MSc Quantitative Finance Actuarial Science

WELCOME Information Session MSc QFAS

March 23, 2017

Main challenges in quantitative finance and actuarial science

Responsible Risk Management

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Determining “correct” prices for complex financial contracts

Avoiding “unacceptable”

risk taking

Designing a “sustainable” pension system

Quantitative Finance & Actuarial Science

Quantitative analysis of financial and actuarial problems using mathematical modelling using statistical (data) analysis

Program characteristics• practice-oriented• modern methods and techniques• great job opportunities (Elsevier…)

We offer a program with modern techniques that are now being integrated into financial institutions and insurance companies.

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Structure of QFAS program

One year program

– 60 ECTS

One-week refresher

Seven courses-

42 ECTS

Four core courses

Three electives

Thesis-

18 ECTS

Typically based on internship

Premaster(optional)

Entry: September or February

Core courses

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Valuation and Risk Management (fall)

Example questions• How to price a complex financial

product?• What is the maximum loan to

offer to a household?• How much capital should banks

invest safely?

You will learnstate-of-the-art modelsand computational techniques

Teaching methodsLectures, guest lecture(s), assignments

Swaps

Semester course: 14 weeks with on average 3 hours/week

Source: http://en.wikipedia.org/wiki/Swap_(finance)

Empirical Finance (fall)

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)!!3.2$:1997Summer ,(yopportunitarbitrageexploittowantYou

billionLTCM Example questions:• Do financial markets

price assets “correctly”?

• How does a portfolio perform?

You will learn advanced econometric techniques and how to conduct empirical research yourself.

Teaching methodsLectures, guest lecture(s), assignments.

Unit course: 7 weeks with on average 6 hours/week

Source: http://mathijsavandijk.com/dual-listed-companies

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Life Cycle Investment and Pension Systems (fall)

Financial return

  Biometric return

Individual pension wealth previous period

Withdrawal as income stream

Individual pension wealth next period

Personal Pensions with Risk Sharing (PPR): Example questions:• How (un)fair is our collective

pension system?• What if we move to individual

accounts?• How should premiums optimally

be invested?

You will learn models and techniques to evaluate benefits and drawbacks of various pension systems.

Teaching methodsLectures, guest lecture(s), assignments, debate sessions

Semester course: 14 weeks with on average 3 hours/week

Source: Slides course

Asset Liability Management (ALM, spring)

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Unit course: 7 weeks with on average 6 hours/week

Example questions:• How to invest keeping in mind

the investment goal (“liabilities”)?

• Should governments issue inflation-linked bonds?

You will learnto develop and use ALM models to analyze the effect of policy choices on the net financial position of pension funds/insurers/banks.

Teaching methodsLectures, guest lecture(s), assignments, debate sessions

Source : Guest lecture ALM by Hens Steehouwer (Ortec)

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Data Science Methods (spring)

Example questions• What is the probability that a

customer cannot repay a loan?• How to predict a bear vs. a bull

market?

You will learnstatistical principles and concrete techniques to analyze big data

Teaching methodsLectures, computer labs, assignments

Big Data: 3 V-s

Unit course: 7 weeks with on average 6 hours/week

Source: http://wwww.avenuesinc.com/index.php/services/big-data-consulting-and-solutions

Issues in Finance and Insurance (spring)

Example questions• Are investors irrational?• How to allocate risk capital to

divisions?• How to price complex financial

products and insurance contracts?

You will learnto translate academic literature into practice and to critically evaluate competing theories

Teaching methodsLectures, tutorials, discussion meetings, and assignment

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Semester course: 14 weeks with on average 3 hours/week

Source: Cochrane & Saa-Requelo (2000), Beyond arbitrage: Good deal asset price bounds in incomplete markets, Journal of Political Economy, 108, 79-119

Electives

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Electives

QFAS core courses

Econometrics courses• Panel Data Analysis of Microeconomic Decisions• Time Series and their Applications• Financial Econometrics • The Economics and Finance of Pensions

Business Analytics courses• Optimization• Decision Making with Business Analytics • Professional Business Analytics Skills

Finance courses• Seminar Financial Markets and Institutions • Global Banking • Financial Statement Analysis • Financial Analysis and Investor Behavior • Fixed Income Analysis

Free electives (restricted)

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Electives

• Broad range of possible electives

• You can choose to:

• Learn advanced econometric techniques (panel data, times series)

• Extend your knowledge to less quantitative fields of finance (corporate finance)

• Specialize in Finance Analytics (as part of Business Analytics)

• We offer an elective that teaches you the soft skills (acquisition, interviewing, reporting) that are needed to excel as a consultant in practice.

