課程概述 |
1. Specialness, Risks and Regulation of Financial Institutions(2/18/2011與2/25/2011)
-金融機構的特殊性與金融監理的重要性/金融機構的風險/利率風險�市場風險�信用風險/ OBS風險�技術與作業風險�外匯風險主權風險�流動性風險�倒閉風險
*Saunders: Ch. 1 & 7
*Mishkin,F.S, “The Economics of Money, Banking and Financial Markets”,
2010, sixth Edition, Addison-Wesley金融監理的經濟分析(Ch.11)
*個案研討:簽訂ECFA對我國銀行業的衝擊與影響
2. Interest Rate Risk Measurement and Management(3/04/2011)
專題演講: 利率風險管理實務 (台灣人壽)
3. Interest Rate Risk Measurement and Management(3/11/2011 &3/18/2011)
-到期日模型�期間模型�重新訂價模型
* Saunders: Ch. 8~9
4. CSBF conference (停課一次) (3/25/2011. 將在6/17下午補課)
5. Credit Risk Measurement and Management(4/1/2011)
-個別貸款風險�貸款投資組合風險
* Saunders: Ch. 11~12
6. Risk Management of Derivative Securities(4/8/2011與4/15/2011)
-期貨與遠期�選擇權、上限(Caps)、下限(Floors)與上下限(Collars)�交換(Swaps)
* Saunders: Ch. 23~25
*個案研討: 雷曼事件與金融海嘯對美國監理的挑戰
7. 期中考試(4/22/2011)
8. Bank Mergers & Acquisitions(4/29/2011, 5/06/2011)
-金融機構的合併購併(M & A)趨勢
* Saunders: Ch. 2~6 & Ch.22
9. The Introduction and Management of Non-Bank Banks(5/13/2011)
專題演講: 非銀行金融機構的管理實務 (中租迪和)
* Saunders: Ch. 3~6
10. The Deposit Insurance and Capital Adequacy(5/20/2011)
* Saunders: Ch. 19 & 20
11. 銀行參訪: 中信銀與國泰世華銀行(5/27/2011)
12. 期末考試(6/03/2011)
13. 非銀行機構-中租迪和參訪(6/10/2011)
14. Presentation of Term Reports I(6/17/2011)
(1)Merton, Robert,1979 “An Analytical Derivation of the Cost of Deposit Insurance and Loan Guarantees”, Journal of Banking & Finance 1, pp. 3-11
(2) Buser, Chen, A. and Kane, E., 1981, “Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital.” Journal of Finance, 36, pp.51-60.
(3)Hwang, Dar-Yeh et al, 2009,”The pricing of deposit insurance considering bankruptcy costs and closure policies” Journal of Banking & Finance 33, pp. 1909–1919
15. Presentation of Term Reports II(6/17/2011下午)(補課)
(4).LaPorta, Lopez-De-Silanes, Shleifer, 2002, “Government Ownership of Banks.” The Journal of Finance 57(1), pp. 265-301.
(5).Dinc, Serdar, 2005, “Politicians and Banks: Political Influences on Government- Owned Banks |