SIMON FRASER UNIVERSITY

Senate Committee on University Priorities ?

Memorandum

/

TO:

Senate ?

FROM:

?

John Waterhoue

,ji.

Chair, SCUP

Vice President/Academic

RE:

Faculty of Business Administration:

?

DATE: ?

March 6, 200W

Full Program Proposal for a Master's of

Financial Risk Management

(SCUP 08-10)

At its February 27, 2008 meeting SCUP reviewed and approved the full program

proposal for a Master's of Financial Risk Management from the Faculty of Business

Administration.

Motion

That Senate approve and recommend to the Board of Governors, the Full Program

Proposal for a Master's of Financial Risk Management in the Faculty of Business

Administration.

end:

.

C:

E. Bukszar, G. Blazenko

0

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SCUP 08-10

MEMO

TO

Senate Committee on University Priorities

Graduate

Dean of ?

Studies

[ATTENTION Sarah Dench ?

TEL

FROM

Jonathan Driver, SGSC

STREET ADDRESS

Maggie Benston Student

?

RE

Faculty of Business Administration: New program proposal

Services Centre 1100

Burnaby BC V5A 1A6

?

Master of Financial Risk Management

(GS2007.44)

Canada

DATE

February 11, 2008

MAILING ADDRESS

?

TIME 1:09 PM

8888 University Drive

Burnaby BC V5A 1A6

Canada

At its

19th

November 2007 meeting SGSC considered the full program proposal

for a new degree program in the Faculty of Business Administration: Master of

Financial Risk Management. This proposal has been reviewed externally, and

•

?

the Assessment Committee for New Graduate Programs recommends that it be

approved. SGSC makes the same recommendation, noting that the program

received good reviews, that changes recommended by ACNGP had been made,

and that it has been running successfully as a cohort special arrangements

program for a few years.

One issue emerged during SGSC discussions. The Faculty of Business

Administration and the Library do not agree about the library costs of

establishing this program. SGSC was reluctant to hold up the proposal over

what appears to be a relatively minor resource issue. We have therefore asked

Business and the Library to resolve the issue before the program is debated at

SCUP. I am happy to report that the Library and the Faculty of Business

Administration have reached an agreement.

I am forwarding this program proposal to SCUP, with the recommendation

that the program be approved. In addition to the full proposal, I also enclosed

course outlines, external reviews of the program, and curriculum vitae of the

faculty.

A

C: ?

E. Bukszar, Business Administration/

ci

1.

SIMON FRASIiN UNIVERSIIY ?

THINNING OF THE WORLD

---

GS2007.44

MEMO

Dean of

Graduate Studies

STREET ADDRESS

Maggie Benston Student

Services Centre 1100

Burnaby BC V5A 1A6

Canada

TO

Jon Driver, SGSC

?

TEL

LOM

George Agnes, ACNGP

RE

Professional master's program proposal

I ?

Master of Financial Risk Manaaement

.

DATE

November 8, 2007

MAILING ADDRESS

8888 University Drive

Burnaby BC V5A 1A6

Canada

[TIME 10:45 AM

At the ACNGP meeting of

9th

October 2007 the committee unanimously

recommended that the proposed professional master's program, Master of

Financial Risk Management, in the Faculty of Business Administration, be

forwarded to SGSC, with the recommendation that it be approved, pending the

following revisions to calendar entries:

1.

Update the program description, remove the application deadline, and

revise the language for admission requirements (Appendix F).

2.

Revise the course descriptions, conforming to university requirement

for calendar entry (Appendix B).

These changes have now been made and the concerns raised by ACNGP have

been addressed.

SIMON FRASER UNIVERSITY

?

THINKING OF THE WORLD

.

.

---

PROPOSAL FOR MASTER'S PROGRAM IN

FINANCIAL RISK MANAGEMENT

7 February ?

2007

"Notice of Intent" and supplementary information

approved "in-principle" by Senate Committee on

University Priorities

Received by Dean of Graduate Studies

Reviewed by Assessment Committee for New

Graduate Programs

6 November 2006

5 March ?

2007

8 March

?

2007 Received revised program proposal from Business

Administration

1 June ?

2007 Sent proposal to external reviewers by Dean of

Graduate Studies

.

?

20 September 2007 Received three external reviewers' reports by Dean

of Graduate Studies

20 September 2007 Sent external reviewers' reports to Business

Administration by Dean of Graduate Studies

1 October - 2007 Received response to external reviewers' reports

from Business Administration

9 October ?

2007 Reviewed and approved by Assessment Committee

for New Graduate Programs

8 November 2007 Received revised proposal by Dean of Graduate

Studies

8 November 2007 Submitted to Senate Graduate Studies Committee

ASSESSMENT COMMITTEE FOR NEW GRADUATE PROGRAMMES

?

COV-MFRM 11/08/07

3

SIMON FRASER UNIVERSITY

?

THINKING OF THE WORLD

---

MEMO

.

TO ?

Ed Bukszar, Business Administration

I TEL 24255

FROM

Geor q e Aanes. Chair. ACNGP

"C-)

RE ?

Professional master's program proposal

Master of Financial Risk Manaaement

DATE

October 19, 2007

TIME 3:25 PM

Thank you

for

your presentation at the ACNGP meeting on October

9th

2007.

The committee was pleased with the explanations you provided at the meeting

and recommends the following modifications of the professional master's

program proposal - Master of Financial Risk Management (MFRM) in the

Faculty of Business Administration to go forward to SGSC.

