信用風險
Credit Risk
| 節 | 週三 |
|---|---|
8 16:30–17:20 | 信用風險 M101（光復） 3 節連堂 |
9 17:30–18:20 | |
A 18:30–19:20 |
* 根據陽明交大上課時間表所列
課程設定於探討信用風險評價與測度相關之理論觀念、實務應用與實證研究等基礎,包含既有兩大類信用風險相關商品評價方法:簡化模型與結構模型。課程也探討信用風險有關時間序列之性質,例如破產機率、收回率、評等轉變矩陣及殖利率差等。也會討論相關信用衍生商品如信用違約交換、擔保債權憑證、信用保證、授信額度及率差選擇權等。
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評量方法:課堂參與 (40%)、期末報告(60%)
Conceptual Approaches to Valuation of Default Risk
1.Default Arrival 2.Ratings Transitions 3.Reduced-Form Pricing 4. Structural Models
- 講授：
- 100%
Credit Derivatives and Additional Topics
1.CDS 2.CDO 3.Other Credit Derivatives 4.Recent Researches
- 講授：
- 100%
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction |
| 第 2 週 | Economic Principles of Risk Management |
| 第 3 週 | Default Arrival: Historical Patterns and Statistical Models |
| 第 4 週 | Ratings Transitions: Historical Patterns and Statistical Models |
| 第 5 週 | Conceptual Approaches to Valuation of Default Risk |
| 第 6 週 | Reduced-Form Pricing |
| 第 7 週 | Structural Models |
| 第 8 週 | Credit Swaps |
| 第 9 週 | Optional Credit Pricing |
| 第 10 週 | Correlated Defaults |
| 第 11 週 | Collateralized Debt Obligations |
| 第 12 週 | Integrated Market and Credit Risk Measurement |
| 第 13 週 | Empirical Models of Defaultable Bond Spreads |
| 第 14 週 | Paper Report and Discussion |
| 第 15 週 | Paper Report and Discussion |
| 第 16 週 | Paper Report and Discussion |
| 第 17 週 | Paper Report and Discussion |
| 第 18 週 | 期末考試或報告 |
自編教材及Selected Papers Reference Books: 1. "Credit Risk Measurement In and Out of the financial Crisis” by Anthony Saunders and Linda Allen. (3th, Wiley Finance) 2. "Credit Risk: Pricing, Measurement and Management” by Darrell Duffie and Kenneth J. Singleton. (Princeton)
- 地點
- 管一館411室
- 時間
- (三)X(四)X
- 聯絡方式
- Appointment by Email jiahau@faculty.nctu.edu.tw 03-5712121#57078