信用風險與應用
Credit Risk and Its Applications
| 節 | 週四 |
|---|---|
5 13:20–14:10 | 信用風險與應用 M205 3 節連堂 |
6 14:20–15:10 | |
7 15:30–16:20 |
* 根據陽明交大上課時間表所列
The learning goal of this course is to introduce the methods of firm credit risk assessment, including the settings, implications, and applications of credit risk models in academic literature. This study firstly introduces the common credit risk models in academics and practices and then utilizes the case study and project presentation as the applications. The training of this course is useful in bank loan practices and credit derivatives pricing. 本課程的學習目標為訓練學生具有企業信用風險評估能力,並輔以個案及實作來進行。本課程將先介紹學理與實務上常使用的信用風險評估模型,在使學生瞭解信用風險模型的邏輯及原理後,利用個案實作提高學生對模型的掌握度。本課程可應用在企業授信實務及信用衍生性商品評價上。
Lecture, Practices, Case Study 課程以講授教材內容、個案實作為主,輔以個案時事討論
Mid-term Exam (40%), Term Project (40%), Oral Presentation (10%)、Participation(10%) 期中考(40%)、期末報告(40%)、口頭報告(10%)、課堂參與(10%)
- Exercises of Bank loan projects 企業授信個案實作
- Introductions of Credit Risk Models 信用風險模型介紹
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction導論 |
| 第 2 週 | Introductions of Credit Risk (I): Structural-form Credit Models信用風險導論(I): 結構型信用風險模型 |
| 第 3 週 | Introductions of Credit Risk (II): Structural-form Credit Models信用風險導論(II):結構型信用風險模型 |
| 第 4 週 | Introductions of Credit Risk (III): Structural-form Credit Models信用風險導論(III):結構型信用風險模型 |
| 第 5 週 | Introductions of Credit Risk (IV): Reduced-form Credit Models信用風險導論(IV):縮減型信用風險模型 |
| 第 6 週 | Merton Model and KMV Model (I)Merton (1974)模型與KMV模型(I) |
| 第 7 週 | Merton Model and KMV Model (II)Merton (1974)模型與KMV模型(II) |
| 第 8 週 | Merton Model and KMV Model (III)Merton (1974)模型與KMV模型(III) |
| 第 9 週 | Mid-term Exam期中考 |
| 第 10 週 | Bank Loan Credit Risk (I): Financial Quality Assessments企金徵信與審查 (I):財務體質檢測 |
| 第 11 週 | Bank Loan Credit Risk (II): Financial Quality Assessments企金徵信與審查 (II):財務體質檢測 |
| 第 12 週 | Bank Loan Credit Risk (III): Credit Risk Assessments企金徵信與審查 (III):授信風險評估 |
| 第 13 週 | Bank Loan Credit Risk (IV): Credit Risk Assessments企金徵信與審查 (IV):授信風險評估 |
| 第 14 週 | Term Project Presentation (I)期末報告(I) |
| 第 15 週 | Term Project Presentation (II)期末報告(II) |
| 第 16 週 | Term Project Presentation (III)期末報告(III) |
Lecture Notes, News, Research Papers 講義、新聞、相關研究論文
- 地點
- M212, Management Building I 管理一館M212
- 時間
- By appointment
- 聯絡方式
- E-mail:vocterchen@nctu.edu.tw Phone: 03-571-2121 ext 57124 Room:管理一館M212