課程概述 |
Course Risk Management
Semester Fall 2007
Instructor 曾郁仁
3366-1082 (Email: tzeng@ntu.edu.tw)
Office: II 709 (office hours by appointment)
References:: Risk-Based Capital, NAIC, 2003
Financial Institutions Management, Saunders and Cornett,
5th Edition, 2006
Integrated Risk Management, Doherty, 2003
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 institutions especially in insurance companies.
Course Outlines
Lectures
Risk in Financial Institutions
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
Moments/Stochastic Dominance
Covariance/Sensitivity
Value at Risk/Conditional Value at Risk
Risk Management in Financial Institutions
Liability and Liquidity Management/Deposit Insurance/Capital Adequacy
Diversification/Derivatives/Securitization
Risk Management in Insurance
ALM/Reinsurance/RBC
Diversification/Derivatives/Securitization
Grade
Your Score = 40% Midterm + 30% Presentation + 30% Report.
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