you all have a fruitful year at Imperial.
With best wishes
Lara Cathcart
Academic Director
MSc Risk Management & Financial Engineering, MSc Financial Technology and MSc
Finance
3
3 PROGRAMME OVERVIEW
3.1 Aims, Objectives, Learning Outcome and Skills Mapping
MSc Risk Management and Financial Engineering: AIMS AND OBJECTIVES
We aim to give our students a rigorous understanding of the theoretical basis of risk
management and financial engineering at the same time making the theories relevant to
market practice and behaviour. The programme is different from MSc Finance in that it
provides a more focused training in asset pricing and risk management whereas MSc
Finance covers a broader set of topics in finance, ranging from investments, corporate
finance and derivatives. The programme aims to provide skills that enable students to
embark on a career oriented towards quantitative analysis in the financial services sector or
to pursue further academic study (doctoral research).
The MSc offers a range of careers-related activities which form an integral part of the
programme. Please consult the Careers section in the Key Information area of the Hub for
further information.
Learning outcomes:
• Demonstrate a detailed knowledge of fundamental finance theories and models

including their derivation and their use and context in the measurement and
management of risk;
• Apply mathematical tools to complex financial problems relating to risk
measurement, risk management and risk pricing;
• Use a range of programming tools to develop live implementations of financial
models and use these implementations in practice;
• Analyse and evaluate investment decisions and data — students should be able
to apply econometric theory and software to draw valid conclusions about data.
Knowledge objectives:
• The nature of risks faced by financial firms;

• Theoretical models employed in risk management and pricing;
• Empirical techniques for analysing risk in financial institutions;
• The core knowledge base including the essential facts, concepts, principles and
theories relevant to the chosen area of specialisation.
Skills objectives:
• To formulate stochastic models for analysing risk;
• To solve problems involving the calculation of risk measures and the valuation of
securities;
• To understand critically the assumptions in models.
• To programme financial applications;
• To apply theoretical models in new settings;
• To undertake analysis of time series data;
• To demonstrate solid training in statistical inference and econometrics;
• To apply knowledge and skills learnt on the Programme to situations in the
workplace.
• To communicate effectively in context through oral presentations, computer
software, presentations and written reports;
• To critically review evidence including its reliability, validity and significance;
• To transfer techniques and solutions from one discipline to another;
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• To use Information and communications technology;
• To manage resources and time effectively in order to achieve intended goals;
• To learn independently with open-mindedness and critical enquiry;
• To learn effectively for the purpose of continuing professional development;
• To work effectively as a team member;
• To identify criteria for success and evaluate his or her own performance against
those criteria.
Skills Mapping
Here at Imperial College Business School you have the opportunity to develop a wide range
of professional skills through a variety of different mediums. These skills will not only aid
your personal development but also make you more competitive within the marketplace.
Importantly, this involves more than just workshops. It involves a blend of learning through
both curricular and non-curricular activities. In order to rationalise the approach to
developing these skills we have created a matrix outlining the different categories and the
methods in which you will learn them.
Categories
We split professional skills into three main categories. This provides you with the chance to
identify the structure of skills learning and how useful they can be in the workplace.
Category Description Example

Personal Development Personal effectiveness on an Working in teams or time
operational level. This includes the management.
dynamics of working individually or as
a member of a team.
Communication Verbal, non-verbal and written skills. CV writing or presentation
skills.
Technical & Analytical Essential workplace tools and VBA, C++, R, Python.
techniques beyond curriculum
teaching.
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Professional Skills Foundation Compulsory Electives Project Optional Careers
Type Modules Modules Workshops Development
Personal An important You will The electives The project The workshops Workshops and
Development emphasis is quickly realise, provide you with gives you the and GSEPS one to one
placed on this in once the an excellent opportunity to modules and sessions give
the September compulsory opportunity to put previous and online study you the
term. You will modules start, expand your taught skills into skills modules opportunity to
start thinking that you need personal action. Project offered provide learn about the
about your to sharpen up development and time you with the operational
approach to your personal skills and put management opportunity to approach to take
learning as an management them into will certainly be develop a range in the workplace
individual, team skills whilst practice. Some needed here. of personal skills and the way to
and cohort working emphasise from team- conduct yourself
member and as effectively on collaboration, based skills to within the
an international team others will personal working
student. coursework. require more organisation and environment
practical skills. effectiveness.
Communication You will spend Throughout The electives The project The workshops Workshops and
time developing the you choose will allows you to and GSEPS one to one
an compulsory help develop develop your modules and sessions will
understanding of modules you your written online study help you
communication will be communication communication skills modules develop your
and how to required to skills. Some of and helps you offered provide communication
come across communicate the more learn how to get you with the skills to enable
effectively. with fellow technical your message opportunity to you to
students, modules will across develop a range communicate
complete enable you to effectively. of effectively within
coursework learn the more communication the workplace
and negotiate technical skills from and at
your way language of writing technical interviews.
around work finance. presentations to
priorities. You networking
will also be effectively.
introduced to
financial
terminology.
Technical and You will be In addition to Electives The MSc project The workshops Workshops and
Analytical introduced to the the actual provide students requires you to offer a direct one to one
Hub, Python, subject matter with a number of use technical route to sessions provide
and R that you taught, there technical skills and analytical improving your you with the
will use regularly will be many related to skills. Data technical and tools to get
throughout the technical and subject matter of collection and analytical skills. through an
year. analytical skills the module. analysis will You will be able assessment
to develop. These can require many IT to master centre.
This will range from and numerical packages such
involve specific IT skills skills. as VBA and
learning skills such as C++ to C++.
from analysing maths formulae
case studies to to risk analysis.
effective use
of R, VBA and
spreadsheets.
6
Personal Skills Development for Individual Modules – MSc RMFE
Team Personal
Written Presentations Spreadsheets/ Numerical Software Analytical & Critical Reasoning Verbal work Skills
September Modules
Foundations in Risk Management & Financial
     
Engineering
Core Careers Track Part 1    
Compulsory Module
Financial Statistics      
Risk Management & Valuation     
Investments and Portfolio Management      
Stochastic Calculus for Finance     
Empirical Finance: Methods & Applications      
Financial Engineering     
Electives
Careers Leadership Track Part 2   
Advanced Financial Statistics      
Asset Allocation & Investment Strategies      
Advanced Options Theory      
Applied Trading Strategies       
Banks, Regulation & Monetary Policy     
Big Data in Finance I       
Big Data in Finance II       
Blockchain and Crypto Assets      
Credit Risk     
Corporate Governance and Stewardship     
Computational Finance with C++     
Enterprise Risk Management     
Entrepreneurial Finance     
Fixed Income Securities      
Insurance      
International Finance     
Introduction to Quantitative Investing (Int. Elective)     
Machine Learning and Finance     
Private Equity & Venture Capital       
Structured Credit and Equity Products       
Text Mining for Economics and Finance    
Innovation and Strategy in FinTech      
Wealth Management & Alternative Investments       
Research Project /Applied Project   Depends on topic   
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3.2 Programme Structure
The programme consists of four compulsory (and two optional) online modules, two
foundation modules, seven compulsory modules, one key elective, two or three further
electives (depending on the project you do), a VBA module and a project.
Term Element Compulsor Course Module Code Exam/Test
y/ work Schedule
Elective
Accounting Primer Complete by 27
Required 100% BUSI97289
(pre-study – Aug 2020) September 2020
Finance Careers Primer
Required 100% BUSI97582 N/A
(pre-study – Aug 2020)
Online Introduction to Finance
Modules Optional 100% BUSI97081 N/A
(pre-study – Aug 2020)
Introduction to Mathematics
(optional pre-study – Aug Optional 100% BUSI97080 N/A
2020)
Plagiarism Awareness Complete by 27
Required 100% BUSI97178
Module September 2020
Ethics and Professional
Standards Required 100% BUSI97176 July 2021
in Finance
Careers (Part 1 Careers Required 100% BUSI97155 N/A
Track)
Markets 5 - 9 October 2020
Foundation and Compulsory 100%
(Sept Securities
2020) Financial 5 - 9 October 2020
Compulsory 100%
Foundations Modelling
in Risk Data
Management Structures
& Financial &
Compulsory 100% N/A
Engineering Algorithms
with
BUSI97592
Python
Application Compulsory 100%
of R for
Finance
Foundations Application Compulsory 100%
Test in Autumn Term
Autumn in Risk of R for
Week 9
(Oct – Dec Management Finance
2020) & Financial
Engineering
Financial Statistics Compulsory 15% BUSI97138

Investments & Portfolio Mgt Compulsory 20% BUSI97141 14-18 December
Stochastic Calculus for Compulsory 20% BUSI97144 2020
Finance
Complete a TOTAL of three or four electives, depending on the project chosen;
You must choose a minimum of one ‘Key’ elective;
You may only select a maximum of one elective in Spring Term
Empirical Finance:
Compulsory 50% BUSI97151
Methods & Applications
Financial Engineering Compulsory 20% BUSI97149
Asset Allocations &
Key 40% BUSI97059
Investment Strategies
Spring Careers (Part 2 Leadership
(Jan – Mar Compulsory 100% BUSI97155 15-26 March 2021
Track)
2021) Advanced Financial
Elective 15% BUSI97143
Statistics
8
Big Data in Finance 1 Elective 25% BUSI97066
Entrepreneurial Finance Elective 50% BUSI97606
International Finance Elective 15% BUSI97045
Risk Management and
Compulsory 20% BUSI97148
Valuation
Text Mining for Economics
and Finance
Advanced Options Theory Key 20% BUSI97042
Applied Trading Strategies Elective 50% BUSI97075
Banks, Regulation &
Monetary Policy
Blockchain and Crypto
Assets
Computational Finance with
Key 50% BUSI97153
C++
Corporate Governance and
Stewardship
Credit Risk Key 40% BUSI97050
Enterprise Risk
Management
Fixed Income Securities Key 20% BUSI97044
Intro. to Quantitative
Summer Investing (International Elective 40% BUSI97067 21 June – 2 July
(Apr – Jun elective) 2021
2021) Insurance Key 50% BUSI97157
Private Equity & Venture
Capital
Structured Credit & Equity
Products
Innovation and Strategy in
FinTech
Wealth Management &
Alternative Investments
Machine Learning and
Finance
Big Data in Finance 2 Elective 50% BUSI97541
Term Element Compulso Coursework Module Deadlines

ry/ Code
Elective
July- Research Project or BUSI97137 11 August 2021
August Applied Project or Elective 100% BUSI97142 11 August 2021
2021 Applied Project (Work Placement) BUSI97154 25 August 2021
Resit Sept 2021
Period All exams (Exact dates TBC)
* Not all combinations of electives are possible, as some electives run concurrently. Normally, a
minimum of 20 students need to be enrolled on an elective in order for it to run. If fewer than 20
students have chosen a particular elective, it is at the discretion of the Imperial College Business
School elective committee if it will go ahead or not. Students will be notified one week prior to the start
of an elective if the minimum threshold to run the module hasn’t been reached. Students affected will
be asked to select an alternative elective. Places will be made available on alternative elective
choices.
In addition to the electives, students may also take the following optional module:
9
• C++ for Finance (Spring term)
• VBA
Further information is available in the Electives section of this handbook.
10
3.3 Marking Criteria for Foundation Modules
Module Element Assessment Weighting
Application of R for To be assessed by 50%