Calendar entry

1)

Review and update the program description (Appendix F, page 13), e.g.,

describe why and how the Master of FRM is unique in Canada.

2)

Remove the application deadline - this is typically posted on website.

3)

Admission requirements - Specifics on page

5

of the program proposal

are not evident in the calendar entry. When requirements do not differ

from university requirements, e.g., CGPA

3.0

and language requirement

on pages 13-14, reference to the general graduate regulations, or no

reference to, is appropriate.

4)

Course descriptions - since the meeting, I have learned that calendar

entries are now subject to 4 lines or less of text.

Please send us a copy of the revised proposal and I will forward the

recommendation to SGSC.

Thank you for your hard work on the proposal.

SIMON FRASER UrJIVERS1TY ?

THINKING OF THE WORLD

Dean of

Graduate Studies

STREET ADDRESS

Maggie Benston Student

Services Centre 1100

Burnaby BC V5A 1A6

Canada

MAILING ADDRESS

8888 University Drive

Burnaby BC V5A 1A6

Canada

---

s-I

Full Program Proposal

?

fora

?

Master of Financial Risk Management

S

?

To be offered by the

Faculty of Business Administration

Simon Fraser University

.

---

Master of Financial Risk Management

Executive Summary

The Faculty of Business Administration at Simon Fraser University is currently offering a

specialized MA in Financial Risk Management ("FRM") under cohort special arrangements.

This full program proposal seeks to regularize this offering pursuant to current university and

ministry requirements.

The development of this program is in response to current trends in the financial services

industry. The rapid globalization of business and the escalating volatility of the financial

markets have led to an increasing demand for professionals who possess the skills to help

firms more efficiently manage their exposure to both financial and non-financial risk.

The development of this program has greatly benefited from the guidance of a strong

Business Council that was established for the GAWM MBA program.

The formal part of the program is 42 credit hours over three academic terms. In addition to

the formal curriculum, there are extensive extra-curricular activities, including participation

in the risk management and compliance functions of the Student Investment Advisory

Service ("SIAS") and an Executive Speakers Series.

The FRM program has been offered entirely at our Segal Graduate School of Business

location.

?

0

This program is currently run as a single cohort of approximately 20 to 25 students.

Approximately one third of the curriculum is combined with students in the GAWM MBA

program. We do not expect expected to admit more than 40 students in total for both

programs for September 2007 but may increase this number in subsequent years.

Admissions are based on undergraduate grades, GMAT, letters of reference, work experience

and an in-person or telephone interview. For our first two intakes, we received

approximately 4 applications for each available spot in the incoming class.

is

/4.

---

Background

The Faculty of Business Administration at Simon Fraser University is currently offering a

specialized MA in Financial Risk Management ("FRM") under cohort special arrangements.

This full program proposal seeks to regularize this offering pursuant to current university and

ministry requirements.

The development of this program is in response to current trends in the financial services

industry. The rapid globalization of business and the escalating volatility of the financial

markets have led to an increasing demand for professionals who possess the skills to help

firms more efficiently manage their exposure to both financial and non-financial risk. New

employees in the field of Risk Management must master the fundamentals of finance, direct

investment activities and cash management strategies. Acquiring the skills to properly

address these requirements has become a high priority, as these critical qualifications can

greatly contribute to the overall effectiveness and success of an organization.

Effective risk management also requires broad and technically sophisticated skills.

Identifying and efficiently managing various types of risks has become an issue of paramount

importance in the financial services industry, as the strategic aspects of risk management can

significantly influence the overall investment strategies currently employed. Today's

financial managers are becoming aware of the acute necessity of employing advanced risk

. management strategies in their quest to achieve superior results, and in keeping abreast of

contemporary technological advances. The daunting task of minimizing the losses, which

might arise from financial transactions and business operations undertaken by institutions,

has become an imperative for the Risk Manager. The firm has to be able to astutely, ascertain

the appropriate strategy for each individual situation. Therefore, we believe that this

emphasis on technical abilities warrants the introduction of our new and innovative program

in Risk Management.

We would note as well the new capital adequacy framework commonly known as Basel II

Accord, which sets the guidelines for securing international convergence on revisions to

supervisory regulations governing the capital adequacy of internationally active banks. This

accord is relevant to the area of risk management because, by implementing more judicious

risk management procedures, the banks will improve their ability to lower capital reserves

requirements, therefore increasing the total resources available for investments and/or capital

supply for further economic expansion.

The development of this Master's degree will certainly capitalize on synergies with our

existing Global Asset & Wealth Management program as well as the considerable faculty

skills in other SFU Faculties that can address important aspects of the overall treatment of

risk felt needed in the program.

The mission of SFU's Master's program in Financial Risk Management is to provide a high

. level of expertise in both the quantitative and strategic aspects of risk management. Students

will obtain leading edge technical skills through courses in financial theory. They will also

develop skills in specialized topics of risk management through courses in market,

/7.

---

t

1J

operational, credit and insurance risk. Graduates will be well prepared to identify, implement

and monitor systems for managing the range of risks that confront firms in the financial

services industry. ?

0

Strong interest in our program has also been evidenced by the organizations listed in

Appendix A which are members of our GAWM MBA Business Council. In many of these

organizations the practice of risk management is fundamental to their success. As such, we

would anticipate the continued strong support of the Business Council in advising and

shaping the development of this Risk Management program.

We would note several developments in conjunction with the Faculty that are linked to this

program.

