Co-requisites: MA529 Probability and Statistics for Actuarial Science 2
OverviewThe 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.
This module appears in:
Method of assessment
70% Exam, 30% Coursework
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 listed in section 7 are provided with the study notes published by the Actuarial Education Company for Subject CM2 – Actuarial Mathematics.
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.
The intended generic learning outcomes. On successfully completing the module students will be able to:
1 use a logical mathematical approach to solve complex problems;
2 solve problems and communicate in writing effectively to both a technical and non-technical audience;
3 manage their time and work independently;
4 demonstrate a high level of higher order numeracy and communication skills.