Finance Quizzes and 50% final test 25%
Data Structures &

To be assessed by 100%
Algorithms with
Foundations in Risk coursework 25%
Python
Management &
Financial Engineering
To be assessed by 100%
Financial Modelling
MCQ Test 25%
Markets and To be assessed by 100%

Securities MCQ Test 25%
A pass in Foundations in Risk Management & Financial Engineering module is a

requirement for the award.
To pass the Foundations in Risk Management & Financial Engineering module, students
need to achieve a pass mark in every assessment.
To gain a pass in this module, students will be required to achieve an average of 50% or
above across the four weighted components, with a minimum mark of 40% in each
component.
If students do not achieve a pass or get less than 40% in any individual assessment, they
will have the opportunity to resit any coursework component they have failed no later than
September 2021 and to resit the exams no later than the first week of October 2021.
 The Foundation in Risk Management & Financial Engineering module will appear in the
official transcript as Pass or Fail.
11
3.4 Marking Criteria for Compulsory Modules, Electives and Project
At Imperial College Business School, all postgraduate work is marked to the following
scheme See page 12 for further information):
Marks Interpretation
85+ Marks represent an exceptional distinction performance
70 – 84% Marks represent a distinction performance
60 – 69% Marks represent a merit performance demonstrating a clear grasp of the

relevant concepts and facts
50 – 59% Marks represent a pass performance demonstrating an adequate grasp of

most of the relevant concepts and facts
40 – 49% Marks represent a fail performance.
30 – 39% Marks represent a fail performance (with significant shortcomings).
0 – 29% Marks represent a fail performance (with major shortcomings).
The Pass Mark for all postgraduate taught modules is 50%. Students must pass all specified
module groups in order to be awarded a degree. Students who undertake a re-sit of an
assessment will have the overall module mark capped at the pass mark..
Whilst a mark of below 50% for a module is a failure according to the College assessment
scheme, in some cases, this may be compensated. This normally applies when a student has
achieved the minimum requirement of 40% in the examination and the average for the module
overall (when the exam mark is combined with the coursework mark) is between 40-49%. A
student must also have satisfied all other requirements for a Pass award (e.g. achieving 50%
for the module group overall). A module group is a grouping of modules such as compulsory
modules/ autumn term modules etc.). Where a student achieves less than 40% for the module
overall, the module cannot be compensated. Compensated passes can be awarded for up to
a maximum of 15 ECTS credits.
Candidates who fall within 2% of the boundary for a higher classification may be considered
for the next classification based on their overall academic performance.
Those who achieve an overall weighted average of n9.50 and above will have their
classification rounded to the higher classification.
Those who achieve an overall weighted average of n8.00 and n9.49 (inclusive) will be
considered for the higher classification.
The School has approved criteria for application to borderline candidates that it uses in all
examination boards. In summary, the criteria include all of the following:
- No more than one module group (see individual programme assessment scheme for
details of how modules are grouped) being in the lower degree classification. The average for
this module group must fall within 2% of the higher degree classification.
- Compulsory module group/Term One module group being in the higher degree
classification
- More than 50% of individual assessments in the higher classification
- No compensated modules or assessment that has been re-taken (without approved
mitigating circumstances)
12
- The end of year project/report being in the higher degree classification (where
applicable and specified in the programme assessment scheme).
All students falling within the 2% boundary of the higher classification will be considered for
uplift. However, uplift is not automatic (except for those within 0.5% of the overall degree
boundary) and the above is the minimum criteria that normally applies. An examination board
retains discretion in applying the criteria.
In addition, the following guidance is provided to Faculty in relation to projects:
70% + A mark of this level corresponds to a distinction

The Report indicates exceptional success in tackling the Project. All the
Project’s objectives have been met as fully as could reasonably be expected.
The student has shown initiative and been rigorous in the collection and use
of data. Where appropriate, relevant literature has been critically evaluated.
The standard of the Report presentation is very high.
A mark of this level should be reserved for Reports of exceptional merit which
has something extra and which surprises. The supervisor will be required to
justify why a distinction has been awarded in the section provided.
60 - 69% A mark of this level corresponds to a merit.

The student has tackled the problem conscientiously and logically and has
produced sound conclusions. Presentation is of good standard.
50 – 59% The student’s work has been no more than moderate overall or would have
deserved a higher grade but for areas of significant weakness.
< 50% The student’s work has failed to reach a satisfactory standard. A mark below
50% should be used to indicate a “fail” in the Project.
13
14
3.5 Assessment Schemes, Exam Papers and External Examiners
3.5.1 Assessment Schemes for MSc RMFE
Weighting
All modules are equally weighted except for the research project which carries a double
weight and the Foundations in Risk Management & Financial Engineering module which is
zero weighted.
There are three module groups;

• Autumn Term Modules
• Spring Term Modules
• Summer Term Modules
Pass
 An average of 50% or above in each of the 3 module groups:
 At least 50% in the individual assessment elements of each module
 At least 40% in each examination;
 At least 50% in coursework-only modules
 A pass mark in the Foundations in Risk Management & Financial Engineering module
(an average of 50% or above across the assessments, with a minimum mark of 40%
in each individual component)
Merit
 At least 40% in each examination;
Distinction
 At least 50% in all modules
 At least 40% in each examination
NB: Please refer to the Resits information in the Academic Regulations & Policies
document on the Hub, if applicable.
3.5.2 Marking and Exam Papers

The following describes the process for examined modules.
The essentials of this process are laid down by the College and are requirements that apply
to all taught postgraduate programmes.
The Board of Examiners is made up of all members of the School's academic staff who
teach on the programme (called 'internal examiners') plus a number of external examiners
drawn from other universities. A representative of the College Registry also normally attends
15
Board meetings. The external examiners are appointed for no more than four consecutive
years. School examiners have, in the past, been, drawn from LBS, Manchester, Cranfield,
Lancaster, City, Open University, Universita’ Commerciale La Bocconi, Oxford University,
and LSE. Each external is allocated a number of subjects in their area of expertise. The
Board Chairman is normally the Programme Director.
This year, the external examiners for MSc Risk Management & Financial Engineering are as
follows (TBS):
Dr. Rohit Rahi London School of Economics

Professor Charlie Cai University of Liverpool
Professor Barbara Casu City University London
The details provided above are for information only. Please note that it is not appropriate for
students to contact the externals directly regarding their studies. Any issues that you have in
relation to your assessment should be raised internally with your Programme Team in the
first instance or with the College Registry, if necessary. Issues with results can only be
raised with College Registry once the External Examiners’ meeting has taken place and
results have been released by Registry.
All examination scripts will be marked in detail by the Module Leader or appointed marker
with a second marker undertaking sample check marking to ensure that the mark awarded is
appropriate. A sample of scripts, along with coursework samples, are sent to the External
Examiner to ensure that the standard of marking at Imperial College Business School is
commensurate with elsewhere in the UK. External Examiners also approve draft
examination questions prior to the examination being set.
Specimen questions are provided to guide students on content only. The format is subject to
change and the Module Leader will provide full information during the module.
If you experience serious illness or other major problems that you feel affect your academic
performance, you should provide the programme team with details of the problems
experienced in writing along with relevant documentary evidence. This would normally be
before any examination that might be affected. Mitigating circumstances are then
considered at the Mitigating Circumstances Board which meets three times per year. Details
regarding mitigating circumstances can be found in the ‘Academic Regulations and Policies’
document on the Hub.
Candidates who are judged to have failed by the Board of Examiners are allowed by College
regulations ONE further entry to the examination(s). Students who need to re-sit will be
given the option to either re-sit in the September re-sit period, or during the next academic
session. Students with more than one re-sit exam will need to choose whether to re-sit
exams either in September or in the next academic year. At the discretion of the Academic
Director, students are allowed to split re-sit exams between the September re-sit period and
the next academic year. Students will still only have one re-sit opportunity per examination.
A candidate may be required to re-sit for the following reasons:
• Where failure arises from an examination mark below 40% and the candidate passes
on all other criteria. In this instance re-entry is required only in the paper in which less than
40% is achieved. To pass, the candidate must achieve a mark of at least 40% on re-entry.
The mark for a re-entry will be capped at 50%.
• Where failure is a result of achieving less than 50% in the average of all the
examination and coursework marks. In this instance a candidate must re-sit any examination
in which they achieved less than 40% and is given the opportunity to re-sit any examination
16
in which they have achieved less than 50% in order to increase their overall average above
50%.
Information on re-sitting examinations, resubmitting coursework, resit/resubmission fees,

examination feedback and reasonable examination adjustments can be found in the
Academic Regulations and Policies document on the Hub.
In line with the College Regulations for Taught Programmes of Study, anonymity is observed
and maintained during the marking process for all written examinations. Anonymity is also
observed in the marking process for coursework but practical assessments (e.g. participation
and presentations) and supervised projects, cannot be marked anonymously.
Where a student breaches their own anonymity, for example by writing their name visibly on
an assessment or by discussing the assessment with a member of faculty, the student
forfeits their right to anonymity.
If you have any special needs, for example, dyslexia, and wish to make an application for
additional exam arrangements you should contact the Head of Exams and Assessment,
Anique Varleigh, as soon as practicable after you have started the programme. This should
be done no later than six weeks before your first assessment. Anique can be contacted on
a.varleigh@imperial.ac.uk. Details of how to apply for additional exam arrangements can
also be found in the ‘Academic Regulations and Policies’ document on the Hub.
The Business School believes that academic writing is a specific skill and we encourage
students to spend time proof-reading their work in order to develop this skill; this is part of
studying for a degree. Students are advised not to use any third party proof-reader. It is
pivotal that the content of the work and the expression of ideas remains solely the work of
the student.
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3.6 Prizes
Each year, outstanding MSc Risk Management & Financial Engineering students are
awarded a prize in various areas of finance in recognition of their academic achievements.
Below is the list of prizes* currently available to students:
MSc Risk Management & Financial Engineering Outstanding Student Prize - £500
Awarded annually to the MSc Risk Management & Financial Engineering student with the
best all round performance in examinations, electives and project work taken together
MSc Risk Management & Financial Engineering Best Applied Project Prize - £250
highest mark in their Applied Project
MSc Risk Management & Financial Engineering Financial Statistics Prize - £200
highest average in Financial Statistics and Advanced Financial Statistics combined
MSc Risk Management & Financial Engineering Stochastic Calculus Prize - £200
highest average in Stochastic Calculus and Fixed Income Securities combined
Best Research Project Prize (shared across the Finance Suite) - £250
Awarded annually to the student on the Finance suite of MSc programmes with the highest
mark in their Research Project
MSc Risk Management & Financial Engineering Numerical Finance Prize- £200
highest average in Financial Engineering and Computational Finance with C++ combined
Andreas Kyriakides Memorial Prize for Investment and Portfolio Management (shared
with MSc Finance and MSc Financial Technology programmes) - £200
Awarded annually to the MSc Finance/MSc Risk Management & Financial Engineering/MSc
Financial Technology student with the highest average in Investment & Portfolio
Management and Asset Allocation & Investment Strategies combined
Dean’s List for Academic Excellence
The Dean’s List comprises the top 10% of students (+/- 2%) from each Business School
taught programme. Inclusion is subject to satisfactory completion of the award and
achievement of a mark of 70% or greater overall.
Dean’s Community Award for Students