• As part of the development of the Segal Graduate School of

Business, the CIBC Centre for Corporate Governance and Risk

Management has received seed funding from the Canadian

Imperial Bank of Commerce and both the Canadian Institute of

Chartered Accountants (CICA) and the Institute of Chartered

Accountants of British Columbia (ICABC). While a broader focus

on risk management than the program being proposed here, clearly

there is considerable overlap. Already a key paper on the

governance of closely held Canadian firms has received a $10,000

award in corporate governance research from Barclays Global

Investors Canada Research Awards.

• One of the activities of the above Centre currently is a non-credit

program to be delivered to the business community in Corporate

Governance. This program is to be delivered in conjunction with

both University of Toronto's Rotman School of Management and

UBC's Sauder School of Business.

The above activities are included here to indicate our developing involvement in the arena of

risk management and corporate governance, leveraging from our GAWM program.

We have received strong endorsements of our plans from a number of the members of the

Business Council and other industry professionals, an example of which is as follows.

"As a leading provider of global financial solutions, we are

acutely aware of the growing demand for individuals possessing

highly developed skills in the area of Financial Risk

Management."

Farhan A. Hamidani, MBA

Dundee Wealth Management

Toronto, ON

The Risk Management program initiative is consistent with SFU's teaching mandate to

provide high quality graduate programs that advance the education of the citizens of BC and

---

Canada. The research that will be associated with this program is also consistent with our

research mandate, particularly in finance, investments and risk management.

Curriculum

The formal part of the program is 42 credits over three academic terms. This new total (as

compared to the preliminary proposal which entailed 38 credits) will consist of thirteen full

courses (each of 3 credits) and a Project equivalent to an additional full course. The first

term is designed to provide foundations in financial economics, econometrics, derivative

securities and enterprise wide strategic risk management. The courses in the second and third

terms supplement and extend these foundations to various specialized topics such as credit,

insurance and market risk. These topics provide the framework from which the students can

conduct the Project. The Project will represent successful in-depth research related to the

broad range of the program curriculum.

In addition to the formal curriculum, there are complementary activities which will provide

important grounding for our students.

• A Speaker's Series will provide opportunities to bring in outside individuals

from industry as well as to utilize members of the faculty with particular

contributions on selected topics.

. ?

• Students will be able to participate in the Risk Management and

Compliance aspects of the GAWM Student Investment Advisory Service (SIlAS).

Further information on the curriculum as well as brief course descriptions is contained in

Appendix B. The sequencing of these courses is listed in Appendix C. All of these courses

are currently offered at the university since this program is already operating under cohort

special arrangements.

The curriculum in this program is consistent with the research capabilities of the Faculty of

Business Administration, in particular, the Finance area. It is expected that student projects

may lead to joint publications from time to time.

Learning Methodologies

The FRM program has been offered entirely at our Segal Graduate School of Business

location. Administrative offices for the program are at the Segal School as well. We have

only full time students in the program, but in order to accommodate the part time students in

the GAWM program, the common courses are typically scheduled in the afternoon, evening

or on weekends. The learning methodology is primarily through lectures, seminars and

tutorials. The extra-curricular activities associated with this program are more experiential,

as described above.

---

Faculty

A list of faculty members teaching or supervising in this program is attached as Appendix D.

We also employ visitors, adjuncts and external lectures for some of the courses.

Program Consultations and Evaluation

A key feature of our program is the financial and advisory support of the Global Asset and

Wealth Management Business Council. This council consists of senior industry professionals

from a select group of financial services and related organizations as listed in Appendix A.

The Business Council creates strong links between faculty and students in both the FRM and

the GAWM MBA programs at Simon Fraser University and the investment community, and

ensures relevance of the program curriculum and the speaker's series.

We regularly discuss the curriculum and the extra-curricular activities at our Business

Council meetings. Each summer, the GAWM/FRM program committee reviews the

curriculum and discusses what changes may be appropriate.

We expect to continue to enjoy the advisory support of the Business Council for the

foreseeable future.

Admission and Residency requirements

?

I*

Over 100 qualified applications have been received for the limited number of available spots

in the first two years of this program (while operating under Cohort Special Arrangements).

This strong demand is consistent with the growth in students, enrolled in two popular

certificate programs in risk management: the Professional Risk Manager and the Financial

Risk Manager designations. Each has experienced increases in their enrolment of over

50%

per year over the past four years.

The FRM program is a natural step for students who have completed undergraduate programs

such as our own BBA degree as well as the B.Comm. degree from UBC and its related

Portfolio Management Foundation program.

?

.

Admissions will be based on:

• an undergraduate degree in business, commerce, economics,

mathematics, physics or other suitable programs. Students also

holding a professional designation such as a PRM or FRM and

evidence of strong mathematic competency would be ideal

candidates. Likewise students with successful completion of the

Graduate Diploma in Business Administration offered by Simon

Fraser University with a strong mathematical aptitude would be

equally qualified for entry;

/ ID.

---

• a Graduate Management Admission Test (GMAT) Score Report or

the Graduate Record Exam (GRE);

• three letters of reference from professors, colleagues, supervisors

or significant clients;

• preference will be given to candidates with 2 to 3 years related

experience;

• demonstrated proficiency in English may be required if an

applicant has not graduated from an English speaking university or

if an applicant's first language is not English;

an in-person or telephone interview by the Admissions Committee.

The Admissions Committee will reserve the right to waive certain qualifications in

exceptional circumstances.

Students must be resident in Vancouver for each of the three academic terms in this program.

•

Other

None.

Additional material required by SFU

1.

List of possible reviewers is attached as Appendix E.

2.

Proposed Calendar entry is attached as Appendix F.

