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You are here Programmes > Masters Programmes > MSc in Financial Risk Management > Timetable and Modules

Timetable and Modules

Classes are run throughout the academic year over two semesters: September - December and January - April.


Michaelmas Term
Hilary Term
Trinity Term
Credit Risk Market Risk Dissertation - this project allows students to showcase the knowledge they have gained and enhance their career potential by specialising in a particular area.
Corporate Finance Operational Risk
Mathematics of Contingent Claims Risk Quantification and Measurement
Derivatives
Credit and Fixed Income Instruments

Electives (choose four)

NB - Timetable and modules are subject to change. Information correct as of 18/19.

Module Descriptions

Credit Risk (5 ECTS)
This course analyses credit risk management in the modern global economy – how it arises, how it is managed and the critical impact that effective and ineffective management can have on the Global financial system and hence on the Global Economy. Fundamental Credit Analysis is examined as well as market based measures and how these measures interact. The evolving regulatory landscape is also examined in the context of the new measures proposed to mitigate some of these risks and to limit future shocks to the global financial system

Having successfully completed this module, the student should be able to:

  • Understand the nature of credit risk, the types of transactions in which it arises and how it is typically managed;
  • Understand the critical importance of how credit risk is managed in the main international financial institutions and the principles of good governance;
  • Understand measurement issues including exposure measurement, probability of default, expected loss and how modelling techniques can be used to estimate these measures;
  • Compare and contrast fundamental credit analysis and market measures such as bond prices and Credit Default Swap prices;
  • Appreciate how proposed new regulatory measures are intended to mitigate risks in the system and how they are currently being implemented in practice.

Lecturer: Catherine Keane

Corporate Finance (5 ECTS)
The aim of the course is to provide students with an outline of the main issues in corporate finance. Corporate finance concerns itself with three main issues: how corporations choose investments (real and financial) using the principles of capital budgeting, how corporations choose to raise capital (in particular the choice of a mixture of debt and equity securities) and how they then choose to redistribute any surplus earned by the deployment of these capital resources (dividend decisions). At the heart of corporate finance is the concept of the cost of capital, an area that despite several decades of research, at least three Nobel prizes and thousands of research papers is still at one and the same time a simple concept and one that is exceedingly difficult to operationalise.

Having successfully completed this module, the student should be able to:

  • Construct models of the main issues facing a corporate entity in its decisions on corporate finance;
  • Evaluate and calculate a company, division or unit cost of capita, including the underlying elements;
  • Evaluate and propose alternative capital structures and dividend policies for corporate entities;
  • Utilise the tools of investment appraisal to suggest a capital investment process.

Lecturer: Brian Lucey

Mathematics of Contingent Claims (5 ECTS)
The module aims to introduce the mathematical foundation for understanding uncertainty, risk and expectation values of random events and processes. These ideas will later be developed to describe models of financial systems that incorporate randomness and predict expected future values and risks.

Having successfully completed this module, the student should be able to:

  • Describe random events and processes in mathematical probability models;
  • Perform calculations and make predictions from probabilistic models;
  • Describe statistical properties of samples of random variables;
  • Construct mathematical models of simple stochastic dynamical systems and make predictions from these models;
  • Describe the Monte Carlo method and carry out simple computations using the technique.

Lecturer: Michael Peardon

Derivatives (5 ECTS)
This module examines the primary types of derivatives (forwards, futures, options and swaps), shows how they are used to achieve various hedging and speculating objectives, outlines a framework for pricing derivatives and studies several applications of derivative pricing techniques outside derivative markets.

Having successfully completed this module, the student should be able to:

  • Provide an understanding of derivatives and introduce the analytics of derivative valuation;
  • Demonstrate how to value forward, futures, swaps and options;
  • Describe and appraise how derivatives can be used to achieve various hedging and speculative strategies;
  • Discuss various types of derivatives such as options on stock indices and currencies, futures options and exotic options;
  • Evaluate previous derivative mishaps and what we can learn from them.