The Dean’s Community Awards encourage and recognise citizenship amongst Business
School students who excel in extra-curricular activities.
Nominations are accepted from students, faculty members and professional staff.
Nominations can be for an individual student or a team of students. Self nominations will not
be considered.
When judging this award, consideration will be given to students who have made a
significant contribution to the Business School community or wider society. Contributions
should be current; the Panel will give greater weight to initiatives that have taken place in the
current academic session. As these awards celebrate extra-curricular activities, nominations
relating to academic/ assessed work such as projects will not normally be considered.
There are six categories:
18
1. Improving Society – someone who has made a positive contribution to raising social
awareness e.g. raising awareness of social causes with the cohort, volunteering, organising
a fundraising or community engagement activity
2. The Power of Innovative Thinking – someone who thinks outside of the box,
demonstrating creative thinking e.g. innovative contributions or leadership that takes a
project, event or solution to the next level
3. Inspiring Brilliant Minds – someone who has broadened the minds of others e.g.
organising an event or activity that provoked inspiring discussion or innovation and
enhanced your learning and development
4. Pioneering Practical Solutions – someone who identified an opportunity to benefit their
cohort or the School and takes action e.g. someone who has developed a new initiative to
improve the student experience.
5. Sustainable Business Thinking – someone who raises awareness of business practices
that are economically sustainable, socially responsible and actively promotes an
environmentally friendly culture both in the College and the wider community.
6. Inclusive Business - someone who consistently promotes (or has shown by a specific
action) practices and behaviours that enhance equality, diversity and inclusion in our
community of students, staff, or wider society.
*All prizes are subject to change and to College approval
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3.7 Association with Professional Body
The MSc RMFE programme at the Imperial College Business School is reputed for its
academic excellence, and as such is associated with Professional Risk Managers’
International Association (PRMIA).
3.7.1 Professional Risk Managers’ International Association (PRMIA)
MSc RMFE is accredited by PRMIA (Professional Risk Managers’ International Association).

In order to qualify for an exemption from taking the PRM Exam 1, Finance Foundations
students are required to complete the following modules (please note the modules marked *
fall under elective modules) with a mark of at least 60%:
• Markets and Securities
• Financial Modelling
• Mathematical Finance
• The Finance Industry
• Risk Management
• Financial Statistics
• Investments and Portfolio Management
• Stochastic Calculus for Finance
• Advanced Financial Statistics*
• Financial Engineering
• International Finance*
• Computational Finance with C++*
Learn more about the PRM Designation program requirements at https://prmia.org/prm
You can find out more about the PRM exam exemptions at
https://prmia.org/Public/PRM/PRM_Exam_Exemptions_-_University_Accreditation.aspx
We acquire PRMIA Sustaining membership for all RMFE students for the duration of your
MSc.
The benefits of being a PRMIA Sustaining Membership include:

• Discount on select PRMIA Publications
• Discount on PRM and Associate PRM products
• Discount on all PRMIA Learning Courses
• Discount on Events and access to PRMIA Chapter Events
• Invitations to exclusive networking receptions and access to speaker presentations
Free Access to Thought Leadership Webinars, at least 24 webinars are presented
each year on topics relevant to current events and recent developments in risk
management
• Free Access to PRMIA blogs and Opportunities to post research and white papers on
PRMIA’s website
• Free Access to PRMIA Intelligent Risk:
https://prmia.org/Public/Resources/Intelligent_Risk.aspx
If you want to opt in to this membership and would like us to share your Imperial details with
PRMIA then you need to inform us via the Qualtrics form that will be circulated in September
2020.
We hope that you find this membership useful – for more information about PRMIA look here
http://www.prmia.org
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3.8 Pre-study Online Modules
Students are required to complete the following online modules:
Before your arrival at the School:
1. Accounting Primer (Required)

2. Finance Careers Primer (Required)
3. Introduction to Finance (Optional)
4. Introduction to Mathematics (Optional)
Experience tells us that students without a basic knowledge of these subjects will struggle on
parts of the programme. If you have not yet completed these modules, you should do so
before the autumn term starts in October.
September:
5. Plagiarism Awareness module (Required)
Summer term:
6. Ethics and Professional Standards in Finance (Required)
Although the marks for the test and quizzes for modules 1, 2 & 6 above will not count
towards your final grade, it is a programme requirement that you pass them.
It is a Business School requirement that you complete module 5 above.
21
3.8.1 BUSI97289 Accounting Primer (Required)
Module Aims:
This module is at an introductory level and includes several self-help exercises. You must
then pass a one-hour computer-based accounting test. If you fail the test, you will be able to
retake it. We expect all students to gain some basic knowledge of accounting as part of their
MSc studies.
Module Contents:
This module introduces the basic financial statements, namely the balance sheet, the
income statement and the cash flow statement. It is a legal requirement for companies and
large organisations to report their financial status through these statements.
The basic pro-forma of these statements, how they are prepared, and the limitations of the
statements are explained. It is imperative for business people to be able to interpret and
analyse this information to support good decision-making.
Learning Outcomes:
On completion of the module, students will:
• Have gained a knowledge of the three main principles that guide the processes of
financial accounting and the concepts that underpin them.
• Understand the difference between a sole trader, a partnership and a company.
• Know about the three major accounting statements (the balance sheet, the income
statement and the cash flow statement) and will understand what each of them is
used for and the difference between them.
• Be aware of the terms needed to produce and understand financial statements.
Topics covered:
• The balance sheet

• Profit and loss account
• The cash flow statement
Assessment:
The Accounting Primer module is assessed by an online multiple-choice test which must be
completed by Sunday 27th September 2020. If you do not pass the test at the first attempt,
you will have the opportunity to resit later in the term.
22
3.8.2 BUSI97582 Finance Careers Primer (Required)
Module Instructors:
Name: Careers
Room: Central Library Building, Level 2
Telephone: 020 7594 1510/6432
Email: ibcareers@imperial.ac.uk
Module Aims:
An exploration of careers in financial services. The aims of the module are to give students:
1) An understanding of the finance recruitment market, to answer the following

questions: What opportunities are there for graduates? What do organisations
actually do? What does the day to day role look like? What skills and competencies
are required in these roles?
2) The opportunity to explore the type(s) of role they are suited to and how to go about
applying for these roles. The module also covers aspects of the recruitment process
including information on how to identify roles to apply for and strategy for applications.
3) Information on the preparation needed ahead of September in order for them to be in

the best position to secure a role.
Module Outline:
This module will be delivered online via The Hub. To gain access, students are required to
first complete the Careers Primer which will then give them access to the Finance Careers
Primer under the MSc Career Resources module.
Students will be encouraged to start developing their market knowledge in preparation for
job interviews by reading the Financial Times and completing modules of Wall Street Prep
and attending Commercial Awareness workshops.
Assessment:
Pass/fail based on 100% attainment of all the elements below:
• Approved CV being uploaded on VMOCK and achieving the Imperial College

Business School benchmark score.
• Completion of the online module.
23
3.8.3 BUSI97081 Introduction to Finance
Module Aims:
This online learning module introduces you to basic concepts in Finance and Financial
Valuation models.
Learning Outcomes:
Upon completion of the module and the quizzes on the Hub, you will be able to:
• Use the time value of money to value assets

• Understand how risky cash flows are valued
• Calculate spot and forward rates
• Understand how a yield curve is obtained
• Understand how portfolio selection problem is solved
• Implement the CAPM equation to estimate the rate of return on risky assets
Topics covered:
• Bonds
• Valuing risky cash flows
• Bond yields
• Forward rates
• Term structure theory
• Portfolio selection
• CAPM
• Derivatives and markets
• Derivatives and pricing
This pre-sessional module is not examined. However, in preparation for the start of your
MSc programme, it is in your interest to complete all the learning materials, quizzes and
activities.
24
3.8.4 BUSI97080 Introduction to Maths
Module Aims:
This module reviews mathematical techniques that you will generally have encountered in
your earlier studies. The material is presented in a self-contained way. This module is highly
recommended to those who have not studied this subject for a while and need to refresh
their maths knowledge.
Learning Outcomes:
When you have completed the online module, you will be able to:
• Take derivatives and integrate simple commonly encountered functions

• Employ product and chain rules and integrate by parts
• Understand and manipulate simple equations involving vectors and matrices
• Be familiar with commonly encountered matrix functions such as determinants and
eigenvectors
• Understand simple properties of linear ordinary differential equations
Topics covered:
• Differentiation
• Integration
• Taylor expansion
• Linear algebra
• Differential equations
This pre-sessional module is not examined. However, in preparation for the start of your
MSc programme, it is in your interest to complete all the learning materials, quizzes and
activities.
25
3.8.5 BUSI97178 Plagiarism Awareness Module (Required)
Module Aims:
How would you define plagiarism? Do you know what plagiarism is? Do you know there are
different types of plagiarism? We’ve asked lots of students what they think plagiarism is, and
most of them say plagiarism is when you ‘cut and paste’ or copy other people’s work.
This is only one half of a definition of plagiarism. You need to have a full understanding of
what plagiarism is, and why it is an academic offence.
Learning Outcomes:
After working through this module, you should:
• be able to explain what plagiarism is, and identify six different types of plagiarism
• be familiar with the concept of academic integrity
• be able to explain how to avoid plagiarism
• know what your department and the College policy is on plagiarism
• be able to explain the difference between paraphrasing and using a quotation in your
work
Assessment:
You are required to complete and pass the online plagiarism awareness test by Sunday 27
September 2020.
26
3.8.6 BUSI97176 Ethics and Professional Standards in Finance (Required)
Module Aims:
This module aims to introduce students to corporate responsibility and professional

standards for financial analysts. This online module will be available in the summer term
and, at the end of it, students are required to take a compulsory test, which must be passed
before they can be awarded the MSc.
Module Outline:
In this module, students will review the key factors and responsibilities for ethical practice in
finance.
There are nine sessions in total for students to complete. Each session will include a
practitioner video commentary, a web-based lecture, suggested readings, practical
examples and questions to test the key concepts learned in that section.
Assessment:
100% Coursework. You are required to complete and pass the online Ethics and
Professional Standards in Finance module during the summer term.
27
3.9 Foundation Modules
The September modules will introduce you to the tools of modern finance and enhance your
career development skills.
Foundations in Risk Management & Financial Engineering
1. Application of R for Finance