3.

Budget and a recommendation for tuition fees is attached as Appendix G.

4.

Course outlines are also attached.

Detailed course outlines available for review by contacting

Bobbie Grant at 778-782-3168 or email bgrant@sfu.ca

A

I).

---

Appendix A

Business Council for ?

MBA in Global Asset and Wealth Management

RBC Global Private Banking

Beutel, Goodman & Company Ltd.

Scotiabank

Phillips, Hager & North Investment Management Ltd.

Connor, Clark and Lunn Investment Management Ltd.

Sun Life Financial

Sceptre Investment Counsel Limited

?

.

British Columbia Securities Commission

HSBC Asset Management (Canada) Limited

BC Investment Management Corporation

Industrial Alliance Group

TSX Venture Exchange

VanCity Savings Credit Union

BMO Harris Private Banking

CIBC

El

/ i.

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APPENDIX B (REVISED)

Proposed Curriculum for

?

Master in Financial Risk Management

BUS 802 ?

Financial Economics

(3

credits)

An introductory course in the theory of finance, investor behavior, financial

decision making under uncertainty as well as capital market equilibrium.

BUS 803

?

Financial Econometrics

(3

credits)

Financial econometrics for testing asset pricing models and portfolio performance

measurement.

BUS 805

?

Capital Markets

(3

credits)

Empirical issues in capital markets for wealth and asset management including

topics in behavioral finance, and performance measurement and attribution.

BUS 810 ?

Fixed Income Security Analysis and Portfolio Management

(3

credits)

The term structure of interest rates, fixed income returns, yield-spread analysis,

sources of risk in fixed income securities, and embedded options.

BUS 814 ?

Derivative Securities

(3

credits)

An introductory course in derivative securities that includes pricing as well as the

- ?

use of derivative securities in portfolio management and structured transactions.

BUS 818 ?

Advanced Topics in Business Finance

(3

credits)

Extensions of advanced topics beyond those covered in BUS 802 and

805.

BUS 857 ?

Numerical Methods

(3 credits)

Computational tools for financial analysis, financial engineering and risk

management.

BUS 863 ?

Operational Risk Management

(3

credits)

Tools for identifying, measuring, monitoring and mitigating operational risks.

Techniques include causal modeling and simulation.

BUS 864

?

Credit Risk Management

(3

credits)

Credit risk management with emphasis on portfolio models, including probability

of default and loss given default models, credit capital allocation, active portfolio

management, credit derivatives, and structured transactions.

BUS 865 ?

Market Risk Management

(3

credits)

Value at risk, advanced market risk models, statistical models, stress testing,

scenario analysis, and risk-adjusted performance measurement.

/3.

---

BUS 866

?

Enterprise-wide Strategic Risk Management

(3

credits)

Strategic risks facing organizations and the economic forces driving strategic

hedging with an analytical framework for measuring industry and firm structure

and financial market volatility.

BUS 868

?

Perspectives on Risk and Insurance

(3

credits)

Economic principles, concepts, and practice of risk and insurance.

BUS 869

?

Topics in Risk Management

(3

credits)

Integrative and topical issues in financial risk management.

BUS 870 ?

Final Project for FRM Students

(3

credits)

A risk management research project, completed within the final academic term,

based on ideas generated in previous terms, with in-class sessions on topic

development, presentation, and reporting of findings as well as regular meetings

with a designated supervisor. Project may be done individually or in pairs.

S

S

/.

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Appendix C

Schedule for the

?

Master in Financial Risk Management

TERM ?

COURSES (credits)

1—Study ?

BUS 802: Foundations of Financial Economics (3);

BUS 803: Financial Econometrics (3);

BUS 814: Derivative Securities (3);

BUS 866: Enterprise-wide Strategic Risk Management (3).

2—Study ?

BUS 805: Capital Markets (3);

BUS 810: Fixed Income (3);

BUS 818: Advanced Topics in Business Finance (3);

BUS

857:

Numerical Methods (3);

BUS 865: Market Risk Management (3).

3—Study ?

BUS 863: Operational Risk Management (3)

BUS 864: Credit Risk Management (3);

BUS 868: Perspectives on Risk and Insurance (3);

BUS 869: Topics in Risk Management (3);

BUS 870: Final Project (3).

.

)'

/.S

---

Appendix D

.

Faculty Members Teaching or?

Supervising in the ?

Master in Financial Risk Management

Avi Bick

Associate Professor

Finance

Robert Grauer

Professor

Finance

John Heaney

Assoôiate Professor

Finance

Robert Jones

Professor

Economics

Peter Klein

Professor

Finance

Andrey Pavlov

Associate Professor

Finance

Christophe Perignon

Assistant Professor

Finance

Leyland Pitt

Professor

Marketing

Daniel Shapiro

Professor

Strategy

Daniel Smith

Assistant Professor

Finance

Stephen Spector

Lecturer

Accounting

Peter Tingling

Assistant Professor

MIS

.

.

yuf.

---

I.

Appendix E

S

?

List of Possible Reviewers

Dr. Peter Christoffersen

McGill University

/

Dr.

Gordon Sick

'

?

University of Calgary

Dr. Tom McCurdy

University of Toronto

Dr. Usha Mitoo

University of Manitoba

/

Dr.

Ron Giammarino

V University of British Columbia

S

/ nt.

