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課程資訊 |
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課程名稱 |
保險專題研討二 Seminar on Insurance Topic (Ⅱ) | ||||||||||||||||
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開課學期 |
100-2 | ||||||||||||||||
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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 |
俞明德 | ||||||||||||||||
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課號 |
Fin7039 | ||||||||||||||||
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課程識別碼 |
723 M7120 | ||||||||||||||||
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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 |
星期三6,7,8(13:20~16:20) | ||||||||||||||||
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上課地點 |
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備註 |
限碩士班以上 且 限本系所學生(含輔系、雙修生) 總人數上限：20人 | ||||||||||||||||
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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 |
THE COURSE IS DESIGNED FOR GRADUATE STUDENTS. THE COURSE CAN HELP STUDENTS TO UNDERSTAND THE CONTEMPORARY DEVELOPMENTS IN INSURANCE RESEARCH. THE TOPICS INCLUDE RISK THEORY, ASYMMETRIC INFORMATION, AND INTERACTION OF PUBLIC INSURANCE AND PRIVATE INSURANCE. | ||||||||||||||||
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課程目標 |
This course deals with the ways in which risks are quantified and managed by financial institutions. Among the topics covered are the nature of financial institutions and their regulation, market risk, credit risk, operational risk, liquidity risk, and the credit crisis of 2007 | ||||||||||||||||
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課程要求 |
Reading will be assigned before each class and students are expected to share their thoughts during class via presentation or discussion. | ||||||||||||||||
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預期每週課後學習時數 |
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Office Hours |
每週二 10:00~12:00 | ||||||||||||||||
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指定閱讀 |
“Risk Management and Financial Institutions,” second edition by John C. Hull | ||||||||||||||||
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參考書目 |
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評量方式 (僅供參考) |
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課程進度 |
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週次 |
日期 |
單元主題 |
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第1週 |
2/22 | Syllabus and Introduction (Chapters 1 and 2) |
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第2週 |
2/29 | Introduction; banks (Chapters 1 and 2) |
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第3週 |
3/07 | Insurance companies, pension funds, mutual funds, and hedge funds (Chapters 3 and 4) |
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第4週 |
3/14 | Financial instruments and how individual risks are managed (Chapters 5, 6, and 7) |
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第5週 |
3/21 | Value at risk (Chapter 8) |
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第6週 |
3/28 | Volatility, correlation, and copulas (Chapter 9 and 10) |
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第7週 |
4/04 | Holiady |
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第8週 |
4/11 | The regulation of financial institutions (Chapter 11 ) |
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第9週 |
4/18 | Market risk VaR: historical simulation (Chapter 12) |
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第10週 |
4/25 | Market risk VaR: model building approach (Chapter 13) |
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第11週 |
5/02 | Credit risk: estimating default probabilities (Chapter 14) |
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第12週 |
5/09 | Credit risk losses and credit VaR (Chapter 15) |
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第13週 |
5/16 | The credit crisis (Chapter 16) |
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第14週 |
5/23 | Operational risk and stress testing (Chapters 17 and 18) |
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第15週 |
5/30 | Liquidity risk (Chapter 19) |
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第16週 |
6/06 | Model risk; economic capital and RAROC (Chapters 20 and 21) |
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第17週 |
6/13 | Review (Chapter 22) |