• Hands-on introduction to R programming
• Development of good practice and knowledge to tackle complex problems
• During September students will be required to complete online Data Camp
modules. Teaching will begin in Autumn term.
2. Data Structures and Algorithms with Python

• Introduction to the basics of algorithms and data structures for developing
computational approaches to problem solving
• Introduction to the Python programming language
3. Financial Modelling
• Elements of probability theory
• Review of matrix algebra and statistics
4. Markets and Securities

• Introduction into securities trading, pricing and investment
• Review of probability theory and optimisation
28
Application of R for Finance
Module Instructor:
Name: Liam Gao (Module Leader)

Email: j.gao@imperial.ac.uk
Module Aims:
The module is designed for students with no programming experience and provides the
foundations of programming in R. Variables, arrays, conditional statements, loops, and
functions are explained. Furthermore, the module will focus on modelling, leveraging the
skills of R that apply to modern financial markets, from simple linear regression and
estimation to volatility modelling, asset pricing and other relevant topics in finance.
Module Outline*:
• Variables, Matrices, Indexing and Operations
• Logical Operators, Flow Control, User Defined Functions
• Data Reading/Writing, Graphics with R
• Optimization: maximization/minimization of a function of many variables with and
without constraints.
• Elements of regression analysis
• Application: Portfolio Optimization
• Slightly More Advanced Application: e.g. Trading Strategy
• Revision & In-class Test
Learning Outcome
• Confidently apply the basics of programming in R
Assessment:
• Coursework (50%)
• Final Test (50%)
This breakdown ensures that students balance their time between learning new material and
learning how to apply it in practice.
29
Data Structures and Algorithms Using Python
Module Instructor:
Name: Heikki Peura

E-mail: h.peura@imperial.ac.uk
Room: Room 394, 3rd Floor Business School
Module Aims:
This module introduces you to the design of algorithms and data structures for computational
problem solving. The design of efficient computational methods for sifting through large data
sets lies in the core of modern technological innovation ranging from search engines and
social networks to healthcare, energy and finance. The module will familiarise you with key
algorithm design paradigms and central concepts of computational complexity and running-
time analysis. You will develop a working knowledge of basic algorithms (for problems such
as search, sorting, and shortest paths) and data structures, along with the necessary
programming constructs.
The module will also serve as an introduction to the Python programming language, with the
goal of becoming proficient in organizing and writing medium-sized programs for practical
problem-solving. The module will be hands-on assisted by teaching assistants and will also
cover debugging and good programming practices.
Module Outline:
The module will cover the following topics.

• Algorithms and computational thinking
• Computational complexity
• Search and sorting algorithms; linear data structures
• Representing networks with graph data structures; shortest-path problems
• Dealing with hard problems; greedy algorithms and approximations
• Core programming concepts in Python: operators, variables, types, conditions, loops,
functions, collections, file operations, exceptions, classes and object-oriented
programming, the Python standard library
• Good programming practices and debugging
• Python data analytics libraries, including numpy, pandas, matplotlib.
Learning Outcomes:
Upon completion of this module, students will be able to:
• Apply the basics of data management systems using Python with finance
applications
Assessment:
30
Financial Modelling
Module Instructor:
Name: Paolo Zaffaroni

Room: 53 Prince’s Gate - Room 4.02
Telephone: 020 7594 9186
Email: p.zaffaroni@imperial.ac.uk
Module Aims:
This module intends to provide students with the essential background in probability and
statistics for the compulsory and elective modules of the programme.
Module Outline:
1. Motivation: some empirical finance questions

2. Random variables and probability distributions
3. Moments of a random variable
4. Probability distributions
5. Joint, marginal and conditional distributions
6. Functions and transformation of a random variable
7. Hypothesis testing
8. Univariate regression
9. Matrix Algebra
Learning Outcomes:
• Master the most important techniques of statistics and probability, tailored to

applications in finance, risk management and financial engineering.
• Appreciate and understand the various ways to adjust project financing
Assessment:
• Multiple Choice Questions test (100%) during week 5th – 9th October 2020
31
Markets and Securities
Module Instructor:
Name: Lara Cathcart

Telephone: 020 7594 9126
Email: l.cathcart@imperial.ac.uk
Module Aims:
This module firstly provides a broad overview of key financial markets; Stocks, Bonds and
Derivatives. Secondly it introduces the concepts of risk and return and how diversification
influences risk and return.
Module Outline:
• Bonds
• Equity
• Portfolio Analysis
• Derivatives
Learning Outcomes:
By the end of this module students will:
• Articulate the main financial instruments including debt, equity and financial
derivatives and of the concepts of market efficiency, portfolio risk and diversification.
Assessment:
• Multiple Choice Questions test (100%) during week 5 - 9 October 2020
32
3.10 Careers
3.10.1 BUSI97155 Careers
Module Instructors:
Name: Careers
Room: Central Library Building, Level 2
Telephone:020 7594 1510/6432
Email: ibcareers@imperial.ac.uk
Module Aims:
An exploration of careers in the financial service industry and its associated recruitment
process. The aims of the module are to give students:1) Practical experience of all typical
elements of the recruitment process for roles in the Finance Industry
2) The opportunity to develop the leadership skills needed to successfully develop a

sustainable career in today’s competitive business world.
Module Outline:
The Career and Professional Development Module will be split into two parts: Part 1- Core
Careers Track and Part 2- Leadership Track.
This module will be delivered by a combination of the Careers Consultants, external

consultants and professionals working in the sector.
Careers Module Part 1 (Core Careers Track)
Content in the Autumn term focusses on building skills needed to secure graduate roles, with
a variety of practical sessions dedicated to helping students make job applications and prepare
themselves for the selection process. This includes sessions on networking, presentation
skills and preparing for interviews. There will be opportunities to meet with and hear from a
variety of employers, including a virtual careers fair, which will enable students to get a deeper
insight into organisations.
Careers Module Part 2 (Leadership Track)
In Spring and Summer, there is more emphasis on developing leadership skills to ensure that
students are prepared for employment and are equipped with the skills employers value. There
will be a series of interactive workshops and small group sessions. These give students the
opportunity to increase their self-awareness about their strengths, communication and
decision making preferences, and leadership style. This will enhance their performance as a
team player and help them become effective future leaders. Students will also have continued
access to careers workshops, small group practice sessions and one to one support around
job search tactics and strategies.
Learning Outcomes:
• Understanding of the finance industry, key employers and career options within the
sector
• Knowledge of the recruitment process and how to define an application strategy
• Development of commercial awareness and skills required for the selection process
• Development of leadership skills in preparation for employment
33
Assessment:
Pass/fail based on 100% attainment of all the elements below:
• Attendance of at least FOUR Core Careers Track workshops (self-selected) in the

Autumn term.
• Attendance of at least ONE Careers Leadership Track workshop (self-selected) in
the Spring or Summer term.
34
3.11 Compulsory Modules
The six compulsory modules are:
• Financial Statistics
• Investments and Portfolio Management
• Risk Management and Valuation
• Stochastic Calculus for Finance
• Financial Engineering
• Empirical Finance: Methods & Applications
Three compulsory modules are taught in the autumn term and four in the spring term.
For each module there is a 3-hour lecture and a 1-hour class per week.
We endeavour to record the lectures and have them available to view via the Hub.
However, this is not a substitute for live class attendance. The system occasionally does not
work due to technical errors so this should not be relied upon as an alternative to attending
at the time of the lecture whether in person or online.
You are expected to attend all lectures, classes and workshops.
The following sections will provide information about the Autumn and Spring term
compulsory modules.
35
Autumn Term Modules
3.11.1 BUSI97138 Financial Statistics (Autumn Term)
Module Instructor:
Name: Paolo Zaffaroni

Telephone: 020 7594 9186
Email: p.zaffaroni@imperial.ac.uk
Module aim:
This module is intended to provide students with the essential tools of linear time series and
econometrics with applications to asset pricing and risk management.
Learning outcomes:
At the end of the module, you will be able to:
• Categorise the most important techniques of statistics and econometrics adopted in
finance
• Design trading strategies and optimal portfolios
• Forecast asset returns
• Evaluate risk measures
Discriminate between alternative asset pricing models
Module outline:
1. Least squares estimation theory I

a) Matrix formulation of the k-variable model.
b) Inference in the k-variable equation.
c) Testing linear hypothesis.
d) Large sample properties of OLS.
2. Application: tactical asset allocation.
3. Least squares estimation theory II

a) Prediction.
b) Generalized least squares.
c) Nonlinear least squares.
d) Instrumental variable estimators.
4. Application: least squares estimation of models for interest rates

a) Splines.
b) McCulloch (1975) model.
c) Nelson-Siegel-Svensson model.
5. Maximum likelihood and method of moments estimation

a) ML estimation of linear model.
b) Generalized method of moments.
6. Application: ML estimation of single-factor models for the term structure

a) Vasicek model.
36
7. Hypothesis testing
a) Likelihood ratio (LR) test.
b) Wald (W) test.
c) Lagrange multiplier (LM) test.
d) Testing non-nested hypotheses.
8. Application: backtesting Value-at-Risk.
9. Linear Time Series

a) Stationarity and lag operator.
b) Linear processes: ARMA.
c) Model Selection, Estimation and Diagnostic of ARMA (p; q).
d) Few remarks on stochastic non-stationarity.
e) Regression-based tests of non-stationarity.
f) Prediction of ARMA.
10. Kalman filter (we use a different book namely Hamilton (1994), Chapter 13)
a) State-space representation of dynamic system.
b) Main blocks of Kalman filter.
c) Forecasting.
d) ML estimation.
Assessment:
• Exam (85%)
37
3.11.2 BUSI97141 Investments and Portfolio Management (Autumn Term)
Module Instructor:
Name: Robert Kosowski
Room: 53 Prince’s Gate – Room 5.01C
Telephone: 020 7594 3294
Email: r.kosowski@imperial.ac.uk
Module aims:
This module provides students with a critical understanding of important investment and
portfolio management techniques used for portfolio management by fund managers, risk
managers, banks’ trading desks, structured product groups, hedge funds, pension funds and
other financial institutions. One of the strengths of the module is that it is accompanied by
case studies and realistic practical examples that students are asked to solve each week
using R. Moreover, the module covers pricing and predictability of a large range of asset
classes including equities, bonds, foreign exchange, commodities and hedge funds.
Learning Outcomes:
At the end of the module, you will be able to:
• Understand portfolio diversification and asset allocation
• Implement trading strategies, risk management techniques, stock selection, valuation
and portfolio construction methods in a wide range of assets including equities,
bonds, foreign exchange, commodities and derivatives.
Module outline:
The module covers static portfolio theory, market efficiency, factor models, return
predictability, value-at-risk, tactical and strategic asset allocation, term structure of interest
rates, carry trades, covered interest rate parity, spot-futures theorem, portfolio
insurance/options, and stock selection. Portfolio performance measurement and the
determinants of the information ratio are discussed in the context of mutual funds and hedge
funds. Case studies include the asset allocation example of Harvard Management Company.
This module closely follows the excellent ‘Bodie, Kane and Marcus’ and 'Cochrane'
textbooks to build a thorough foundation in investments and portfolio management. The
textbook is complemented with more advanced material from research papers, case studies
and selected chapters from other books.
Assessment:
• Exam (80%)
38
3.11.3 BUSI97144 Stochastic Calculus for Finance (Autumn Term)
Module instructor:
Name: Pietro Millossovich (Visiting Lecturer)

