|
課程名稱 |
保險財務管理
Theory of Insurance Finance |
|
開課學期 |
100-2 |
|
授課對象 |
管理學院 財務金融學研究所 |
|
授課教師 |
俞明德 |
|
課號 |
Fin5007 |
|
課程識別碼 |
723 U2400 |
|
班次 |
|
|
學分 |
3 |
|
全/半年 |
半年 |
|
必/選修 |
選修 |
|
上課時間 |
星期五2,3,4(9:10~12:10) |
|
上課地點 |
管一203 |
|
備註 |
本課程中文授課,使用英文教科書。保險組必選。
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 |
|
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1002toif |
|
課程簡介影片 |
|
|
核心能力關聯 |
核心能力與課程規劃關聯圖 |
|
課程大綱
|
|
為確保您我的權利,請尊重智慧財產權及不得非法影印
|
|
課程概述 |
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
|
|
課程目標 |
^O^ |
|
課程要求 |
作業 1 (4/27繳交): 1.17, 2.17, 3.19, 4.16, 5.31, 6.16, 7.15, 8.12, 9.21, 10.16, 11.22
作業 2 (6/15繳交): 12.13, 13.19, 14.24, 15.13, 16.15, 17.11, 18.14, 19.15, 20. 16, 21.12
|
|
預期每週課後學習時數 |
|
|
Office Hours |
每週三 14:00~17:00 |
|
指定閱讀 |
教課書
“Risk Management and Financial Institutions,” second edition by John C. Hull
Other readings may be assigned! |
|
參考書目 |
|
|
評量方式
(僅供參考) |
|
No. |
項目 |
百分比 |
說明 |
|
1. |
作業一&作業二 |
20% |
|
2. |
期中考 |
35% |
4/27 |
3. |
期末考 |
35% |
6/15 |
4. |
出席率 |
10% |
|
|
|
週次 |
日期 |
單元主題 |
|
第1週 |
2/24 |
Introduction |
|
第2週 |
|
Banks (Chapters "1"and 2) |
|
第3週 |
|
Insurance companies, pension funds, mutual funds, and hedge funds (Chapters 3 and "4") |
|
第4週 |
|
Financial instruments and how individual risks are managed (Chapters "5, 6, and 7") |
|
第5週 |
|
Value at risk (Chapter 8) |
|
第6週 |
|
Volatility, correlation, and copulas (Chapter 9 and 10) |
|
第7週 |
4/06 |
No class |
|
第8週 |
|
The regulation of financial institutions (Chapter 11 ) |
|
第9週 |
4/27 |
Midterm exam + assignment 1 |
|
第10週 |
|
Market risk VaR: historical simulation (Chapter 12) |
|
第11週 |
|
Market risk VaR: model building approach (Chapter 13) |
|
第12週 |
|
Credit risk: estimating default probabilities (Chapter 14) |
|
第13週 |
|
Credit risk losses and credit VaR (Chapter 15) |
|
第14週 |
|
The credit crisis (Chapter 16) |
|
第15週 |
|
Operational risk and stress testing (Chapters 17 and 18) |
|
第16週 |
|
Liquidity risk (Chapter 19) |
|
第17週 |
|
Model risk; economic capital and RAROC (Chapters 20,21,and 22) |
|
第18週 |
|
Final exam + assignment 2 |
|