COURSE RISK MANAGEMENT

INSTRUCTOR 蔡志鴻
email:( johntsai818@ntu,edu,tw) (johntsai818@gmail.com)
(OFFICE HOURS BY APPOINTMENT)
TEXTBOOK : FINANCIAL INSTITUTIONS MANAGEMENT, SAUNDERS AND CORNETT, (SC)
INTEGRATED RISK MANAGEMENT, DOHERTY, (RM)
REFERENCES: RISK-BASED CAPITAL, NATIONAL ASSOCIATION OF INSURANCE COMMISSIONERS,
PROPOSAL OF RISK BASED CAPITAL, TAIWAN (RBC)

OBJECTIVES
THE COURSE IS DESIGNED FOR GRADUATE STUDENTS. THE COURSE CAN HELP STUDENTS TO UNDERSTAND THE CONTEMPORARY DEVELOPMENTS IN TECHNIQUES OF RISK MANAGEMENT AND HOW THESE TECHNIQUES ARE USED TO IDENTIFY, ANALYZE AND MANAGE RISKS IN FINANCIAL INSTITUTION..

COURSE OUTLINES
LECTURES
RISK IN FINANCIAL INSTITUTIONS (SC)
INTEREST RATE RISK/CREDIT RISK/MARKET RISK
FOREIGN EXCHANGE RISK/SOVEREIGN RISK/LIQUIDITY RISK
RISK IN INSURANCE
INVESTMENT RISKS/ CREDIT RISKS/ UNDERWRITING RISKS
INTEREST RATE RISKS/ RESERVE RISKS/ OPERATION RISKS
RISK MEASUREMENTS (SC)
MOMENTS/STOCHASTIC DOMINANCE
COVARIANCE/SENSITIVITY
VALUE AT RISK/CONDITIONAL VALUE AT RISK
RISK MANAGEMENT IN FINANCIAL INSTITUTIONS (SC) (RM)
LIABILITY AND LIQUIDITY MANAGEMENT/DEPOSIT INSURANCE/CAPITAL ADEQUACY
DIVERSIFICATION/DERIVATIVES/SECURITIZATION
WHY IS RISK COSTLY TO FIRMS? (RM)
RISK MANAGEMENT STRATEGY: DUALITY AND GLOBALITY (RM)

GRADE
YOUR SCORE = 20% PRESENTATION + 20% REPORT + 40% MIDTERM + 20% PARTICIPATION.