Email: p.millossovich@imperial.ac.uk
Module Aims:
This module intends to provide the students with the essential piece of knowledge in
stochastic calculus and especially its continuous-time application to finance. A reasonable
balance between rigorous mathematical proofs, intuitive explanations and real-life examples
of the financial industry is achieved. Students are expected to have had some exposure to
probability (random variables, distributions etc.) and ordinary calculus (differentiation,
integration etc.) concepts.
Learning Outcomes:
At the end of the module, you will be able to

• use set-theoretic probability theory to represent and analyse simple real-life problems,
and model information in financial markets
• model the behaviour of the prices of financial assets using stochastic differential
equations
• critically evaluate the key principles underlying the no-arbitrage pricing theory
• solve simple pricing problems
Module Outline:
The module begins with a brief overview of the probability theory including indicatively
Probability Spaces, Measures, Events, σ-algebra, Conditional Expectation, Radon-Nikodyn
derivative.
With this piece of machinery at hand, the module progresses to the introduction of Brownian
Motion, Poisson Process, Martingales, Markov processes and the world of continuous-time
stochastic calculus. Topics to be covered include Stochastic Integration, Ito Integral and Ito
Isometry, the derivation and applications of Ito’s Lemma, Stochastic Differential Equations
and the mechanics of various Stochastic Processes that are heavily used to solve problems
of practical importance (e.g. arithmetic Brownian Motion, geometric Brownian Motion,
Ornstein-Uhlenbeck, CIR, etc.).
Linking stochastic calculus with asset pricing and risk-neutral valuation involves the definition
of concepts like the Martingale Representation Theorem and the Girsanov Theorem. The
financial notions of self-financing portfolios, replication and risk-neutral pricing are developed
and the Black-Scholes-Merton Partial Differential Equation is derived. The link between
partial differential equations and stochastic processes via the Feynman-Kac formula is
subsequently covered, which effectively gives a clear view of the fundamental formula for the
pricing of contingent claims.
Subject to time constraints, further advanced topics will be potentially covered, like the Heston
Stochastic Volatility framework (linked to implied volatility and volatility skew/smile), Jump
processes and corresponding Stochastic Integration theory.
Assessment:
• Exam (80%)
39
Spring Term Compulsory Modules
3.10.4 BUSI97148 Risk Management and Valuation (Spring Term)
Module Leader:
Name: Claudia Custodio
Room: 53 Prince’s Gate Room 4.09
Telephone: 020 7594 9249
Email: c.perdigao-dias-custodio@imperial.ac.uk
Module Co-Lecturer
Name: Enrico Biffis
Telephone: 020 7594 9767
Email: e.biffis@imperial.ac.uk
Module Aims:
This module provides students with a critical understanding of important valuation
techniques used in finance by analysts, investment bankers, fund managers, traders, hedge
funds, pension funds and other financial institutions. It also covers the major risks facing a
firm and its securities and provides guidelines on how to measure and handle those risks.
One of important features of the module is that it is a tools module using both case studies
and theory while requiring students to use the tools in real world applications.
Learning Outcomes:
At the end of the module you will be able to;
• Distinguish the toolbox of key risk measures and risk management methods
• Apply modern methods in risk management, finance, and econometrics in the
analysis of the main problems faced by risk managers and financial market
participants
• Use a wide range of econometric methods to model the dynamics of key financial
and economic indicators
• Apply key models for the dynamics of financial markets in managing risk portfolios
• Critically understand and apply modern methods in finance, risk management, and
econometrics in modelling the effects of financial crises and their propagation
through markets
Module Outline:
• Identification of categories of risk faced by corporations, such as market, currency,
credit, liquidity, operational, and reputational risks.
• The rationale for risk management: why is risk costly to firms; post-loss financing tools;
hedging, insurance, and self-insurance.
• Regulation: Basel principles and standards for managing the key risk types faced by
banks; Dodd-Frank and EMIR regulation for over-the-counter derivative markets;
Solvency II regulation for insurers.
• Risk measures: Value-at-Risk (VaR) and other risk measures.
• Market risk: measuring and managing market risk; VaR models; stress-testing;
derivative portfolios.
• Overview of credit risk: structural and reduced form models, rating systems and
metrics, capital requirements
• Operational risk, definition and management, capital requirements
Assessment:
• Exam (80%)
40
3.10.5 BUSI97151 Empirical Finance: Methods & Applications (Spring Term)
Module Leader:
Name: Christopher Hansman
Email: c.hansman@imperial.ac.uk
Module Aims:
This module introduces a variety of econometric methods used to tackle key problems in
empirical finance and economics. Beyond the formal derivation of statistical properties,
students will develop insight into the appropriate choice of tools when confronting new
questions, will learn to apply these tools practically, and will develop the skills to critically
evaluate the empirical work of others.
Module Outline*:
1. An Introduction to Causality
(a) The conditional expectation function and regression
(b) Treatment effects and the potential outcomes framework
(c) The conditional independence assumption
Recommended Reading: Angrist and Pischke (Chapters 1-3)
2. Identifying Causal Effects: Instrumental Variables in Practice

(a) Threats to recovering causal estimates
(b) A review of instrumental variables (including assumptions)
Recommended Reading: Angrist and Pischke (Chapters 3-4); Roberts and Whited (Pages 1-
32)
3. Panel Data and Difference-in-Difference Strategies

(a) Introduction to panel data
(b) Fixed effects
(c) Difference-in-difference strategies
Recommended Reading: Angrist and Pischke (Chapter 5); Wooldridge (Chapters 13 and
14); Roberts and Whited (Pages 34-47)
4. Limited Dependent Variables

(a) Binary dependent variables: linear probability models, probit, and logit
(b) Censoring and truncation
(c) Applications with MLE
Recommended Reading: Wooldridge (Chapter 17)
5. Observed Factor Models

(a) Testing the CAPM and single factor models
(b) Multifactor models
Recommended Reading: Bodie, Kane, and Marcus (Chapters 10.1-10.5, 13.1-13.5)
6. Unobserved Factor Models

(a) Factor Analysis
(b) Principle Component Analysis
(c) Model Selection: choosing the number of factors
Recommended Material: Topics in Mathematics with Applications in Finance (Fall 2013:
Lecture Note 15, Available on MIT Opencourseware)
7. Applying Time Series Models

(a) Time series models of the mean and the predictability of asset returns
(b) Introduction to and applications of time series models of the variance
Recommended Reading: Wooldridge (Chapter 10)
41
Learning Outcomes:
At the end of the module you will be able to;
• Distinguish the toolbox of key risk measures and risk management methods
• Apply modern methods in risk management, finance, and econometrics in the
analysis of the main problems faced by risk managers and financial market
participants
• Use a wide range of econometric methods to model the dynamics of key financial
and economic indicators
• Apply key models for the dynamics of financial markets in managing risk portfolios
• Critically understand and apply modern methods in finance, risk management, and
econometrics in modelling the effects of financial crises and their propagation
through markets
Assessment:
• Exam (50%)
* Topics may be subject to change
42
3.10.6 BUSI97149 Financial Engineering (Spring Term)
Module Leader:
Name: Enrico Biffis

Room: 53 Prince’s Gate, Room 3.03
Tel: +44 (0)20 7594 9767
Email: e.biffis@imperial.ac.uk
Module Aims:
The module will provide an overview of key domains of application of financial engineering
approaches to structuring, valuing, and managing different financial products. Asset classes
covered will range from equity to rates and credit. Recent topics of interest to financial
engineers and regulators will be discussed: these include multi-curve valuation and
counterparty risk management in over-the-counter markets.
Learning Outcomes:
At the end of the module you will be able to:
• Appraise the most important financial instruments and risk exposures of relevance to
structures, asset managers, and traders.
• Apply the main modelling tools used in the areas of equity, fixed income, credit and
commodity derivatives.
• Evaluate structuring and valuation problems for products of increasing complexity,
taking into account any potential exposure to counterparty risk and Wrong Way Risk.
• Confidently develop hedging programs for instruments of increasing complexity,
while recognizing the limitations of modelling approaches that abstract away from a
number of frictions affecting real world transactions.
Module outline:
Teaching and learning will be delivered through the use of lectures, readings, case studies
using real life examples and class discussion.
• Multinomial trees and option pricing.
• Replication, hedging, market completeness vs. incompleteness.
• Greeks and derivative portfolio risk management.
• Fixed Income Markets and Interest Rate models.
• Credit risk models and credit risky security valuation.
• Credit Default Swaps and Collateralized Debt Obligations.
• Counterparty risk modelling.
• Credit Valuation Adjustment (CVA) and Debt Valuation Adjustment (DVA).
• Wrong Way Risk.
• Multicurve valuation.
Assessment:
• Exam (80%)
43
3.12 Electives
There is a total of 27 contact hours for each elective. Electives are taught in the spring and
summer terms.
Students choose and complete 4 electives unless they get approval to do the Research Project
(rather than the Applied Project) in which case they only take 3 electives.
KEY ELECTIVES
A number of modules within your programme will be designated as “Key” electives. These
modules, whilst not compulsory, are considered to be central to your programme of study.
All students are required to choose a minimum of one ‘key’ elective.
ELECTIVES
Students should then choose three further electives (if completing the Applied Project) or two
further electives (if completing the Research Project).
These additional modules can be selected from either the “Key” Electives or the Electives
lists.
OPTIONAL ELECTIVES
Students who would like to learn more about C++ an optional module in the spring term.
Should you take and pass the optional C++ module, you will receive a certificate of completion.
Your mark will not count towards your final grade and that module will not appear in the official
transcript.
Students planning to take the Computational Finance with C++ module in the Summer
term must sit and pass the above C++ test at the end of the Spring term. You do not need to
be enrolled in the optional C++ module to sit the test.
FURTHER INFORMATION
You will receive full information about the process of choosing your electives, and details of
each module offered (including module outlines), via the Hub, during the autumn term.
Please Note: Not all combinations of electives are possible, as some electives run
concurrently. Normally, a minimum of 20 students need to be enrolled on an elective in order
for it to run. If fewer than 20 students have chosen a particular elective, it is at the discretion
of the Imperial College Business School elective committee if it will go ahead or not. Students
will be notified one week prior to the start of an elective if the minimum threshold to run the
module hasn’t been reached. Students affected will be asked to select an alternative
elective. Places will be made available on alternative elective choices.
44
3.13 Final Project
The vast majority of students are expected to complete the Applied Project which has a
practical focus and is designed for those who wish to pursue a career in a financial
institution. For the small number of students who wish to follow an academic career and
want to go on to a PhD programme, we offer the Research Project, which is more
appropriate for this context.
Applied Project
This is a project undertaken by you independently, which you will work on over the Spring
and Summer terms. In scope it is broadly equivalent to one elective and the work will be
presented in a report of between 3,000 words.
Typically, the Applied Project falls into one of these four categories:
• Corporate Investment Project

