Department of Finance. MSc Finance and Economics

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1 Department of Finance MSc Finance and Economics

2 The Programme The Programme The MSc Finance and Economics programme is a specialist interdisciplinary degree based in the Department of Finance, and taught in conjunction with the Department of Economics. The programme draws on the strengths of these highly respected academic Departments, both of which were awarded a 5* in the 2001 UK Research Assessment. The curriculum provides a unique set of perspectives on the operation of financial markets, grounded in financial and economic theory and practice. The programme, now over 10 years old, has established itself as one the most highly regarded and sought after specialist finance degrees world wide. The programme is designed for students with strong quantitative and analytical skills. The research and teaching which forms the intellectual core of the programme enables students to examine financial markets through in-depth analysis based on financial theory and statistical methods. Students will learn about investments and equilibrium asset pricing under uncertainty, options and derivatives pricing, and portfolio management in financial markets. The core courses emphasize analytical rigour and theoretical foundations in addition to application of the theory. Students will also be taught econometric methods including time series analysis with applications to financial models and data, and will be exposed to courses in corporate finance, international financial systems and microeconomic theory. In addition to providing students with the skills to succeed in key roles in leading financial institutions, governmental and international organisations, the programme allows students to develop the first rate quantitative and analytical skills necessary for pursuing high quality doctoral research. LSE has a solid academic tradition in finance, grounded in economics, and based on a rigorous approach to the discipline. Finance faculty are recognised as experts in their field, and have developed their teaching in Finance at LSE through contributions over 15 years to a number of highly successful undergraduate and postgraduate degree programmes. The Department of Finance has close links with the Financial Markets Group, an ESRC-funded research centre which attracts leading international finance researchers to present at its many academic research seminars or conferences for practitioners which students are welcome to attend. Located in central London, the London School of Economics and Political Science is a world-class social science institution, attracting some of the best researchers and teachers in their respective fields, and providing a challenging environment for highly capable students. The dynamic intellectual environment of LSE facilitates a constant interchange of ideas between the School and major financial institutions, leading multinational organisations and key regulatory bodies. LSE also houses the British Library of Political and Economic Science, the largest social science library in the world. Duration This programme takes place over a 10 month period, beginning with September courses in Mathematics, Statistics and Stochastic Processes. September Course The September courses in Mathematics and Statistics are designed to allow students to review topics such as matrix algebra, multivariable calculus, and differential equations. Students will also take a course in Quantitative Methods for Finance during the first term, which provides them with an introduction to some of the elementary concepts underlying the theory of stochastic processes in continuous time, with a view to finance applications. To succeed in the September course, students should be familiar with the basic rules of differentiation and integration, as well as with elementary probability theory. Students must successfully complete four full unit equivalent courses to meet the requirements of the MSc Finance and Economics. Results from each of the full unit equivalent courses carry equal weight in the final assessment of the degree (ie, 25 per cent). Compulsory courses in microeconomics, financial economics and financial econometrics provide students with substantial exposure to microeconomics and financial theories and models. Students are then able to select a combination of two optional half-unit finance courses offered by the Department to investigate specialist finance topics.

