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課程名稱 |
市場風險管理
MARKET RISK MANAGEMENT |
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開課學期 |
98-2 |
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授課對象 |
管理學院 財務金融學研究所 |
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授課教師 |
王耀輝 |
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課號 |
Fin7018 |
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課程識別碼 |
723EM1850 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期二6,7,8(13:20~16:20) |
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上課地點 |
管一會三 |
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備註 |
本課程以英語授課。財金所學生優先，管院其他研究生次之。
總人數上限：20人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/982market_risk |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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課程概述 |
This course is about how to measure and manage market risks. We will cover both the conventional value-at-risk (VaR) and the coherent risk analyses. |
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課程目標 |
This course aims to train participants in developing the skills to measure and manage market risks. Therefore, after completing the course students should:
•Understand the development in market risk management,
•Be familiar to the techniques for measuring market risks,
•Understand how the risk management can be done via various analytical skills, and
•Understand how to properly manage market risks (with Matlab).
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課程要求 |
Mid-term exam: 30%. Final exam: 45%. Project: 15% Attendance: 10% |
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預期每週課後學習時數 |
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Office Hours |
另約時間 備註： Mid-term exam: 30%. Final exam: 30%. Paper Presentation: 15% Project: 15% |
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指定閱讀 |
(I) Primary Topics
1. The Rise of Value at Risk
2. Measures of Financial Risk
3. Estimating Market Risk Measures
(II) Core Topics
4. Non-parametric Approaches
5. Forecasting Volatilities, Covariances and Correlations
6. Parametric Approaches
7. Extreme Value
8. Monte Carlo Simulation Methods
9. Applications of Stochastic Risk Measurement Methods
10. Estimating Option Risk Measures
11. Incremental and Component Risks
(III) Advanced Topics
12. Mapping Positions to Risk Factors
13. Stress Testing
14. Estimating Liquidity Risks
15. Backtesting Risk Models
16. Model Risk
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參考書目 |
Measuring market risk, by Kevin Dowd, 2nd edition, Wiley 2005. |
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評量方式
(僅供參考) |
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