• Applied econometric or other type of quantitative analysis
• Writing and documenting new software for a financial application
• Accounting based topic
• Start-up valuation/business plan (limited availability)
You will be issued with a booklet covering possible Applied Project topics and guidelines in
December 2020. The final report must be submitted by 11 August 2021.
The Applied Project may involve an outside partner, such as a work placement sponsor or a
prospective employer. Students who are successful in obtaining an approved work
placement during July/August will automatically be transferred to the Applied Project (Work
Placement) module. Applied Projects (Work Placement) must be submitted by 25 August
2021.
Research Project
This is an original piece of academic financial research undertaken by you under the
supervision of a member of academic faculty. You will work on the research project during
the Spring and Summer terms and the research project must be submitted by 11 August
2021. In scope, the research project is broadly equivalent to two electives and the work will
be presented in a report of a maximum of 10,000 words. You will be issued with a booklet
on academic research project topics and guidelines in December 2020.
Plagiarism
If your completed MSc project is discovered to contain verbatim material from other sources
that have not been acknowledged, then this will be referred to the College authorities. If
plagiarism is found to have taken place, your MSc qualification may be withdrawn (e.g. even
if the plagiarism is discovered several years after submission). Please note that self-
plagiarism is also disallowed (e.g. reusing your own essay or your other thesis/dissertation).
The Business School has produced a short module on plagiarism and this is available on the
programme area on the Hub. This is a compulsory module and we expect you to have
completed it before you start writing your project report. You must also attend an additional,
compulsory workshop in the summer term.
45
Further information on plagiarism is available in Section 4.4 of this Handbook and in the
Academic Regulations & Policies document on the Hub.
Submission of your project
You must submit your project by the relevant deadline in August 2021. A plagiarism
detection software will be used to check and test your project for plagiarism.
Late submission
Late submission will be allowed only for reasons of mitigating circumstance such as serious
illness (supported by a medical certificate) or death of a near relative. Further details on
mitigating circumstances can be found in the 'Academic Regulations and Policies' document
on the Hub. The option to defer submission to the following year is not available. The
submission dates are inflexible deadline, so you should ensure you pace your work such that
you can easily meet it.
If you fail to submit your project, or submit late without mitigating circumstances, you will be
deemed to have failed your first attempt and will be given a further attempt in the next
academic session. Your re-submitted report will be capped at the pass mark. Research
Project students should also note that you will not have access to your academic supervisor
after the original deadline.
∗ Further details on mitigating circumstances can be found in the 'Academic Regulations

and Policies' document on the Hub.
46
4 INFORMATION FOR STUDENTS
4.1 Term Dates
The Department of Finance* dates for 2020/21 are:
September Term Monday 7 September 2020 Friday 2 October 2020

Test and Coursework Submission 5 - 9 October 2020
Autumn Term Monday 12 October 2020 Friday 11 December 2020
Exams 14 – 18 December 2020
Spring Term Monday 11 January 2021 Friday 12 March 2021
Exams 15 – 26 March 2021
Summer Term Monday 19 April 2021 Friday 18 June 2021
Exams 21 June – 2 July 2021
Research and Applied Project
Wednesday 11 August 2021
Submission deadline
Applied Project (Work-based)
Wednesday 25 August 2021
Submission deadline
Official End of Programme Sunday 29 August 2021
In addition, the following sessions will be held outside term time:
International Elective 1:
11 – 17 April 2021
Introduction to Quantitative Investing
* PLEASE NOTE:
The Department of Finance term dates may be different from other programmes in
the Business School and/or in the wider Imperial College. Please, therefore, refer to
the term dates above or those published on the Department of Finance webpages
only.
47
4.2 Student Year Planner
Accounting Primer
Introduction to Finance
Pre-study courses Finance Careers Primer
Plagiarism Awareness
Introduction to Maths
Activity Weeks Notes

Welcome Day w/c Aug 31 Welcome Day - Friday 4 September 2020
w/c Sept 7
September Foundation w/c Sept 14
Modules w/c Sept 21
w/c Sept 28
Assessment Week w/c Oct 5 Tests and coursework submission
w/c Oct 12
w/c Oct 19
w/c Oct 26
Autumn Term w/c Nov 2
Compulsory Modules w/c Nov 9
w/c Nov 16
w/c Nov 23
Elective Selection system open (23 November - 4 December 2020)
w/c Nov 30
Revision week w/c Dec 7 Revision classes take place
Exams w/c Dec 14 Autumn core module exams
w/c Dec 21
w/c Dec 28 College closure: 24 December 2020 - 3 January 2021
Christmas Holidays
w/c Dec 30 Business School facilities are closed in this period
w/c Jan 4
w/c Jan 11
w/c Jan 18
w/c Jan 25 Optional workshops
Spring Term scheduled in the first few weekends of spring term
w/c Feb 1
Compulsory Modules
w/c Feb 8
plus Elective Optional C++ module
w/c Feb 15 takes place throughout the Spring term
w/c Feb 22
w/c Mar 1
Revision week w/c Mar 8 Revision classes take place
w/c Mar 15 Spring core and elective exams
Exams Monday 15 - Friday 26 March 2021
w/c Mar 22
w/c Mar 29 College Closure: 1 April - 6 April 2021
Easter Holidays
w/c Apr 5 Business School facilities are closed in this period
International Elective w/c Apr 12
w/c Apr 19
w/c Apr 26
w/c May 3 Bank holiday: 3 May 2021
Summer Term
w/c May 10 Online Ethics & Professional
Electives
w/c May 17 Applied Project Presentations Standards in Finance module
plus Project work
w/c May 24 (Compulsory)
w/c May 31 Bank holiday: 31 May 2021
w/c June 7
Revision week w/c June 14 Revision classes take place
w/c June 21
Exams Summer elective exams
w/c June 28
w/c July 5
w/c July 12
w/c July 19
Applied or Research Project work w/c July 26
plus w/c August 2
optional work placements w/c August 9 Applied and Research Projects due by Wednesday 11 August 2021
w/c August 16
w/c August 23 Applied Projects (Work Placement) due by Wednesday 25 August 2021
w/c August 30 Bank holiday: Mon 30 Aug 2021
w/c Sept 13
Resit Exam Period
w/c Sept 20
Please note: Dates may be subject to change
48
4.3 Academic Director and Programme Team contact details
Students can contact the Academic Director for academic issues and they should contact
the Programme Team for all other issues.
Email: rmfe.programme@imperial.ac.uk
Programme Team Office: Room 3.05, 3rd Floor, 53 Princes Gate
Your Programme Team
Programme Coordinator (MSc RMFE)
Nicholas Dean
Room 3.05, 53 Princes Gate
Programme Manager (MSc RMFE)
Jess Frankland
Tel: 020 7594 1982
Academic Director (MSc RMFE)
Dr Lara Cathcart
Tel: +44 (0) 20 7594 9126
49
Programme Coordinator
Paulina Dyl
Tel: +44 (0)20 7594 0885
Programme Coordinator
Abi Tepania
Programme Manager
(returning early 2021)
Louise Rowland
Tel: +44 (0)20 7594 1647
Senior Programme Manager
Jason Murray
Tel: +44 (0)20 7594 1642
Programme Director
Chris Neill
Tel: +44 (0)20 7594 9110
50
4.4 Plagiarism and Cheating
Plagiarism is the presentation of another person’s thoughts, words, images or diagrams as

though they were your own. Another form of plagiarism is self-plagiarism, which involves
using your own prior work without acknowledging its reuse. Plagiarism may be intentional, by
deliberately trying to use another person’s work by disguising it or not citing the source, or
unintentional where citation and/or referencing is incorrect.
Plagiarism must be avoided, with particular care on coursework, essays, reports and
projects written in your own time and also in open and closed book written examinations.
Examples of plagiarism include:
• not referencing the source of your ideas or arguments when they are derived from
your reading,
• taking verbatim the words of someone else’s work and putting it into your work
without quotation marks and referencing,
• taking whole sections out of books, articles, lecture notes, other reports or students’
work, and including them in your report uncited.
When submitting your assessed coursework, via the Hub or in hardcopy, you will be required
to confirm that you have read and understood the definition of plagiarism. Submitting the
assignment will certify that the work presented is entirely your own, except where indicated.
This includes your final project or essay as well as all other assessed work.
Collusion
This is the term used for work that has been conducted by more than one individual, in
contravention of the assessment brief. Where it is alleged that there has been collusion, all
parties will be investigated. Sharing completed work with other students and allowing them
to copy is also considered collusion. There can be serious penalties for collusion, particularly
if it is found to have taken place in a remote examination.
Group work
Where plagiarism is detected in group work, members of that group may be deemed to have
collective responsibility for the integrity of work submitted by that group and may be liable for
any penalty imposed, proportionate to their contribution. You should, therefore, retain an
audit trail of your contribution, as proof of which team members contributed to each section
of the work. For this reason, it is also important that you contribute to all pieces of
groupwork. If plagiarism is proven in a group assignment and an audit trail provides
evidence that an individual did not contribute the plagiarised text, individuals will normally be
marked on their contribution to the overall piece of work. If, for whatever reason, a student
chooses not to contribute to an assignment, they increase the risk of scoring a zero for that
piece of work.
Plagiarism checks
All final year projects/reports/essays will be submitted to plagiarism detection software.