Credit and Fixed Income Instruments (5 ECTS)
The aim of this course is to provide students with the required knowledge in managing fixed income and credit instruments in investment portfolios. It encompasses the basics of the various debt vehicles, their valuation and how to use them. Respective derivative instruments and hedging practices are also covered.

Having successfully completed this module, the student should be able to:

  • Describe and differentiate the various types of credit and fixed income instruments;
  • Explain the risks related to these investment vehicles and how to manage them;
  • Evaluate various types of bonds and assess the factors affecting their price;
  • Describe the main types of assets-backed securities;
  • Explain the main fixed income derivatives and their use;
  • Differentiate the various credit instruments;
  • Explain the main credit derivatives and their use;
  • Contrast Sukuk with bonds.

Lecturer: François E. Aubert

Market Risk (5 ECTS)
This module provides an overview of market risk, focussing on the market risk measurement and management for financial institutions. The module intends to provide both theoretical underpinning and some understanding of practical issues which may face market risk managers at commercial or investment banks, fund managers (traditional and alternative) or pension funds.

Having successfully completed this module, the student should be able to:

  • Identify different types of market risk to which a financial institution or other firm may be exposed (e.g., investment portfolio, trading portfolio, translation, banking book, pension);
  • Describe the key characteristics of different types of market risk and how these characteristics affect how different types of market risk are measured and managed;
  • Define major market risk measurement methods, including sensitivities, stress & scenario analysis, VaR and ES, and discuss their strengths and weaknesses;
  • Describe the key decisions and approximations to be made in historical simulation VaR (functional form, lookback period, weightings, P&L estimation) and analyse the impact of such decisions;
  • Calculate parametric (variance-covariance) VaR, including methods for estimating correlations and standard deviations;
  • Understand basic time series models, namely AR, GARCH and EWMA, which can be used for parameter estimation;
  • Describe the key market risk factors associated with vanilla financial instruments (bonds, swaps and swaptions; FX spot, swaps and options; equities and equity options; and CDS;
  • Describe some of the key developments in market risk practice and regulation, including the Fundamental Review of the Trading Book.

Lecturer: Daniel Hoyt

Operational Risk (5 ECTS)
TBC

Risk Quantification and Measurement (5 ECTS)
The aim of this course is to give an introduction to the mathematical tools used in basic derivative pricing in discrete and continuous time. Topics covered will include arbitrage, binomial trees, Brownian motion, Ito calculus, analytic and numerical solution of stochastic differential equations, the Black-Scholes-Merton equation and basic interest rate models.

Having successfully completed this module, the student should be able to:

  • Use binomial trees to price European options;
  • Distinguish between discrete and continuous time models;
  • Define Brownian motion and derive its main properties;
  • Define and use an Ito integral;
  • Analytically solve basic financially relevant stochastic differential equations;
  • Numerically solve basic stochastic differential equations.

Lecturer: Dr. Darach Golden

Treasury Management (5 ECTS)
The aim of this module is to gain an understanding of the ways in which corporations manage financial risks, funding and liquidity. The module is made up of two parts. The first part focuses on key functions of treasury departments in industrial companies: hedging of commodity and exchange rate risks as well as debt financing. The second part examines how banks manage liquidity and interest rate risk arising from their intermediation activities.

Having successfully completed this module, the student should be able to:

  • Understand the role of treasury and identify the various risks as well as appropriate treasury policies and controls;
  • Understand how derivatives can be used to hedge foreign exchange and commodity risks;
  • Understand the credit rating process and its determinants;
  • Appreciate why banks are especially vulnerable to liquidity risk and learn how to manage this risk;
  • Recognise that banks’ net interest margin is exposed to many risks and learn how banks manage interest rate risk in the banking book.

Lecturers: Gunter Löffler and Brian O’Kelly

Trading Psychology and Behavioural Analysis (5 ECTS)
Candidates will be connected directly to our Amplify Trading’s London trading floor as they research, analyse and strategise for each trading decision made. Students will be encouraged to explore the practical implications of contemporary financial market theory

Having successfully completed this module, the student should be able to:

  • Understand the different objectives and pressures on buy-side and sell-side trading operations;
  • Communicate with confidence how asset values have been impacted by behavioural factors in 2018/19;
  • Appreciate their own strengths and weaknesses within different roles within the industry, helping them better align a career path to skill-set;
  • Understand through practice the impact of liquidity and volatility on market makers;
  • Understand through practice how to operate in quote and order driven markets;
  • Manage risk within an environment of uncertainty;
  • Appreciate the impact of technical levels;
  • Understand the challenge ahead for central bank communication and stability;
  • Understand the importance of relationship management in order for an investment bank to facilitate client flow.

