Brunel University Offers Master of Science in Modeling and Risk Management

At Brunel University in West London, a full-time, one-year Masters of Science degree is offered in modelling and management of risk. The program is run out of the Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA) at Brunel which is headed by Professor Gautam Mitra. While the emphasis of the program is very much on financial risk modelling and management, it also covers and considers related risk fields such as environmental and industrial risk.

The program consists of five study modules: Risk Overview, Regulation and Environmental Risk; Applied Risk Modelling and Optimisation in Financial Planning; Financial and Treasury Management; Risk Simulation and Decision Analysis. Although the assessment of the modules follow the traditional mix of examination and courseworks, the students are also involved in writing white papers which are published on the web. The final piece of assessment is a dissertation based on an independent research project. “The research projects are based both on ideas developed within CARISMA and in conjunction with commercial enterprises such as financial institutions who sponsor projects” says Professor Mitra. “These projects are conducted during the final four months of the program- June to September and are supported by an academic member of staff”. Typical projects in the past have looked at portfolio optimization for merchant banks. Issues of effectively managing large investment funds leads to challenging problems to be solved. Students in the past have developed heuristics providing good solution engines for these problems.

One new aspect of the Brunel program is its partnership with 7city Learning in London. 7city provides training and tutorial preparation services for several highly regarded professional accreditation programs such as the Certificate in Quantitative Finance (CQF) and the Professional Risk Manager (PRM) accreditation from the Professional Risk Manager International Association (PRMIA). The partnership allows students to study for either program at a substantial discount versus normal fees. According to Professor Mitra, he expects most students will opt to participate in either CQF or PRM training and examinations, given the focus of their educational program on risk management.

There are currently fifteen students enrolled in the MSc Program for modelling and management of risk. The program begins at the end of September each year and concludes twelve months later. 40% of the student body comes from Europe and the remaining 60% from developing countries, notably India, China and Pakistan. Tuition is approximately US$8,000 for UK and European Union residents and $16,000 for students outside this region. (These fees do not include optional programs such as the CQF or PRM training)

Graduates of the Brunel program are employed in a variety of industries and job functions. Many find employment with major banks and financial institutions in Europe or the student’s home country. Others become risk officers in multi-national corporations and still others find employment in governmental regulatory agencies and organizations charged with oversight of financial risk management regulations.

Professor Mitra emphasizes that while the program name implies a highly quantitative curriculum, there is also a strong emphasis placed on the regulatory aspects of global risk management and the qualitative factors that are so important as inputs and judgments to any modelling problem. In addition, the program does not simply deal with risk modelling but goes on to teach how risk models combined with optimization decision modelling lead to powerful risk management systems. CARISMA is especially well-known for stochastic optimization techniques which, together with more traditional deterministic optimization tools (e.g. linear & integer programming) are taught to students. “Stochastic optimization really began in finance and is now finding increasing interest in other fields” says Mitra “and the research we have pursued at CARISMA makes us one of the leading thought centers for this field”.

The primary software tools which students are taught to use during the program include S-Plus, AMPL, AMPL Studio and its stochastic extension SAMPL Mitra notes that AMPL was originally developed by Lucent Technologies in partnership with Northwestern University in the U.S. CARISMA researchers use it for projects in portfolio planning, Asset and Liability Management and related problems.

The masters program is housed within CARISMA which was established in 2001. The Centre has approximately 30 Ph.D. students of whom about half are working in areas related to the curriculum of the modeling and risk management program. A key area of emphasis at CARISMA is research and specifically applied research funded by financial institutions such as UBS Investment HBOS Insight Fidelity Investments to name just three. Research funding and grants are also obtained from government organizations such as the European Union and Department of Trade & Industry.

The faculty teaching on the program are all actively involved with projects in finance. Below we introduce the course director and the two professors involved with the masters.
Dr Cormac Lucas is the Course Director whose research interests are in heuristic methods for practical portfolio management. Professor Gautam Mitra is the Director of CARISMA and researches in stochastic programming, chance constraint programming, quadratic programming as well as risk modelling and optimum risk decisions. In particular, he is involved in projects concerning portfolio planning, asset and liability management. Professor John Beasley is Deputy Director of CARISMA. His research interests are in combinatorial optimisation He has developed heuristics for solving index tracking problems and is well known for enhanced indexation.

CARISMA recently added three distinguished visiting faculty to its team: They are Dilip Madan, who is a professor of finance at the University of Maryland, Dan DiBartolomeo, who is the CEO of Northfield Information Service in Massachusetts, and Jason Macqueen, who is a Visiting Scholar. The Centre also hosts a two day annual conference each year complete with workshops on the selected topic. This year’s conference focuses on program trading and financial models for hedge funds with special emphasis on the use of algorithmic trading techniques. According to Professor Mitra, this conference is a good example of the type of research that CARISMA is known for. This expertise translates directly to the subject matter and skills taught in the Master of Science program CARISMA offers for modelling and risk management. Each year CARISMA organizes two workshops. One on discrete optimization and (stochastic) optimization under uncertainty. The second workshop is on the topic of computational models for continuous time finance. These workshops are attend by PhD students, academics and quantitative analysts from the finance industry.

For further information on the Brunel program, CLICKHERE

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