Random plagiarism checks will be made on coursework submissions.
Plagiarism penalties
Plagiarism is a serious offence. The External Examiners’ Board may penalise you for
plagiarism, and serious cases will result in an automatic failure of the coursework/project.
The Board reserves the right to take further action as it deems appropriate to protect the
good name of the School and the College, and this may involve expulsion of a student from
51
the programme or withdrawal of a degree award. Please note that there have been
instances in recent years where Business School students have committed Major Plagiarism
or have cheated in an examination and have been excluded from their programme.
If your completed project or essay is discovered to contain substantial amounts of verbatim

material from other sources that have not been acknowledged, then this will be referred to
the College. If plagiarism is found to have taken place, your degree qualification may be
withdrawn (even if the plagiarism is discovered several years after submission).
All students are expected to have:
• Satisfactorily completed the online module on plagiarism, available on the Hub

(examination marks will be withheld until this has been completed).
• Attended the plagiarism session organised by the Library in the Autumn term.
• Familiarised themselves with the recommended referencing style.
Additional information on how to reference correctly can be found in the Harvard

Referencing Guide. An electronic version of this guide and other referencing information can
be found on the Library’s website.
It is important that you learn how to properly attribute and acknowledge the work, data and
ideas of others. Students whose assessments can be shown to contain plagiarism are
subject to penalties as outlined in the College’s Misconduct Policy and Procedures.
You are expected to conduct all aspects of your academic life in a professional manner. A
full explanation of academic integrity, including information on the College’s approach to
plagiarism is available on the College website.
Proofreading
The Business School believes that academic writing is a specific skill and we encourage
students to spend time proof-reading their work in order to develop this skill; this is part of
studying for a degree. Students are advised not to use any third party proof-reader. It is
pivotal that the content of the work and the expression of ideas remains solely the work of
the student.
Referencing in examinations
It can be good to include short quotations in your answers, because those words were said
by someone important, or describe an idea particularly well. At other times, a short
quotation is helpful to illustrate an example. Where you refer to a particular piece of
academic work as the source of an idea (without actually directly copying any text), you will
gain credit if you show that you know which piece it is (by adding "(author name(s), date)"
as if you were writing a normal academic assignment). You do not need to do this for ideas
that are generally known (the earth goes round the sun...). However, if you simply copy
large amounts of material in your answer, examiners will assume that this is because you
do not understand it well enough to write it in your own words.
When preparing for an exam, many students might learn information word-for-word.
Referencing is expected if you repeat this material in your examination paper. You should
acknowledge the source (e.g. book, article, webpage, lecture slides, lecture notes etc.) and
attempt to paraphrase the text, in order to apply it to the question being asked. If you would
prefer to use the original text then quotation marks should be used, in addition to citing the
source.
Please be aware that if large sections of unreferenced text are found within a student’s
examination paper it may be necessary to conduct a viva, in order to ascertain whether the
52
material has been copied or memorised. Even if it is determined that the material has been
memorised, then this would still constitute plagiarism if the source is not acknowledged. It is
also very unlikely that a large amount of pre-learned material (as opposed to a short
definition or key quotation) would help you to write a good answer to the question actually
set by the examiner.
4.5 Group Work and Peer Review
All Business School programmes require students to work in study groups. Study groups are
responsible for joint work (including assessed work) in the form, for example, of case study
preparation and reports, essays, and class presentations.
You should be aware that you have a collective responsibility for the integrity of the piece of
group work submitted for assessment. This means that if part of the work is plagiarised, all
group members will be held accountable unless proof can be provided by each member of
their contribution. You should, therefore, retain an audit trail of your contribution for this
purpose. You should also retain documentation relating to the decisions taken on who will
contribute what to a piece of work as this may also be requested by markers.
Groups are responsible for how they allocate workload and contribution for a particular piece
of group work. Whilst doing this, students should leverage the strengths of their team
members in order to produce the best piece of work in the most efficient way. However,
regardless of how you decide to split the work across your team members you should be
aware that, as stated above, all team members have a “collective responsibility” for the final
piece of work submitted and all team members will normally get the same grade. The most
substantial element of each module is normally assessed individually – usually a formal
examination. So you should not feel that you are not being given an opportunity to
demonstrate your personal knowledge and skills.
The School operates a system of peer assessment when grading group work. This is to
address the issue of ‘free-riders’ (students who do not make a reasonable contribution to the
final piece of work). The peer assessment system is not meant to be used as a way of
penalising someone who you feel is weaker in some way, for example whose English or
subject knowledge is not as strong as other group members.
The peer assessment systems works in the following way. A grade will be awarded for a
piece of group coursework overall. A student’s individual mark, however, will depend on the
effort their team members think they have put in. Your Programme Team will go through the
details of the peer assessment process when your first piece of group work is due.
Any student whose work is to be marked down as a result of the peer assessment may be
asked to meet the Programme Director, Senior Programme Manager or Programme
Manager. Their contribution to the piece of work will then be discussed. This stage is a
precaution to ensure that individual students are not being victimised by the rest of their
group. If there is evidence to suggest that an individual student is being victimised then the
rest of the group will be penalised.
4.6 Module Excellence Surveys (MODES)

At the end of every module you will be asked to complete a survey in order for you to provide
feedback. The surveys will give you the opportunity to rate the module content and
instructor(s) and also give written comments on the learning environment and module
overall. The School issues a survey per instructor and at the end of each term students are
also asked to score and comment on the term as a whole. A link to the surveys can be found
in the external links section of both the module itself and the programme area on the Hub.
You will also receive a link to the surveys via email. In some instances lecturers may prefer
to have students fill in a paper survey at the end of the final class. By the link in the
53
programme area you will also see a link to a short video called ‘Making Feedback Effective’.
We would appreciate it if you would please take the time to watch it before completing your
first set of MODES surveys.
The MODES feedback is taken very seriously and is used to identify examples of good
practice and highlight areas that could be improved. The School really appreciates your
support in completing the surveys. If only a small number of students respond, the feedback
will not truly reflect the general thoughts of the cohort and therefore be less valid. MODES
results are passed onto the lecturers, Academic Director, Programme Director, Department
Heads, the Dean and the Associate Dean. Your feedback is completely anonymous and is
not given to Faculty until they have completed and submitted their marking, so you can be
assured that the feedback you provide will have no influence on the grades you receive.
Once they have received the feedback, your Programme Director will post a response to the
themes and issues raised in the MODES on the Hub.
Programmes achieving a 70% response rate, averaged across all modules in the term, will
receive an additional £5 per head for each student that responds into the programme’s
social fund. Alternatively, this amount can be donated to a charity of the programme’s
choice – to be decided by the Staff & Student Committee following consultation with the
cohort.
The response rate will be calculated using an average across all surveys for that programme
in each term. For example if there are 6 modules in a term (say 3 in each block), then the
overall response rate will be an average of the response rate for the 6 modules combined.
Students need to have completed the surveys for all of their modules, including the term
overall survey, to be counted in the additional per head allocation of funds.
Surveys for optional workshops will not be included.
Those programmes which beat the response rate for the same term in the previous
academic session (2019/20) but do not achieve the 70% response rate average, will receive
£2.50 per head for each student that responds for the programme’s social fund/ donation to
charity (a minimum 33% response rate needs to be achieved to be eligible).
Daily response rate updates will be provided to the Chair, Academic and Social
Representatives of your SSC.
4.7 Global Skills Development
Global Skills Development provides a range of year-round, face-to-face and online, study-
skills support tailored to the needs of Business School students.
Our provision includes:
• workshops on working in teams and cross-cultural competence

• weekly global business news discussion groups
• 1-to-1 English language support
• programme specific writing and presentation workshops
• a range of 1-to-1 study skills consultations
• presentation rehearsals
• language checks for CV and cover letters
• Online study skills modules (HUB login required)
For more information about Global Skills Development click here

Or contact Jim McCloskey: j.mccloskey@imperial.ac.uk
54
5 FINANCE DEPARTMENT CONTACT DETAILS
Module(s) taught on Department of Finance

Lecturer Details
Programmes
Allen, Franklin
Email: f.allen@imperial.ac.uk
Brevan Howard Centre Director
Office: 53 Prince’s Gate, Room 2.05B
Tel: +44 (0)20 7594 9195
Arasaratnam, Kieran
Email: k.arasaratnam@imperial.ac.uk Professor of Practice
Office: 53 Prince’s Gate, Room 5.08A
Bartolucci, Silvia Research Associate (CFT Appointment)
Email: s.bartolucci@imperial.ac.uk Blockchain and Crypto Assets (MS c Finance,
Office: 53 Prince’s Gate, Room 3.05 MSc RMFE, MSc FinTech, MSc F&A)
Bhamra, Harjoat
Email: h.bhamra@imperial.ac.uk Associate Professor of Finance
Office: 53 Prince’s Gate, Room 4.03 Derivatives (MSc Finance, MSc IWM)
Tel: +44 (0)20 7594 9077
Associate Professor of Actuarial Finance
Biffis, Enrico Financial Engineering (MSc RMFE)
Email: e.biffis@imperial.ac.uk Insurance (MSc FinTech, MSc F&A, MSc IWM,
Office: 53 Prince’s Gate, Room 3.03 MSc RMFE)
Tel: +44 (0)20 7594 9767 Accounting and Corporate Finance (MSc
FinTech)
Bot-Vos, Jolande
Email: j.vos@imperial.ac.uk
Senior Teaching Fellow
Office: ACE Extension, Room 461A
Tel: +44 (0)20 7594 3041
Buraschi, Andrea Chair in Finance
Email: a.buraschi@imperial.ac.uk Asset Allocation & Investment Strategies
Office: 53 Prince’s Gate, Room 2.05D (MSc Finance, MSc FinTech, MSc RMFE, MSc
Tel: +44 (0)20 7594 1818 IWM)
Advanced Options Theory
Cathcart, Lara (MSc Finance, MSc FinTech, MSc IWM, MSc
Academic Director: MSc Financial Technology, RMFE)
MSc Finance & MSc RMFE Fixed Income Securities
Email: l.cathcart@imperial.ac.uk (MSc Finance, MSc FinTech, MSc IWM, MSc
Office: 53 Prince’s Gate, Room 3.09 RMFE)
Tel: +44 (0)20 7594 9126 Market and Securities
(MSc RMFE)
Chemla, Gilles
Email: g.chemla@imperial.ac.uk
Professor of Finance
Office: 53 Prince’s Gate, Room 3.04
Tel: +44 (0)20 7594 9161
Custodio, Claudia
Email: c.perdigao-dias-custodio@imperial.ac.uk Associate Professor of Finance
Office: 53 Prince’s Gate, Room 4.09 Topics in Corporate Finance (MSc IWM)
Tel: +44 (0)20 7594 9249
Della Corte, Pasquale Associate Professor of Finance
Email: p.dellacorte@imperial.ac.uk International Finance
Office: 53 Prince’s Gate, Room 5.01 (MSc Finance, MSc F&A, MSc IWM, MSc RMFE,
Tel: +44 (0)20 7594 9331 MSc FinTech)
Distaso, Walter Financial Econometrics
Email: w.distaso@imperial.ac.uk (MSc Finance, MSc IWM)
Office: 53 Prince’s Gate, Room 3.02 Applied Econometrics (MSc F&A)
Tel: +44 (0)20 7594 3293 Financial Modelling (MSc F&A)
Fernando, Jeremy
Email: j.fernando@imperial.ac.uk Senior Teaching Fellow
Office: ACE Extension, Room 460 Management Accounting (MSc F&A)
Tel: +44 (0)20 7594 3130
Teaching Fellow
Gao, Liam
Application of R for Finance (MSc Finance, MSc
Email: j.gao@imperial.ac.uk
F&A, MSc FinTech, MSc IWM, MSc RMFE)
Visiting Lecturer
Giannitsarou, Chrissie
Macro Economics (MSc IWM)
Text Mining for Economics and Finance (MSc
Hansen, Stephen
Finance, MSc FinTech, MSc RMFE, MSc IWM)
Hansman, Chris
Assistant Professor of Financial Economics
Email: c.hansman@imperial.ac.uk
Empirical Finance: Methods & Applications (MSc
Office: 53 Prince’s Gate, Room 5.01B
RMFE)
Tel: +44 (0)20 7594 1044
Professor of Finance and Econometrics
Ibragimov, Rustam Advanced Financial Statistics
Email: i.rustam@imperial.ac.uk (MSc Finance, MSc F&A, MSc IWM, MSc RMFE,
Office: 53 Prince’s Gate, Room 4.09A MSc FinTech)
Tel: +44 (0)20 7594 9344 Financial Econometrics in R/Python (MSc
FinTech)
Iyer, Raj
Associate Professor of Finance
Email: r.iyer@imperial.ac.uk
Advanced Corporate Finance
(MSc Finance, MSc F&A)
Tel: +44 (0)20 7594 9617
Kacperzcyk, Marcin
Email: m.kacperzcyk@imperial.ac.uk Professor of Finance
Office: 53 Prince’s Gate, Room 2.02 Investments and Portfolio Management (MSc
Tel: +44 (0)20 7594 2635 Finance, MSc IWM)
Assistant Professor of Finance

