Not directly related but I did this as a masters degree many years ago, but not in Malaysia and with a computer science background. As a degree you'll probably need to focus a lot on the programming and math side before the financial engineering bit makes sense in my opinion.
For those who already have some interest/knowledge in financial engineering you can do something hands on for example with QuantConnect and actually make some decent pocket money if your'e good enough. I used to follow Quantopian but sadly they were acquired and closed down recently
Financial Engineering, Does it have future in Malaysia?