財務風險管理
Financial Risk Management
| 節 | 週三 | 週四 |
|---|---|---|
5 13:20–14:10 | 財務風險管理 M102（光復） 2 節連堂 | |
6 14:20–15:10 | ||
A 18:30–19:20 | 財務風險管理 M102（光復） |
* 根據陽明交大上課時間表所列
課程內容著重於金融機構風險管理,從認識風險與報酬、認定風險、衡量風險、以至於如何運用金融商品管理風險。內容涵括探討市場、信用、作業等風險來源、衡量曝險程度的風險值(Value at Risk)、以及對銀行業風險管理之新巴塞爾協定(Basel III)等。
教師未提供此項資料
無備註
Appointment by Email jiahau@faculty.nctu.edu.tw 03-5733260
課堂參與 (20%)、期中考 (30%)、學期考試或報告 (50%)
Risk and VaR
1.Measuring Interest Rate Risk 2.Monitoring Volatility 3.Monitoring Correlation 4.the VaR Measure
- 講授：
- 100%
Basel II, III, and Economic Capital
1.the 1988 BIS Accord 2.Basel II, III 3.Credit Rating 4.Credit VaR 5.Market Risk 6.Operational Risk 7.Liquidity Risk 8.RAROC
- 講授：
- 100%
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction |
| 第 2 週 | The VaR Measure |
| 第 3 週 | Market Risk VaR: Historical Simulation Approach |
| 第 4 週 | Market Risk VaR: Model-Building Approach |
| 第 5 週 | Economic Capital and RAROC |
| 第 6 週 | Financial Products for Hedging |
| 第 7 週 | 期中考 |
| 第 8 週 | How Trader Manage Their Exposures (Case study: Barings Bank’s Collapse) |
| 第 9 週 | Interest Rate Risk (Case study: Bankruptcy of Long-Term Capital Management) |
| 第 10 週 | Volatility |
| 第 11 週 | Correlations and Copulas |
| 第 12 週 | Bank Regulation and Basel II, III |
| 第 13 週 | Credit Risk: Estimating Default Probabilities |
| 第 14 週 | Credit Risk Losses and Credit VaR |
| 第 15 週 | Credit Derivatives (Case study: Lehman Brother’s credit crunch) |
| 第 16 週 | Operational Risk |
| 第 17 週 | Model Risk and Liquidity Risk |
| 第 18 週 | 學期考試或期末報告 |
Risk Management and Financial Institutions, 4th Edition, John C. Hull.
- 地點
- Management Building I, Room 411
- 時間
- (三)XEF
- 聯絡方式
- Appointment by Email jiahau@faculty.nctu.edu.tw 03-5733260