Khorrami, Paymon
Maths for Finance
Email: p.khorrami@imperial.ac.uk
(MSc Finance, MSc IWM, MSc FinTech)
Kosowski, Robert
Associate Professor of Finance
Email: r.kosowski@imperial.ac.uk
Investments and Portfolio Management
Office: 53 Prince’s Gate, Room 5.01C
(MSc Financial Technology, MSc RMFE)
Tel: +44 (0)20 7594 3294
Michaelides, Alex
Email: a.michaelides@imperial.ac.uk Head of Department of Finance
Office: 53 Prince’s Gate, Room 5.02 Macro Finance (MSc Finance)
Tel: +44 (0)20 7594 9177
Miles, David
Email: d.miles@imperial.ac.uk Investments and Portfolio Management
Office: 53 Prince’s Gate, Room 4.04 (Msc F&A)
Tel: +44 (0)20 7594 1292
Millossovich, Pietro Visiting Lecturer
Email: p.millosovich@imperial.ac.uk Stochastic Calculus for Finance (MSc RMFE)
Professor of Entrepreneurial Finance
Nanda, Ramana (Visiting)
Entrepreneurial Finance (MSc Finance, MSc
Email: ramana.nanda@imperial.ac.uk
FinTech, MSc F&A, MSc IWM, MSc RMFE)
Pagnotta, Emiliano
Email: e.pagnotta@imperial.ac.uk Assistant Professor of Finance
Office: 53 Prince’s Gate, Room 5.09 Corporate Finance (MSc Finance, MSc F&A)
Tel: +44 (0)20 7594 0939
Peydro (Alcalde) Jose Luis Professor of Finance
Email: j.peydro-alcalde@imperial.ac.uk Banks, Regulation & Monetary Policy
Office: 53 Prince’s Gate, Room 5.07 (MSc Finance, MSc F&A, MSc IWM, MSc RMFE)
Tel: +44(0)20 7594 5918
Peura, Heikki
Data Structures and Algorithms with Python
Email: h.peura@imperial.ac.uk
(MSc RMFE, MSc FinTech)
Office:Business School, 3rd Floor, Room 394
Professor of Financial Economics
Ramadorai, Tarun
Big Data in Finance 1
Email: t.ramadorai@imperial.ac.uk
(MSc Finance, MSc IWM, MSc RMFE, MSc
FinTech)
Schoar, Antoinette
Email: a.schoar@imperial.ac.uk
Office: 53 Prince’s Gate, Brevan Howard Professor of Financial Economics
Centre
Tel: +44 (0)20 7594 9094
Sefton, James
Academic Director: MSc F&A, MSc Fintech
Accounting & Valuation (MSc F&A)
and MSc IWM
Business Valuation (MSc Finance, MSc FinTech)
Email: j.sefton@imperial.ac.uk
Introduction to Project Valuation (MSc IWM)
Tel: +44 (0)20 7594 9128
Sundaresan, Savi
Assistant Professor
Email:
Fundamentals of Derivatives (MSc F&A)
Office: 53 Prince's Gate, Room 5.01A
Professor of Practice
Wells, Mike
Financial Accounting (MSc F&A)
Email: mike.wells@imperial.ac.uk
Contemporary Financial Accounting (MSc F&A)
Zaffaroni, Paolo Financial Modelling
Email: p.zaffaroni@imperial.ac.uk (MSc Finance, MSc F&A, MSc IWM, MSc RMFE)
Office: 53 Prince’s Gate, Room 4.02 Financial Statistics
Tel: +44 (0)20 7594 9186 (MSc RMFE)
VBA (MSc RMFE)
Zis, Thalis VBA (Optional)
Email: thalis.zis09@imperial.ac.uk (MSc Finance, MSc FinTech, MSc F&A, MSc
IWM)
6 Indicative Module List
Compulsory
Group
Code Module Title / Term Credits
*
Elective
Pre-
BUSI97080 Introduction to Maths Optional
sessional
0.00
Pre-
BUSI97081 Introduction to Finance Optional
sessional
0.00
BUSI97052 C++ Optional SP 0.00
BUSI97178 Plagiarism Awareness Required September 0.00
BUSI97177 Study Skills Required September 0.00
BUSI97155 Careers Required September 0.00
Required Pre- 0.00

BUSI97289 Accounting Primer
sessional
BUSI97582 Finance Careers Primer Required Aug 0.00
BUSI97176 Ethics and Professional Standards in Finance Required SU 0.00
Foundations in Risk Management & Financial

BUSI97592 Engineering
Compulsory Sept 7.50
BUSI97151 Empirical Finance: Methods & Applications Compulsory A SP 7.50
BUSI97149 Financial Engineering Compulsory A SP 7.50
BUSI97138 Financial Statistics Compulsory A AU 7.50
BUSI97141 Investments and Portfolio Management Compulsory A AU 7.50
BUSI97148 Risk Management and Valuation Compulsory A AU 7.50
BUSI97144 Stochastic Calculus for Finance Compulsory A AU 7.50
BUSI97140 Visual Basic Optional A SP 0.00
BUSI97143 Advanced Financial Statistics Elective B SP 7.50
BUSI97042 Advanced Options Theory Key Elective B SU 7.50
BUSI97075 Applied Trading Strategies Elective B SU 7.50
BUSI97059 Asset Allocation & Investment Strategies Key Elective B SP 7.50
BUSI97069 Banks, Regulation & Monetary Policy Elective B SU 7.50
BUSI97066 Big Data in Finance I Elective B SP 7.50
BUSI97541 Big Data in Finance II Elective B SU 7.50
BUSI97607 Blockchain and Crypto Assets Elective B SU 7.50
BUSI97153 Computational Finance with C++ Key Elective B SU 7.50

BUSI97604 Corporate Governance and Stewardship Elective B SU 7.50
BUSI97050 Credit Risk Key Elective B SU 7.50
BUSI97156 Enterprise Risk Management Elective B SU 7.50
BUSI97606 Entrepreneurial Finance Elective B SP 7.50
BUSI97044 Fixed Income Securities Key Elective B SU 7.50
BUSI97157 Insurance Key Elective B SU 7.50
BUSI97045 International Finance Elective B SP 7.50
Introduction to Quantitative Investing (International B

BUSI97067 Elective)
Elective SU 7.50
BUSI97608 Machine Learning & Finance Elective B SU 7.50
BUSI97051 Private Equity and Venture Capital Elective B SU 7.50
BUSI97139 Structured Credit and Equity Products Elective B SU 7.50
BUSI97605 Text Mining for Economics and Finance Elective B SP 7.50
BUSI97068 Innovation and Strategy in Fintech Elective B SU 7.50
BUSI97063 Wealth Management & Alternative Investments Elective B SU 7.50
B SU/SUP
BUSI97142 Applied Project Elective 7.50
B SU/SUP
BUSI97154 Applied Project (Work Placement) Elective 7.50
B SU/SUP
BUSI97137 Project Elective 15.00
Credit Total 90
Imperial College Business School

South Kensington Campus
London SW7 2AZ
United Kingdom
imperial.ac.uk/business-school
Imperial College Business School
South Kensington Campus
London SW7 2AZ
United Kingdom
imperial.ac.uk/business-school

MSC Risk Management & Financial Engineering Programme Handbook 2020.21

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MSC Risk Management & Financial Engineering Programme Handbook 2020.21

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MSc Risk Management &

Financial Engineering 2020–21

Welcome from Academic Director

I am delighted to welcome you all to the 2020/2021 MSc in Risk

The Hub is the Business School’s bespoke on-line learning

We hope you all have a fruitful year at Imperial.

With best wishes

MSc Risk Management and Financial Engineering: AIMS AND OBJECTIVES

• Demonstrate a detailed knowledge of fundamental finance theories and models

• The nature of risks faced by financial firms;

Category Description Example

Financial Statistics Compulsory 15% BUSI97138

Term Element Compulso Coursework Module Deadlines

Further information is available in the Electives section of this handbook.

Module Element Assessment Weighting

Application of R for To be assessed by 50%

Data Structures &

Markets and To be assessed by 100%

A pass in Foundations in Risk Management & Financial Engineering module is a

70 – 84% Marks represent a distinction performance

60 – 69% Marks represent a merit performance demonstrating a clear grasp of the

50 – 59% Marks represent a pass performance demonstrating an adequate grasp of

40 – 49% Marks represent a fail performance.

30 – 39% Marks represent a fail performance (with significant shortcomings).

0 – 29% Marks represent a fail performance (with major shortcomings).

In addition, the following guidance is provided to Faculty in relation to projects:

70% + A mark of this level corresponds to a distinction

60 - 69% A mark of this level corresponds to a merit.

3.5.1 Assessment Schemes for MSc RMFE

There are three module groups;

3.5.2 Marking and Exam Papers

Dr. Rohit Rahi London School of Economics

A candidate may be required to re-sit for the following reasons:

Information on re-sitting examinations, resubmitting coursework, resit/resubmission fees,

Below is the list of prizes* currently available to students:

Dean’s Community Award for Students

There are six categories:

*All prizes are subject to change and to College approval

3.7.1 Professional Risk Managers’ International Association (PRMIA)

MSc RMFE is accredited by PRMIA (Professional Risk Managers’ International Association).

Learn more about the PRM Designation program requirements at https://prmia.org/prm

The benefits of being a PRMIA Sustaining Membership include:

Students are required to complete the following online modules:

Before your arrival at the School:

1. Accounting Primer (Required)

5. Plagiarism Awareness module (Required)

6. Ethics and Professional Standards in Finance (Required)

It is a Business School requirement that you complete module 5 above.

On completion of the module, students will:

• The balance sheet

1) An understanding of the finance recruitment market, to answer the following

3) Information on the preparation needed ahead of September in order for them to be in

Pass/fail based on 100% attainment of all the elements below:

• Approved CV being uploaded on VMOCK and achieving the Imperial College

• Use the time value of money to value assets

• Take derivatives and integrate simple commonly encountered functions

After working through this module, you should:

This module aims to introduce students to corporate responsibility and professional

Foundations in Risk Management & Financial Engineering

1. Application of R for Finance

2. Data Structures and Algorithms with Python

4. Markets and Securities