3 MSc Finance and Economics (Research) Programme The MSc Finance and Economics (Research) programme is designed for those who wish to pursue doctoral research in the field. This research track programme has 1+3 ESRC recognition, which provides funding for the one year research training Master s that is linked to a three year PhD. The research track differs slightly in both structure and emphasis from the MSc Finance and Economics, offering the opportunity for students with sufficient background to replace the core Microeconomics for MSc students course with a course in Advanced Microeconomics, and the 6,000 word dissertation (in place of an exam in one of the half unit elective courses) being replaced by a 10,000 word dissertation as a stand-alone half unit course. For more information regarding ESRC 1+3 funding please visit Teaching Style Courses are taught in lecture and class or seminar format. Lectures deliver the core theoretical and technical concepts whilst their associated classes allow students to apply these concepts in a more informal style and often involve presentations by students on selected course materials. Dissertations To reflect the strong research orientation of the MSc Finance and Economics, students must write a 6,000 word dissertation in one of their half-unit optional courses in place of taking an examination. The Dissertation requires that students carry out an independent piece of research. This could take the form of a small empirical project or a discussion of a particular aspect of the theoretical Programme timetable Paper Michaelmas Term Lent Term Summer Term (September December) (January March) (April June) 1 Microeconomics for MSc students Examination preparation 2 Financial Economics 3 Financial Econometrics 4 Select two of the following half unit papers Applied Corporate Finance Corporate Finance Theory Financial Risk Analysis Fixed Income Markets Forecasting Financial Time series Global Financial System International Finance Portfolio Management Quantitative Methods for Finance and Risk Analysis literature, enabling students to demonstrate their ability to apply their research design and critical skills to a particular problem or topic. Assessment All core courses are assessed by three hour unseen examination in the third term. Some of the half unit optional courses also have group/individual project work as part of the assessment. The courses Compulsory Courses Microeconomics for MSc students Develops the basic tools for analysing problems of resource allocation used by economists working in research, government and business. The course deals with positive and normative problems. It aims to include modern developments without being overly mathematical, and to develop a capacity to apply economic concepts to real world problems. Financial Economics Analyses investors behaviour, market equilibrium, and the pricing of securities, including derivatives, in intertemporal settings, utilising the methods of stochastic calculus. Financial Econometrics Considers techniques of empirical investigation in economics, emphasising time series methods, and introduces students to recent empirical findings based on asset pricing models. Uses computer exercises to familiarise students with key properties of asset return data. Optional Courses Applied Corporate Finance Provides a thorough grounding in recent developments in applied corporate finance through a study of the empirical corporate finance literature and case studies. Corporate Finance Theory Considers theories of corporate capital structure and corporate governance, IPOs, takeovers and insolvency. Financial Risk Analysis Investigates methods of financial risk assessment including advanced risk measurement for fixed income and derivative instruments, credit risk modelling, methods for risk-adjusted capital allocation, and modelling systemic and liquidity risk. Forecasting Financial Time Series Examines the techniques involved in forecasting key variables in finance. Students will learn both the theory and practice of forecasting in finance. Global Financial System Examines the academic and regulatory policy debates on the operation of the global financial system, analysing issues based on rigorous economic arguments. International Finance Examines key issues in international finance, focusing on recent developments and incorporating theoretical, empirical, policy and institutional dimensions. In approach and content, the course is complementary to Global Financial System. Portfolio Management A topics course on empirical and applied problems in portfolio management. Fixed Income Markets Provides a thorough grounding in recent developments in fixed income securities pricing, hedging and portfolio management. Trading and Institutions Focuses on the sources of liquidity, volatility, informative prices, and trading profits in equity markets. Quantitative Methods for Finance and Risk Analysis A course on the quantitative and statistical tools that are important in applied finance covering time-series econometrics; modelling financial returns; an introduction to the analysis of financial data using MATLAB; volatility models; Value-at-Risk.

