课程大纲
COURSE SYLLABUS
1.
课程代码/名称
Course Code/Title
高级金融风险管理 Advanced Financial Risk Management
2.
课程性质
Compulsory/Elective
选修课 Elective
3.
课程学分/学时
Course Credit/Hours
3/48
4.
授课语言
Teaching Language
英文 English
5.
授课教师
Instructor(s)
王赫 助理教授 金融系
6.
先修要求
Pre-requisites
7.
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
8.
教学方法
Teaching Methods
讲授法、讨论法
Teaching, Discussion
9.
教学内容
Course Contents
Section 1
Banks, Insurance Companies and Pension Plans, Mutual Funds and Hedge
Funds
Section 2
Trading in Financial Markets
Section 3
The Credit Crisis of 2007
Section 4
Valuation and Scenario Analysis: The Risk-Neutral and Real Worlds
Section 5
How Traders Manager Their Risks
Section 6
Interest Rate Risk
Section 7
Volatility, Correlations and Copulas
Section 8
Value at Risk and Expected Shortfall, Historical Simulation and Extreme Value
Theory, Model-Building Approach
Section 9
Basel-I, Basel-II, and Solvency II
Section 10
Managing Credit Risk: Margin, OTC markets, and CCPs
Section 11
Estimating Default Probabilities, CVA and DVA, Credit Value at Risk
Section 12
Scenario Analysis and Stress Testing
Section 13
Operational Risk, Liquidity Risk, Model Risk
Section 14
Economic Capital and RAROC
Section 15
Enterprise Risk Management
Section 16
Risk Management Mistakes to Avoid
10.
课程考核
Course Assessment
课堂表现 Class:10% 课程项目 Projects:20% 期中考试 Mid-Term Test:30% 期末考试 Final Exam:40%
11.
教材及其它参考资料
Textbook and Supplementary Readings
Risk Management and Financial Institutions 4th Edition, John Hull
