The aim of this module is to provide a grounding in the principles of modelling as applied to actuarial work – focusing particularly on stochastic asset liability models. These skills are also required to communicate with other financial professionals and to critically evaluate modern financial theories.
Indicative topics covered by the module include theories of financial market behaviour, measures of investment risk, stochastic investment return models, asset valuations, and liability valuations.
The additional 4 contact hours for level 7 students will be devoted to applications of the principles of financial economics and asset and liability modelling to complex financial instruments.
This module will cover a number of syllabus items set out in Subject CM2 – Actuarial Mathematics published by the Institute and Faculty of Actuaries.
Total contact hours: 40
Private study hours: 110
Total study hours: 150
Assessment 1 Exercises, requiring on average between 10 and 15 hours to complete 10%
Assessment 2 Exercises, requiring on average between 10 and 15 hours to complete 10%
Assessment 3 Exercises, requiring on average between 10 and 15 hours to complete 10%
Examination 2 hours 70%
The coursework mark alone will not be sufficient to demonstrate the student's level of achievement on the module.
David Hillier, Mark Grinblatt, Sheridan Titman, 2012. Financial markets and corporate strategy, McGraw-Hill Higher Education, London.
Martin Baxter, Andrew Rennie, 1996. Financial Calculus: An Introduction to Derivative Pricing, Cambridge University Press, Cambridge.
Students on the BSc Actuarial Science programmes are provided with the study notes published by the Actuarial Education Company for Subject CM2 – Actuarial Mathematics 2.
See the library reading list for this module (Canterbury)
The intended subject specific learning outcomes. On successfully completing the module students will be able to:
1. describe, interpret and discuss key aspects and concepts involved in financial economics, and asset and liability models;
2. demonstrate the capability to deploy established approaches accurately to analyse and solve complex problems using a high level of skill in calculation and manipulation of financial economics, and asset and liability models;
3. demonstrate an appreciation of recent developments in financial economics and modelling and the links between the theory of these topics and their practical application.
4. apply the principles of financial economics and asset and liability modelling to complex financial instruments.
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