財務風險管理
Financial Risk Management
| 節 | 週三 |
|---|---|
7 15:30–16:20 | 財務風險管理 M102 3 節連堂 |
8 16:30–17:20 | |
9 17:30–18:20 |
* 根據陽明交大上課時間表所列
The major goal of this course is to provide students with complete understanding of risk management for financial institutions by exploring topics in risk management along with various mathematical tools. We talk about what risk management is, what the proper role for a risk manager within a financial organization is, and what risk managers do on a day-to-day basis. The knowledge mentioned in this course includes risk identification and risk measurement. We discuss market risk, credit risk, operational risk, and cash flow at risk (CFVaR) or liquidity at risk (LaR). This course may also be helpful for students who come with very strong foundation in mathematics but know less about the workings of financial markets or the role of risk managers within a financial firm.
Futures and Options
Appointment by Email gjiahau@nycu.edu.tw 03-5733260
課堂參與及作業練習 (50%)、學期考試或報告(50%)
| 週次 | 主題 |
|---|---|
| 第 1 週 | Overview of Financial Risk Management |
| 第 2 週 | Probability and Distribution |
| 第 3 週 | Maximum Likelihood Estimation |
| 第 4 週 | Market Risk: Standard Deviation |
| 第 5 週 | Market Risk: Value at Risk |
| 第 6 週 | Market Risk: Expected Shortfall |
| 第 7 週 | Extreme Value Theory |
| 第 8 週 | 校際活動週放假 |
| 第 9 週 | Market Risk: Portfolios and Correlation |
| 第 10 週 | Market Risk: Beyond Correlation |
| 第 11 週 | Market Risk: Risk Attribution |
| 第 12 週 | Credit Risk |
| 第 13 週 | Credit Risk: Structural Model vs. Reduced Model |
| 第 14 週 | Credit Risk: Copulas |
| 第 15 週 | Liquidity Risk: CFVaR |
| 第 16 週 | 學期考試或期末報告 |
| 第 17 週 | Bayesian Analysis (Optional) |
| 第 18 週 | Behavioral Economics and Risk (Optional) |
Selected Papers Reference Books: “Quantitative Financial Risk Management” by Michael B. Miller (Wiley, 2019)
- 地點
- Management Building I, Room 411
- 時間
- (三)XEF
- 聯絡方式
- Appointment by Email gjiahau@nycu.edu.tw 03-5733260