---

APPENDIX F (REVISED)

Proposed Calendar Entry

Master of Financial Risk Management (MFRM)

Segal Graduate School of Business, 500 Granville Street, Vancouver, BC, V6B 5K3

Application

Beyond general university graduate requirements, including demonstration of English

competency when an applicant's previous education has been in a language other than

English, applicants to the MFRM program must submit the following documentation:

• Simon Fraser University's Application for Admission to the MFRM

• a Graduate Management Admission Test (GMAT) Score Report or the Graduate

Record Exam (GRE)

• an official copy of transcripts of grades from a four year undergraduate degree

(mailed directly from the granting institution)

• three confidential letters of reference (mailed directly from the referees)

• a recent passport style photo

• a current curriculum vitae

FinancialAssistance

See "Financial Assistance and Awards" in this calendar for information on university

scholarships and awards that are available to graduate students.

Degree Requirements

To qualify for the MFRM degree, students must maintain a minimum average grade of B

(3.0 grade point average) and complete courses totaling 42 credits consisting of the

following:

Bus 802-3 Financial Economics

Bus 803-3 Financial Econometrics

Bus

805-3

Capital Markets

Bus 810-3 Fixed Income

Bus 814-3 Derivative Securities

Bus 818-3 Advanced Topics in Business Finance

Bus

857-3

Numerical Methods

Bus 863-3 Operational Risk Management

Bus 864-3 Credit Risk Management

I*

Bus

865-3

Market Risk Management

//q.

---

Bus 866-3 Enterprise-wide Strategic Risk Management

Bus 868-3 Perspectives on Risk and Insurance

?

.

Bus 869-3 Topics in Risk Management

Bus 870-3 Final Project

Courses Offered by the Program

The following BUS courses are offered for the Master of Financial Risk Management

Program: BUS 802*

,

803*

,

805*

,

810*,

814*,

818, 857, 863, 864, 865, 866, 868, 869,

870.

* courses also offered for the MBA in Global Asset and Wealth Management.

.

9

---

Appendix

- . ?

.

?

Budget and Recommendation for Tuition Fees

?

.

?

. -.

Revenue

Tuition (25 students @

$25,000.)

$ ?

625,000

(based on 42 credits @ $ 595. per credit hour)

Total Program Revenue (- 60%):

?

$ ?

. 375,000

Expenses:

Instructional Costs:

12 credit hours (shared with GAWM curriculum)

$ ?

21,000

30 credit hours

110.000

Subtotal

131,000

Operating Expenses:

Support Staff

$

?

70,000

Advertising, brochures

60,000

Course Material

20,000

General office, Bloomberg, software, etc.

50,000

Speakers, special events

20,000

. ?

Graduate Business programs allocation (research, PR, Career Svces)

20,000

Subtotal

240.000

Total Program Expenses:

$

?

371,000

U

---

ASKAYNE

hool of

Business

UWVERSM^ OF

CALGARY

• Telephone: 403.220-7165

?

Fax: 403.770-6104?

gordon.sick@haskayne.ucalgary.ca

September 17, 2007

Trude Heift

Associate Dean of Graduate Studies

Office of the Dean of Graduate Studies

Maggie Benston Centre 1100

SIMON FRASER UNIVERSITY

8888 University Drive

Burnaby, BC V5A1S6 Canada

Re: Review of proposed Master of Financial Risk Management program at Simon Fraser

Dear Dean Heift

,

have reviewed

two

documents, "Full Program Proposal for a Master of Financial Risk Management'

nd a pdf file of course descriptions for the program.

This is my assessment of the proposed program:

The academic merit

and structural integrity of the proposed program

The program design contains may recognizable and welt-established types of courses in finance and

economics. Looking at the course outlines, I can see that the instructors take these courses to the

leading edge of their respective topics.

Some of the course titles seem a bit odd. For example the title "Foundations of Financial Econmics"

suggests to me that the course would use a Phd-type quantitative finance book like those of Duffie,

Cochrane, or Ingersoll. Instead it uses a very corporate finance text for second-year MBA programs. I

think it is good to have such a course for this program, since it becomes one of the core courses that

ties the rest of the program together. It is just that the title is a bit unusual. On reflection, I can see that

the title suggests that the course takes this core and central role. But the traditional use of the title is

quite different.

Other courses like the Financial Econometrics course are suitably titled. And, the financial

econometrics course is one that separates this program from an MBA program in finance.

The Bus 814 course on Derivative Securities does not list a textbook. Curiously, the text for Bus 818

(Advanced Topics in Business Finance) is a common text for a Derivative securities course. Thus, I am

not sure how Bus 814 and Bus 818 will be distinguished. Certainly the field of derivative securities is

arge and can require two courses, but it would be nice to have some clarity that the two courses are

eing offered in a coordinated manner. There is also some relationship to Bus 857 that needs to be

coordinated.

The Bus 869 course is appropriate for a program like this, but it would be nice to label it clearly as a

2500 University Drive NW., Calgary, Alberta, Canada T2N 1,

course on financial institutions, rather than "Topics in Risk Management". It will extend far beyond basic

risk management, if it uses the whole of the proposed textbook.

In general, I must say that the program would benefit from a more unified course outline format and

some sort of map for the students that describes what they will learn in each course and how the

material in each course relates to that in other courses. There is no doubt in my mind how this map

would look, and I'm sure it is clear to the designers of the program. I just do not think it will be obvious

to the students who read the course outlines.

Two courses that seem a lithe unusual in the program are BUS 863.2 "Managing Operational Risk" and

Bus 866 "Enterprise-wide Strategic Risk Management". They seem to have a much broader and more

strategic corporate style than the others. They may well be regarded by the students as the "soft"

courses in the program. There will be a struggle for the students to see how the material in these two

courses is essential in the context of the other quantitative courses in the program. If they are to be

kept in the program, some care should be taken to integrate them into the program, since they seem a

bit like an add-on.