4 Finance Faculty Students are taught by leading edge researchers with expert knowledge of the areas in which they teach. The international backgrounds of these teachers and their varied research interests provide students with a unique opportunity to learn from and interact with world-class faculty. Professor Ronald Anders Professor of Finance Dynamic corporate finance; contingent claims analysis; credit risk; financial market structure and regulation; structuring financial contracts and institutions. Dr Ulf Axelson Senior Private equity; financial innovation and security design; corporate finance; auction theory; and financial intermediation. Dr Elisabetta Bertero Sub-sovereign debt; the financial role of the state: the interaction between governments and financial markets; budget constraints and state-owned firms; international finance. Professor Sudipto Bhattacharya Professor of Finance Corporate finance and governance; models of research and development and the dissemination of proprietary knowledge; financial intermediation; contract theory; regulation. Professor Mike Burkart Visiting Professor of Finance Corporate governance; financial contracting. Dr Maria Cecilia Bustamante Dynamic corporate finance; asset pricing implications of corporate decisions; real options; game theory. Dr Georgy Chabakauri Asset pricing; portfolio choice, risk management Dr Vicente Cuñat Corporate finance; applied theory; applied econometrics; industrial organization; labour and personnel economics. Dr Jon Danielsson Financial risk analysis; value at risk; volatility modelling and forecasting; extreme value theory. Dr Amil Dasgupta Information economics and game theory with applications to finance; the theory of delegated portfolio management and consequences for financial markets ; the theory of financial crises. Dr Jack Favilukis Consumption based asset pricing; incomplete markets; heterogeneity and inequality; limited participation and participation costs. Dr Daniel Ferreira Corporate finance and governance; organizational economics; FMG research programmes: corporate finance and governance. Dr Stephane Guibaud International macro and finance; asset pricing; yield curve; optimal debt management; recursive contracts. Dr Christian Julliard Macroeconomics; finance; applied econometrics; international economics and finance; real estate finance. Dr Xiaoji Lin Theoretical and empirical asset pricing; macroeconomics; international finance. Dr Dong Lou Empirical Asset Pricing; Behavioral Finance; Empirical Corporate Finance Dr Antonio Mele Asset prices and the business cycle; information networks in financial markets; statistical inference for dynamic models in finance. Dr Philippe Mueller Macro-finance; empirical asset pricing; fixed income; financial econometrics Dr Yves Nosbusch Empirical asset pricing; credit risk; debt management; intergenerational risk sharing. Professor Christopher Polk Professor of Finance, Director of FMG Asset pricing; corporate finance; hedge funds; macroeconomics. Dr Rohit Rahi Arbitrage in segmented markets; financial innovation and security design; asset pricing with asymmetric information; general equilibrium theory; incomplete markets. Professor Dimitri Vayanos Professor of Finance Liquidity and asset pricing; information in asset markets; delegated portfolio management; behavioural finance. Dr Michela Verardo Empirical asset pricing; market efficiency and investment anomalies; trading behaviour of institutional investors; behavioural finance. Professor David Webb Professor of Finance, Head of Department Financial economics and insurance economics; economics of information; corporate finance and financial markets. Dr Mungo Wilson Asset pricing; portfolio management; financial innovation; mutual funds; residential real estate. Dr Kathy Yuan Bubbles and crises; liquidity; heterogeneous information; mutual funds; hedge funds; network theory; short-sale and margin constraints; global games; asset pricing. Dr Kostas Zachariadis Market microstructure and design; information economics and game theory with applications to finance; corporate governance as related to economic efficiency. Dr Jean-Pierre Zigrand General equilibrium asset pricing; financial intermediation and delegation; continuous time asset pricing; herding; market crashes; foundations of arbitrage.

5 The People Student Profiles International diversity of both faculty and students is a key feature of studying at LSE and in the Department of Finance. In addition to faculty from around the world, the MSc Finance and Economics programme attracts students from many countries, from continental Europe, South Asia and the Far East, as well as some from the Americas. Female students are well represented, making up 27 per cent of MSc Finance and Economics students during the last seven years. Profile of Registered Students Average GRE Scores 770 (Quantitative section) Average GMAT Scores 670 (Total) Africa 1% UK 11% South Asia 13% South America 2% North America and Canada 11% Middle East 2% Far East & Australasia 11% Europe (excluding UK) 49% Country of Origin* Student Profile Ioannis Sokos I chose the programme because of its reputation as one of the best quantitative finance masters in the UK, and also because of LSE's Global reputation. The difference between LSE and other world renowned universities is that it has an academic flavour associated with everything it does. The buildings, the people, the whole atmosphere reminds you of the many Nobel Prize winners that have walked the same corridors that you now tread. The MSc Finance and Economics is a very challenging degree. It requires systematic studying and continuous self-motivation. Of