財務風險管理

Financial Risk Management

學期

111-2

學分

0 學分

當期課號

537711

永久課號

MGIF30071

開課單位

資訊管理與財務金融系財務金融碩博士班

授課教師

郭家豪

校區

光復

類別

選修

上課時間表

節	週三
7 15:30–16:20	財務風險管理 M102（光復） 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

概述

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.

先修科目

Futures and Options

備註

無備註

教學方式

Appointment by Email gjiahau@nycu.edu.tw 03-5733260

評分方式

課堂參與及作業練習 (50%)、學期考試或報告(50%)

課程大綱

教師未提供此項資料

週次計畫

週次	主題
第 1 週	Overview of Financial Risk Management 2023-02-15(三)
第 2 週	Probability and Distribution 2023-02-22(三)
第 3 週	Maximum Likelihood Estimation 2023-03-01(三)
第 4 週	Market Risk: Standard Deviation 2023-03-08(三)
第 5 週	Market Risk: Value at Risk 2023-03-15(三)
第 6 週	Market Risk: Expected Shortfall 2023-03-22(三)
第 7 週	Extreme Value Theory 2023-03-29(三)
第 8 週	校際活動週放假 2023-04-05(三)
第 9 週	Market Risk: Portfolios and Correlation 2023-04-12(三)
第 10 週	Market Risk: Beyond Correlation 2023-04-19(三)
第 11 週	Market Risk: Risk Attribution 2023-04-26(三)
第 12 週	Credit Risk 2023-05-03(三)
第 13 週	Credit Risk: Structural Model vs. Reduced Model 2023-05-10(三)
第 14 週	Credit Risk: Copulas 2023-05-17(三)
第 15 週	Liquidity Risk: CFVaR 2023-05-24(三)
第 16 週	學期考試或期末報告 2023-05-31(三)
第 17 週	Bayesian Analysis (Optional) 2023-06-07(三)
第 18 週	Behavioral Economics and Risk (Optional) 2023-06-14(三)

教科書

Selected Papers Reference Books: “Quantitative Financial Risk Management” by Michael B. Miller (Wiley, 2019)

Office Hours

地點: Management Building I, Room 411
時間: (三)XEF
聯絡方式: Appointment by Email gjiahau@nycu.edu.tw 03-5733260