The adequacy of the faculty and other resources available to the proposed program for

achieving its intended goals

The list of faculty members is very strong. It combines a nice blend of high-profile senior professors and

strong young professors, so the program should be able to sustain itself over time as the older

professors retire and the young ones move up to fill their shoes. The group does have a significant

international reputation and will be able to take the program to a high level.

The demand for the proposed program among prospective students

I believe that student demand is driven by industry demand, and I address that below.

The demand for graduates of the proposed program

The finance industry seems to have an enormous appetite for highly trained risk managers. Many of

them are called "quants", denoting that their strength is a quantitative training in physics, mathematics

or engineering. The weakness of many industry quants is that they often don't have a full training in

finance or economics. This program design solves that problem, since the students are trained in the

more traditional finance and econometrics courses. On the other hand, the program is a step above the

traditional MBA program in finance, because these programs traditionally limit the students to 4 or 5

courses in finance and economics.

Thus, the program fits a special niche to supply managers between the mathematical quants and the

traditional MBAs. I believe that there is a significant demand for this niche. For example, in Calgary, I

see demand for this niche from energy firms (producers, traders, pipelines, retailers), portfolio

managers and banks: I attend some of their professional meetings and find dozens of people in

attendance. There is high demand in other Canadian and US money centres for people with this

training.

Yours truly,

Dr. Gordon Sick

Professor of Finance

?

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?3.

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July 29, 2007

Tnide Heift

Associate Dean of Graduate Studies

Office of the Dean of Graduate Studies

Maggie Benston Centre 1100

SIMON FRASER UNIVERSITY

8888 University Drive

Burnaby, BC V5A 1S6 Canada

Dear Professor Heift:

I am writing in response to your request for my views on the proposed Financial Risk

Management program in Business Administration at Simon Fraser University.

My overall assessment is positive. I think this a generally a well thought out program that will

achieve its objectives and that addresses an area that is important to the community and the

University. I have no serious reservations about the program.

My review is structured around the questions that you have asked me to address.

1. The academic merit and structural integrity of the proposed program.

• ?

The overall academic base of the program is, in my opinion, solid. The program builds on a

solid foundation in the risk management area to provide considerable depth in a number of

topics. My one structural concern is the almost total absence of corporate finance. The

program seems to take a derivatives approach to risk management: Taking fundamental value

as given, this approach considers the way in which contracts can be managed. In my opinion,

it is worth spending some time (more than is currently allotted in the intro course) to

understanding the process of value creation within the corporation. I realize, however, that

most programs in risk management take the same approach that SFU plans to take. I do not

see this as a fatal or even serious flaw but do want to point it out.

I have reviewed the course outlines that you provided. The courses generally seem to meet

the standards one would expect in this sort of program and the introductory courses (the first

three offered) seem to be above this standard. There are only a few of qualifications to my

overall assessment of the courses:

a.

I am afraid that the operational risk courses deals with subject matter that I am not

familiar with so I don't feel I can judge it adequately. I would note, however, that the

readings and focus of this course seem to be very practitioner oriented, raising the

possibility that it does not deal with more primitive issues in depth.

b.

The business finance course seems to be mostly a derivatives course and does not

seem to deal with corporate finance issues in detail

c.

There was no textbook or other material provided for Market Risk, but the topics

seemed appropriate.

d.

The Topics course uses Thomas and Saunders as a text. This seems narrow and

constraining for a topics course.

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LA

2.

The adequacy of the faculty and other resources available to the proposed program for

achieving its intended goals?

You did not provide me with faculty CVs so I was not able to consider the research output of

this group. I am, however, familiar with the work of several of the faculty and have a very

favorable impression of the group overall. There are some excellent scholars in this group who

can certainty achieve the goals of the program. Assuming the faculty I am less familiar with are

of the same quality, I am confident this group can implement and deliver a successful program.

My one concern in the faculty area is bench-strength. My sense is that there are not many

other faculty currently at SFU who could help deliver the program. A few key losses would put

the program in jeopardy.

3.

The demand for the proposed program among prospective students

The proposal brief states that there are four applicants for every admission at present. It does

not provide information on how many offers were made and rejected or on the quality of the

applicant pool. Stilt, this seems to indicate that there is considerable demand for the program.

I do note, however, that there is quite a proliferation of programs of this sort at present. There

are several programs in North America that are very similar and there are likely to be more in the

years to come.

4.

The demand for graduates of the proposed program

My sense is that the demand for students with good finance related skills is strong and

growing. I feel there is also a strong demand for the more focused, technical skills that this

program will provide. I should add, however, that this is based on casual observations and

wouldn't be surprised if placement services had a different view of the market.

I hope that you find this review to be of help to you. if you need further assistance, please do not

hesitate to call or write.

Sincerely

Ron Giammarino

.

2

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I ?

I ?

I

From ?

"Usha ?

ADD SE

<umiftoo@cc.umanitoba.ca

>

To: ?

Vivian Blaker <blaker@sfu.ca

>

Date: ?

Sat, 28 Jul 2007 17:47:43 -0500

Subject:

?

Re: Review of new graduate program proposal - MFRM

attached

Attachments:

To

SIm

Fraser

REYIEW July 2007.doc LSCAN fOR YJRUSEST]

Dear Dean Heift:

Enclosedplease find.my

review of the proposed master of Financial Risk

Management program in Business Administration at Simon Fraser University.