Specialization on pensions and aging (Netspar track)

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Ministeries van SZW, EZ, VWS, BZK

Sector

Governm

entScience

Government

• Three mandatory courses • Participation in Netspar activities• Thesis topic related to pensions and aging

Receive Netspar certificate with your diploma!

Netspar = Network for Studies on Pensions, Aging and Retirement

Why this program?

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Main characteristics of the QFAS program

• Practice-oriented program:• Strong emphasis on practical knowledge/skills• Teachers have strong links with practice• Thesis typically internship based• Teaching in small groups: lectures, debates, assignments…

• Solid theoretical and technical foundations• State-of-the-art models and methods• Math/stat/data science

• Excellent career prospects: Alumni Survey 2016• Average time till first job: <1 month• Average gross monthly starting wage: 3584• Percentage permanent position: 100%

You can have impact on high level decision making in financial institutions and insurance companies!

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Job prospects

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After graduation

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• Broad range of jobs in banking / insurance / pensions / consultancy / regulation / …• Portfolio manager, risk manager, asset allocation analyst • Risk modeling consultant• Actuary, actuarial analyst

• But also further study:• Part-time study towards “Actuaris AG” degree (EMAS program at Actuarial

Institute)• Research Master possibly followed by PhD.

Where do our graduates work?

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Examples of employers and job titles of our recent graduates:• Strategy Consultant at ABN AMRO• Analyst at Accenture• Actuarial Analyst at AEGON• Junior Actuary at ASR• Senior Strategic Asset Allocation Analyst at Bank of Lithuania• Junior Business Analyst at Deloitte• Insurance Risk Trainee at Delta Lloyd• Advisor European Actuarial Services at Ernst & Young (EY)• Analyst at Goldman Sachs• Reinsurance Actuary at ING Groep• Junior Advisor Financial Risk Manager at KMPG• Actuary / Investment Risk Manager at Nationale-Nederlanden• Junior Consultant at ORTEC Finance• Junior Consultant at PricewaterhouseCoopers• Analyst Mergers & Acquisitions at Rabobank Nederland• Portfolio Manager at SNS Reaal• Fixed Income and Derivatives Portfolio Manager at Syntrus Achmea• Analyst at Towers Watson

Many more opportunities…

Banks Insurance companies Traders

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And many more…

Consultancy Energy Pension funds

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Regulators Multinationals

Admission and Application

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Entry requirements

You can enter automatically if you have:

A bachelor’s degree in Econometrics & OR Another background with sufficient mathematics and statistics

If you have deficiencies, we offer an individual (tailor-made) pre-master’s program:

Maximally 30 ECTS (5 courses) Focus on necessary technical skills: mathematics (analysis, linear algebra,

differentiation and integration), probability and statistics, and econometrics.

Admission & Application

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For all students:• Enroll via Studielink

Non-TiSEM students who want to enroll in a (Pre-)Master also need to:• Submit an application for admission

For more information, please go to:https://www.tilburguniversity.edu/education/masters-programmes/admission-application/

Would you like to know more?

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Program Coordinator

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• Program information• Planning• Electives• Study skills• Special circumstances• Study results• Extracurricular

activities

You can meet the program coordinator at the Master’s Fair in the Cobbenhagen Building (building C) between 19:00 and 21:15 hrs.

Anna Slump

econometricsprograms-tisem@uvt.nl

Or contact….Academic Director

Anja De Waegenaere +316 8325 5784 a.m.b.dewaegenaere@tilburguniversity.edu

orBertrand Melenberg +316 2343 7221 b.melenberg@tilburguniversity.edu

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