1
课程详述
COURSE SPECIFICATION
以下课程信息可能根据实际授课需要或在课程检讨之后产生变动。如对课程有任何疑问，请联
系授课教师。
The course information as follows may be subject to change, either during the session because of unforeseen
circumstances, or following review of the course at the end of the session. Queries about the course should be
directed to the course instructor.
1.
课程名称 Course Title
金融风险管理 Financial Risk Management
2.
授课院系
Originating Department
金融系 Department of Finance
3.
课程编号
Course Code
FET303
4.
课程学分 Credit Value
3
5.
课程类别
Course Type
专业选修课 Major Elective Courses
6.
授课学期
Semester
秋季 Fall
7.
授课语言
Teaching Language
英文 English
8.
授课教师、所属学系、联系方
式（如属团队授课，请列明其
他授课教师）
Instructor(s), Affiliation&
Contact
（For team teaching, please list
all instructors）
王赫，助理教授，金融系
He WANG，Assistant Professor, Financial Department
邮箱/Email：wangh9@sustc.edu.cn
办公室/office:慧园 3 栋 305，Wisdom Valley 3#305
9.
实验员/助教、所属学系、联系
方式
Tutor/TA(s), Contact
RA 郝璇杰 Xuanjie HAO
邮箱/Email：11749015@mail.sustc.edu.cn
10.
选课人数限额(可不填)
Maximum Enrolment
（Optional）
授课方式
Delivery Method
讲授
Lectures
习题/辅导/讨论
Tutorials
实验/实习
Lab/Practical
其它(请具体注明)
Other（Please specify）
总学时
Total
11.
学时数
Credit Hours
48
48
2
12.
先修课程、其它学习要求
Pre-requisites or Other
Academic Requirements
公司金融 Corporate Finance FIN206
概率论与数理统计 Probability and Statistics: MA212
13.
后续课程、其它学习规划
Courses for which this course
is a pre-requisite
14.
其它要求修读本课程的学系
Cross-listing Dept.
教学大纲及教学日历 SYLLABUS
15.
教学目标 Course Objectives
Understand how risk affects different types of financial institutions.
Learn the different types of risk and how they are managed
Study the most recent regulatory issues that deal with risk
理解各种风险对于不同的金融机构所产生的影响
了解风险的多样性，以及相应的管理方法
了解最新的金融监管体系
16.
预达学习成果 Learning Outcomes
Tell the essential risks in different types of financial institutions.
Use major financial risk management methods
Understand the key regulation system
分辨各种风险对于不同的金融机构所产生的影响
使用主要的风险管理方法处理金融风险
理解金融监管体系
17.
课程内容及教学日历 （如授课语言以英文为主，则课程内容介绍可以用英文；如团队教学或模块教学，教学日历须注明
主讲人）
Course Contents (in Parts/Chapters/Sections/Weeks. Please notify name of instructor for course section(s), if
this is a team teaching or module course.)
Risk management is important with the dangers inherent in the financial system, and a deep understanding
is necessary for anyone working in the finance industry. A comprehensive introduction to financial risks and
management approaches will help students to get well prepared for their future career developments. The
course will explain different aspects of financial risk and financial institution regulation, helping students
better understand the financial markets and potential dangers. In this course, students will have a chance to
Understand how risk affects different types of financial institutions.
Learn the different types of risk and how they are managed
Study the most recent regulatory issues that deal with risk
Practice makes better. Understanding the in-class practice is extremely important. The take-home
assignments are very good practice for your exams. There will be 1 midterms and 1 final across the whole
semester. The final exam will be cumulative.
风险管理对于处理隐藏于金融体系中的危险情况非常重要。对风险管理的深入理解是每一个金融从业人员所必
须具备的知识。对金融风险和管理方法的介绍，将极大地有助于学生未来从事金融行业做好充分的准备。本课
程将讲解金融风险的多面性和金融机构监管体系，帮助学生更好的理解金融市场和以及相应的潜在风险。在本
课程中，学生将有机会接触到：
理解各种风险对于不同的金融机构所产生的影响
了解风险的多样性，以及相应的管理方法
了解最新的金融监管体系
练习将会有助于更好的学习。课堂上练习尤其重要，课后作业对于取得好成绩也将会有很大帮助。本课程有一
个期中考试和一个期末考试，期末考试将包含期中考试前的内容。
COURSE OUTLINE
Week
Topic
3
Week 1
Syllabus & Chapter 1: Introduction
Week 2
Chapter 2: Banks
Chapter 3: Insurance Companies and Pension Plans
Chapter 4: Mutual Funds and Hedge Funds
Week 3
Chapter 5: Trading in Financial Markets
Week 4
Chapter 6: The Credit Crisis of 2007
Chapter 7: Valuation and Scenario Analysis:
The Risk-Neutral and Real Worlds
Week 5
Chapter 8: How Traders Manager Their Risks
Week 6
Chapter 9: Interest Rate Risk
Chapter 10: Volatility
Chapter 11: Correlations and Copulas
Week 7
Chapter 12: Value at Risk and Expected Shortfall
Chapter 13: Historical Simulation and Extreme Value Theory
Chapter 14: Model-Building Approach
Week 8
Questions & Answers
Mid-term
Week 9
Chapter 15: Basel-I, Basel-II, and Solvency II
Week 10
Chapter 18: Managing Credit Risk: Margin, OTC markets, and CCPs
Chapter 19: Estimating Default Probabilities
Chapter 20: CVA and DVA
Chapter 21: Credit Value at Risk
Week 11
Chapter 22: Scenario Analysis and Stress Testing
Week 12
Chapter 23: Operational Risk
Chapter 24: Liquidity Risk
Chapter 25: Model Risk
Week 13
Chapter 26: Economic Capital and RAROC
4
Week 14
Week 15
Chapter 27: Enterprise Risk Management
Week 16
Chapter 28: Risk Management Mistakes to Avoid
Week 17
Final exam
18.
教材及其它参考资料 Textbook and Supplementary Readings
Risk Management and Financial Institutions 4th Edition, John Hull
课程评估 ASSESSMENT
19.
评估形式
Type of
Assessment
评估时间
Time
占考试总成绩百分比
% of final
score
违纪处罚
Penalty
备注
Notes
出勤 Attendance
课堂表现
Class
Performance
10
小测验
Quiz
课程项目 Projects
20
平时作业
Assignments
期中考试
Mid-Term Test
30
期末考试
Final Exam
40
期末报告
Final
Presentation
5
其它（可根据需要
改写以上评估方
式）
Others (The
above may be
modified as
necessary)
20.
记分方式 GRADING SYSTEM
A. 十三级等级制 Letter Grading
B. 二级记分制（通过/不通过） Pass/Fail Grading
课程审批 REVIEW AND APPROVAL
21.
本课程设置已经过以下责任人/委员会审议通过
This Course has been approved by the following person or committee of authority
金融系课程规划与审核委员会
Curriculum Planning and Review Committee, Dept. of Finance