Overall, the proposed program is well-designed and would provide

strong skills to students in all aspects of risk management in

financial industry. Detail review is enclosed.

Please feel free to contact me if you have any questions.

Sincerely

Usha Mittoo

• Usha R. Mittoo

Bank of Montreal Professor in Finance

I.H.Asper School of Business

Deparment of Accounting and Finance

University of Manitoba

Winnipeg, Manitoba, Canada, R3T 5V4

Tel: (204)474-8969

Fax: (204)474-7545

Review of Program Proposal:?

Master of Financial Risk Management

?

Simon Fraser University

Reviewer: Dr. Usha R. Mittoo

A: The academic merit and structural integrity of the proposed program

The main goal of the program is to produce graduates with a high level of expertise in

identifying, measuring, and managing risks in the financial services industry. The

program focuses on both the financial and strategic risks facing financial institutions.

The curriculum consists of 42 credit hours over three academic terms and covers the

following components:

1.

Foundations in asset pricing, investments, and derivatives (12 credit hours)

2.

Advanced courses in risk management (12 credit hours)

3.

Special topics in risk management (12 credits), and

4.

Final project (capstone course) in risk management (3 credit hours)

The foundation courses cover both the theory and practice of measuring and managing

financial and strategic risk. The advanced courses build on the foundation courses and

provide indepth coverage of the major risk areas confronting financial institutions: capital

markets, fixed income, operational risk, and credit risk. The special topic courses

provide advanced quantitative skills in risk management techniques and methods using

statistical methods and software. These courses cover several special topics in risk

modeling, such as value at risk, and default probability, that are very relevant to financial

firms. In the capstone course, the students are expected to demonstrate the skills learned

in the program through an indepth research on a selected topic in risk management under

the supervision of a faculty member.

The number of courses (credit hours) offered in the proposed program are comparable to

those in a standard Master or MBA Program. While major emphasis of the program is on

the theory and practice of risk management, it also provides some breadth courses from

related disciplines including MIS, marketing, accounting, and business strategy. Several

courses are offered jointly with the MBA in Global Business Management Program. The

students also get exposure to the current issues facing the industry through speaker series,

and student participation in the GAWM Student Investment Advisory Service.

One area that could be strengthened is international finance. With the globalization of the

financial markets, the knowledge of the international environment is important to

identify and understand the risk exposure of all

firms,

especially the financial firms.

Although parts of this coverage would be done in different courses, a three credit hour

course in international financial markets and services would enhance students' skills in

understanding the role of institutions in the global context.

0

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)

Overall, the program has a strong curriculum that offers a solid training in different

. ?

aspects of risk management. The curriculum is consistent with the goals of the program

and will provide indepth training in theoretical and quantitative methods in measuring

and managing different types of risks facing financial industry.

B:

The adequacy of the Faculty and other resources available to the proposed

program for achieving its intended goals

The Faculty involved in the program are fully capable of delivering a high quality

program. The finance faculty include several recent Ph.Ds as well as internationally

known scholars in risk management area. Dr. Robert Grauer is well known for his work

in Asset Pricing and portfolio management. He has published in several top journals such

as

Journal of Finance

and

Journal of Banking and Finance

and has supervised many

graduate dissertations. Dr. Peter Klien specializes in derivative areas and has won

several awards for his papers. He has also published in top finance journals including

Journal of Financial Economics

and

Journal of Banking and Finance.

Dr. Robert Jones

is known for his work in financial intermediation and the economics of uncertainty. The

professors from marketing, business strategy, MIS, and accounting disciplines bring

broad and complementary strengths to the program. The strong research strengths of the

faculty should result in high quality of research projects. The faculty has a good track

record of developing successful program, such as the GAWM program, and the proposed

new program on corporate governance in conjuction with the UBC and University of

Toronto. The synergies from these programs should enhance the quality of the Master in

Risk Management Program.

C:

The demand for the proposed program among prospective students

The requirements for the applicants are similar to that in an MBA program but with more

demanding quantitative skills. There already appears to be a strong interest in the

program based on the large number of applications received in the program. There should

be a steady pool of applicants from the undergraduate commerce program and

professionals working in the finance industry with strong mathematical skills.

D:

The demand for graduates of the proposed program

The financial industry has changed dramatically in the 1990s with the deregulation and

the globalization of financial markets and services. The industry faces new challenges

and risk management has become more complex in this highly competitive environment.

Currently, few graduate programs cater to the changing needs of the

financial

industry.

The program builds a unique niche by serving this need through graduates that are highly

skilled in measuring and managing both financial and business risk using highly

sophisticated quantitative tools and techniques. The demand for graduate students should

be high in financial as well as non-financial institutions, especially since the program has

been launched with the strong support of local financial and business community.

0

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Summary:

The proposed Master of Financial Risk Management is well-designed and would provide

strong skills to students in all aspects of risk management in financial industry. The

unique

features

of the program are its emphasis on both asset and liability as well as

strategic risk management, and rigorous training of students in identifying, measuring,

and managing risk. Although the program is tailored primarily for the finance industry,

these skills would also be in high demand in other corporations. The strong endorsement

from the Business Council is a plus factor that should be very helpful in evaluating and

strengthening the program on a continuous basis.

.

96

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I.)

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?

RESPONSES TO REVIEWER CONCERNS REGARDING THE SFU MASTER'S

?