course, it is a great entry ticket into the world of Investment Banking, but for me, one of its major benefits is the selfdevelopment that you gain, and the fact that you learn how to approach and solve difficult problems from a variety of different angles Ioannis graduated with a Distinction and was awarded the Emeritus Professors award for the overall best performance in the MSc. He is now working for BNP Paribas in London, having entered the Fixed Income Graduate Programme as part of the Interest Rate Strategy (IRS) team Careers Careers open to students who successfully complete the MSc Finance and Economics degree include trading and research positions at investment banks and major financial institutions in the City and other key financial centres, as well as in consultancy. In addition to working in the financial services sector, the MSc Finance and Economics programme is also a route into further study at PhD level. The LSE s Careers Service has a wide range of resources available to assist students in their job search. Staff at the Careers Service are available to help students with their research into potential employers as well as key recruitment skills such as completing application forms, writing a curriculum vitae (CV), cover letters and networking skills. The Careers Service also organises and publicises oncampus recruitment events held by employers. It has set up a range of online resources to provide students with access to careers-related information and to link students with potential employers. The following lists a number of the top employers of MSc Finance and Economics Alumni. ABN AMRO Bank of America Corporation Bank of England Barclays Capital BNP Paribas Booz, Allen & Hamilton Boston Consulting Group Ltd Citigroup Credit Suisse Deutsche Bank AG Ernst & Young UK Goldman Sachs HSBC Investment Bank Ltd J P Morgan Partners McKinsey & Co Inc Mercer Oliver Wyman Merrill Lynch Morgan Stanley UBS Investment Bank Willis Group Limited World Bank

6 The Application The Application Process Applicants for the MSc Finance and Economics programme should have a strong undergraduate background in economics, including at least a year of calculus and a semester of linear algebra, or in applied mathematical sciences with at least a year of economics courses. Minimum entry requirements are a good upper second class honours degree (preferably in economics) from a UK University or equivalent in an overseas degree. The degree should have had a strong analytical content, including courses in microeconomic theory and econometrics, calculus and matrix algebra. All applicants normally must submit a GRE test score with their application. GRE scores must show a strong performance in the quantitative segment (above the 85 percentile). GMAT scores of 650 or higher will be considered. Decisions will not normally be made in the absence of a GRE or GMAT score. However, students with a first class degree from LSE or a top UK University may apply for a waiver from the GRE/GMAT requirement. Printed on recycled stock A GRE/GMAT waiver form is available from the Graduate Admissions website; graduateadmissions Applicants for whom English is a second language, or who have not studied in English before should provide evidence of their command of English. For the MSc Finance and Economics programme, this should be a minimum of 603 in the TOEFL paper-based test (263 in the computer-based test), or at least 6.5 in the IELTS. Once an application has been submitted, candidates can keep up to date with its progress online by visiting Admissions/apply/trackYour Application.htm Admissions decisions are made on the basis of academic merit and the number of places available on the programme. Early application is strongly recommended. Funding Your Studies: Scholarships and Financial Support Applicants receiving an offer of a place can apply for the LSE Graduate Support Scheme to help with tuition fees. The Department also has an allocation of Useful Links for Further information Financial Support Office Information on scholarships and applying for financial support. Careers Office www2.lse.ac.uk/careersservice/ Home.aspx Further details on graduate employment opportunities and applying for financial support. Department of Finance Further information on faculty and activities of the Department of Finance. ESRC studentships for students from the European Union who expect to go on to pursue doctoral studies via the MSc Finance and Economics (Research) programme. The School has a variety of named scholarships available, administered by the Financial Support Office. Applicants can find out more about these scholarships from the Financial Support Office website: The application process for masters programmes is managed by the Graduate School at LSE. All correspondence relating to offers and registration should be directed to the Graduate Admissions Office at the Graduate School which can be contacted as follows Graduate Admissions The London School of Economics and Political Science PO Box Houghton Street London WC2A 2AR Online enquiries graduateadmissions Tel: +44 (0) For further information on the programme contact: MSc Finance and Economics Programme Manager Department of Finance London School of Economics and Political Science Houghton Street London WC2A 2AE tel: fax: finance@lse.ac.uk Other graduate programmes available in the Department of Finance: MSc Finance (Full-time) MSc Finance (Part-time) MSc Finance and Private Equity MSc Management and Regulation of Risk PhD Finance Design: LSE Design Unit ( Photography: LSE Photographer, Nigel Stead This information is correct at the time of going to press, and may be subject to change.