Lecturer: William de Lucy

Portfolio and Wealth Management (5 ECTS)
TBC

Financial Markets and Institutions (5 ECTS)
In this module we will discuss:

  • The role of a well-functioning financial system;
  • The main types of financial institutions and financial markets are described;
  • The role of national and supranational financial institutions, and their involvement in recent events in financial markets;
  • Financial crises’ that have occurred in recent decades, their causes and their effects;
  • The role of regulation and the regulatory changes that have been implemented to attempt to prevent future crises.

Having successfully completed this module, the student should be able to:

  • Understand the role of the financial system and its importance to a well-functioning economy;
  • Describe the main financial assets and the markets in which they are traded;
  • Understand the role of the main financial institutions and the purpose they are designed to serve;
  • Describe some of the financial crises that have occurred, their causes and effects and the regulation that has been put in place to try to prevent future crises.

Lecturer: Martha O’Hagan-Luff

Financial Modelling and Scenario Analysis (5 ECTS)
One of the most commonly used tools to analyse quantitative problems in the finance industry is Microsoft Excel. This course presents several typical situations where financial and/or business models are required to analyse the question at hand. This course shows how appropriate models can be developed and solved using Excel and its embedded Visual Basic for Applications (VBA) programming language. The students are taught how to design and develop financial models for solving complex financial problems. Applications include forecasting financial statements, estimating costs of capital, decision making under uncertain conditions, computing covariance matrices, constructing efficient portfolios, pricing financial options, performing fixed income analytics.

Having successfully completed this module, the student should be able to:

  • Apply theories and concepts to study financial problems;
  • Develop useful models to analyze and solve financial problems;
  • Use Excel to implement spreadsheet solutions for financial models;
  • Evaluate decisions made using Excel solutions;
  • Develop social skill to interact and cooperate effectively with others.

Lecturer: Dr Ranadeva Jayasekera

Panel and Cross Sectional Data Analysis (5 ECTS)
This module has two broad objectives: (1) To enhance students’ state-of-the-art knowledge on advanced econometrics and application in a rapidly growing field of study – the panel data – which combines features of both cross-sectional and time series data within single estimation framework. (2) To enrich students’ knowledge in terms of both theory and application on the study of panel data under alternative estimation environment, using semi-parametric and non-parametric methods. The module offers a comprehensive introduction to Advanced Panel Data Models. You will learn various analytical tools to enable you to analyse economics and financial data.

Having successfully completed this module, the student should be able to:

  • Demonstrate knowledge and understanding of econometric models of panel data;
  • Demonstrate the importance of heterogeneity in empirical applications where data combine features of both temporal and cross-sectional units;
  • Show competence in using an econometric software package (STATA, EVIEWS and/or R);
  • Undertake rich analysis financial and economic data;
  • Evaluate model performances based on parametric, semi-parametric and non-parametric methods which would lend realistic approximations to complex financial and economic problems;
  • Interpret statistical output;
  • Relate real life financial/economic data to strategic decision making;
  • Critically evaluate statistical models and forecasting tools;
  • Analyse financial/economic data;
  • Develop quantitative models.

Lecturer: Dr Tapas Mishra

Enterprise Risk Management (5 ECTS)
The aim of the course is to provide students with a comprehensive study of enterprise risk management and conceptual guidance for enterprise risk management (ERM) implementation. Some sources have referred to ERM as a new risk management paradigm. Under ERM, all risk areas (for example, insurance, foreign exchange risk, operational risk, credit risk and commodity risk) would function as parts of an integrated, strategic, and enterprise-wide system. Leading global credit ratings agencies now include whether firms have ERM programs as part of the credit ratings process.