OF RISK MANAGEMENT PROGRAM

Overview

The three reviewers of the Financial Risk Management (FRM) Masters program, Gordon

Sick of the University of Calgary, Ron Giammarino of the University of British

Columbia, and Usha R. Mitto of the University of Manitoba, agree that the academic

merit of the FRIVI program is strong, that there are adequate resources for the FRM

program to achieve its goals, that there is student demand for the FRM degree, and that

there is employer demand for graduates of the FRM program.

We summarize statements from the reviewers that lead us to this conclusion and

comment on the concerns identified by the reviewers of the FRM program.

Academic Merit

Gordon Sick: "The program design contains may (sic) recognizable and well-established

types of courses in finance and economics. Looking at the course outlines, I can see that

the instructors take these courses to the leading edge of their respective topics."

Ron Giammarino: "The overall academic base of the program is, in my opinion, solid."

Usha R. Mitto: "Overall, the program has a strong curriculum that offers a solid training

in different aspects of risk management." "The proposed Master of Financial Risk

Management is well-designed and would provide strong skills to students in all aspects of

risk management in the financial industry."

Comment on Reviewer Concerns.

Gordon Sick raises some concerns with the title of courses, clarity of the relation between

specific courses, mapping of program content for student guidance through course

outlines, and the contribution of

"soft"

course topics, identified as "Enterprise-Wide

Strategic Risk Management" and "Managing Operational Risk," to the FRM program.

The first three issues can easily be handled administratively. The courses, Enterprise-

Wide Risk Management, Managing Operational Risk, and, not identified by Gordon Sick,

"Aspects of Insurance Risk Management," broaden the FRM program of studies beyond

purely financial risks - like interest rate and exchange rate volatility. It is important for

students to recognize that there are many sources of risk beyond financial risks, experts in

the control of these risks come from disciplines outside of finance, and that the

management and control of these risks have professional methods that differ distinctly

from the management of financial risks. We fear that if we unduly restrict the instructors

of these courses to fit a common theme, or eliminate these courses from the FRM

0

?

program, students will lose the appreciation for distinct sources and management of risk.

30.

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Ron Giamarino is concerned that the FRM program has a "total absence of corporate

finance." He believes, "... it is worth spending some time (more than is currently allotted

in the intro course) to understanding the process of value creation."

We attach to this document the course outline for BUS 802 - Foundations of Financial

Economics taught in FALL 07 by Visiting Professor Michel Dubois. We note that topics

9-12 and

13-15

are corporate finance topics. Since topic 7 appears to be missing,

Professor Dubois intends on spending about one half of his course on topics of corporate

finance. An additional topic in this course on why corporate hedging (risk reduction)

does or does not create wealth would be valuable for setting the stage for students for

more esoteric risk management methods that they learn in later courses.

Usha Mitto is concerned that the FRM program could be "strengthened in international

finance." FRM students study financial securities to control exchange rate risk -

exchange rate derivative securities - in BUS 814 - Derivative Securities and in BUS 818

- Advanced Derivative Securities. Exchange rate volatility is a primary source of risk

identified, studied, and managed in BUS 865 - Market Risk Management. In addition, in

the Student Investment Advisory Service (SIAS), FRM students have the opportunity to

participate in the management of a portfolio that includes international financial assets

(about a third of the portfolio by market value).

Resources

Gordon Sick: "The list of faculty members is very strong. It combines a nice blend of

high-profile senior professors and strong young professors, so the program should be able

to sustain itself over time as older professors retire and the young ones move up to fill

their shoes."

Ron Gianimarino: "There are some excellent scholars in this group who can certainly

achieve the goals of the program."

Usha Mitto: "The Faculty involved in the program are fully capable of delivering a high

quality program."

Comment on Reviewer Concerns.

Ron Giammarino has concerns that "A few key loses would put the program in

jeopardy."

Hiring and retaining faculty is always a difficulty in the finance area because high

salaries elsewhere and good alternative opportunities for finance faculty - including the

financial industry. Despite this challenge the finance area of the Faculty of Business

Administration has over the years consistently hired good quality young scholars. These

scholars are growing and maturing academically. For example, Daniel Smith and Amir

Rubin will take more active roles in the FRM program in the future. Last year, the

finance area hired three young and talented assistant professors and we except that as

they mature they will take an active role in the FRM program. The finance area of the

31.

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FBA is in the market to hire an addition faculty member this year. However, we agree ?

with Professor Giammarino that it is possible that hiring and retention problems could

?

- .-- cOthpromiseOur ability to sustain the FRM program. These problems have not yet arisen.

Student Demand for FRM

Gordon Sick: "I believe student demand is driven by industry demand ..."

Ron Giammarino: "The proposed brief states that there are fur applicants for every

admission at present." "...this seems to indicate that there is considerable demand for the

program."

Usha R. Mitto: "There should be a steady pool of applicants ..."

Comment on Reviewer Concerns.

Professor Giammarino is concerned that "there is quite a proliferation of programs of this

sort at present."

Of course, if we cannot attract good students in the future, we would not continue with

the program. However, given the growth and expected growth in the financial industry,

•

?

ever increasing need for specialized employees, and retirement of senior managers in the

financial industry, we expect a consistent stream of applicants to this program in the

future.

Employer Demand for FRM graduates

Gordon Sick; "The finance industry seems to have an enormous appetite for highly

trained risk managers."

Ron Giammarino: "My sense is that the demand for students with good finance related

skills is strong and growing."

Usha R. Mitto: "The demand for graduate students should be high in financial as well as

non-financial institutions ..."

Comment on Reviewer Concerns.

No concerns. No need for comment.