NUS Risk Management Institute

Certification Programs

Berkeley-NUS Certificate in Financial Engineering

OVERVIEW

The Certificate in Financial Engineering is a program that evolved out of collaboration between two premier global institutions of higher learning - the University of California, Berkeley (UC Berkeley) and the National University of Singapore (NUS). Internationally renowned Professors from the Haas School of Business, UC Berkeley Finance Department and the NUS Business School and the NUS Risk Management Institute will teach in the program.

This program will equip professionals from the finance sector with skills and knowledge in financial engineering. This will lead to a better understanding of the causes of the financial crisis, and help participants to avoid pratfalls and mistakes that others have committed. The modules are distinct, but integrated to provide a coherent and deep insight into the theory and practice of financial engineering.

TARGET AUDIENCE

Chief Financial Officers, Chief Investment Officers, Derivative Portfolio Managers, Analysts, Traders, Risk Managers, Structured Product Developers and Other Financial Executives.

MODULE 1: 2 - 6 November 2009

Building & Pricing Derivatives and the Bridge to Risk Management

·         Financial Markets and Arbitrage Pricing

·         Forward and Future Markets

·         Binomial Option Pricing

·         Black-Scholes Formula and Applications

·         Swaps Markets

·         Numerical Option Pricing

·         Stock Market Derivative Disasters

MODULE 2: 16 -20 November 2009

Fixed Income Securities: Bonds, ABS and Risk Management

·         Basics of Bond Valuation

·         Term Structure of Interest Rates:

           - In Normal & Distressed Times

           - Empirical Analysis – Trading Lab Exercise

           - Modeling

           - Applying Valuation Tools

·         Valuing Interest Rate Derivatives

·         Continuous - Time Interest Rate Models

·         Credit Derivatives and Changes Post-Crisis

·         Hedging Multiple Credit Risks

·         The Rating Agencies

·         Asset Backed Securities:

           - Economics of Securitization

         - Structuring and Valuation of Mortgage Backed Securities

         - Structuring for Multiple Risks

·         Asset Backed Derivatives: CDOs, Indices, CDS and Hedging

SPEAKERS

Dr. Oliver CHEN, National University of Singapore

Prof. Jin-Chuan DUAN, National University of Singapore

Prof. Anand SRINIVASAN, National University of Singapore

Prof. Johan WALDEN, University of California, Berkeley

Prof. Nancy WALLACE, University of California, Berkeley

Luncheon talks on current issues

Public can attend these talks for a nominal fee of $20/session. Buffet lunch will be provided.

04 November 2009

Performance management at financial institutions: Where theory and practice collide

by Jeffrey Bohn, Standard Chartered Bank

18 November 2009

The financial crisis: A question of guilt

by Paul Embrechts, ETH Zurich

FEE STRUCTURE

You may select any individual module or the complete program at the following rates:

Any 1 Module:	US$5,000 (equivalent of S$7,500)
Complete Program:	US$9,000 (equivalent of S$13,500)

The fee quoted includes program materials, lunches and refreshments. Accommodation and miscellaneous costs are not included in the fee.

GROUP DISCOUNT

We are pleased to offer the following group discounts:

20% for a group of 3 participants
30% for a group of 5 participants
40% for a group of 10 participants and above

EARLY BIRD OFFER

FINANCIAL SECTOR DEVELOPMENT FUND (FSDF)

The Monetary Authority of Singapore (MAS) administers grants to financial sector organisations that sponsor eligible participants to training programmes that meet qualifying criteria. For enquiries, please contact the MAS at 6229-9396 or via email at fsdf@mas.gov.sg.

REGISTRATION

Download form

For enquiry, please contact Ms E'leen Lau at Tel: 6516 7127,

email: rmilyh@nus.edu.sg.