Having successfully completed this module, the student should be able to:

  • Discuss the history and foundation concepts that expand traditional risk management into an enterprise risk management (ERM) structure;
  • Examine the benefits and best practices of ERM;
  • Compare and contrast the importance of management, culture, and control as it relates to ERM and the problems associated with implementation;
  • Investigate ERM tools and techniques;
  • Identify and evaluate the types of risk as they relate to ERM;
  • Evaluate various facets of the ERM process as they apply to real world applications;
  • Analyse case studies to bridge the gap between the theory and practice of ERM.

Lecturer: David Lange

Private Equity (5 ECTS)
Private equity has its own unique and often confusing performance metrics. Students will need to understand how these can be mapped to public markets performance metrics and gain an analytical understanding of the A – Z of the private equity market requires cash flow modelling skills at levels of analysis’. By gaining an operational experience with these models students will be in a position to develop a broader understanding of the financial analytics underpinning the private equity market.

Having successfully completed this module, the student should be able to:

  • Apply theories and concepts to study and understand the financial analytics of the private equity market;
  • Develop useful models to analyse and critically examine the industry and its modus operandi;
  • Use Excel to implement spreadsheet solutions for financial problem sets;
  • Develop social skill to interact and discuss effectively with others.

Lecturer: Dr. Kyran McStay

Energy Finance and Trading (5 ECTS)
This module starts with an overview of energy finance and trading by first covering the current energy outlook, introduction to the oil and gas industry, and industry structure and terminology. After covering financial statement analysis of oil and gas companies, the module turns to capital budgeting and risk analysis of energy projects. In the remainder of the module, energy derivatives, energy risk management, and energy trading is discussed and applied to problems and situations.

Having successfully completed this module, the student should be able to:

  • Discuss basic knowledge, terminology, industry structure, supply and demand issues, and related concepts about the "energy value chain";
  • Analyze the financial statements of oil and gas companies including energy ratio analysis and conduct competitive benchmarking;
  • Conduct capital budgeting and risk analysis in the oil and gas industry;
  • Describe strategies that energy firms apply during challenging times;
  • Identify energy derivatives markets around the world;
  • Apply energy risk management techniques;
  • Investigate energy trading strategies in the industry.

Lecturer: Betty J. Simkins, PhD

Financial Econometrics (5 ECTS)
TBC

Ethical Business (5 ECTS)
TBC

Selected Readings in Financial Risk Management (5 ECTS)
TBC

Advanced Statement Analysis (5 ECTS)

This module builds on International Financial Statement Analysis [BU7504]. It is designed on the basis that students have a reasonable knowledge of financial accounting. It aims to develop knowledge and skills in the financial analysis of the public documents filed by companies, with a view to aiding decision-making in a wide range of commercial contexts. The module takes a wide user perspective, encompassing the aims and decision models of equity, credit and other analysts. These users make decisions in different contexts, and focus on different areas of the financial statements. As well as analysis of the financial reports, the module also encourages a wider understanding of the firm’s strategy, competitors and markets. The issue of accounting quality will also be considered, with a focus on the discretion available to preparers of financial statements. Classes will involve a mixture of lectures, discussions, examples and questions.  Active participation will be required, i.e. preparation for and attendance at lectures, participation in class discussions and involvement in group work. Practice problems have been assigned for each topic in the syllabus, and students are encouraged to do these. 

Having successfully completed this module, the student should be able to:

  • Prepare and articulate financial accounts for analytical purposes, encompassing appropriate distinctions for operating and financial items.
  • Critically assess the quality and sustainability of corporate growth, with particular emphasis on value-creation.
  • Develop reliable and realistic forecasts informed by both strategic and financial statement analysis.
  • Formulate corporate valuations based on present value approaches, multiples and the liquidation approach.
  • Conduct a credit analysis based on both fundamentals and statistical analysis.
  • Evaluate and challenge the quality of information in financial reports, with particular emphasis on ‘red flags’ contained therein.

Lecturer: Neil Dunne

Finance, Policy & Politics (5 ECTS)
TBC

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