金融機構與市場
(EMBA)
2007, FALL 黃達業教授 / 陳勝源教授
電話：2738-9512 台大財務金融所
課程綱要
Ⅰ.教授簡介
黃達業教授為美國西北大學財金博士班、美國紐約大學(NYU)財金博士課程結業、美國新澤西州立大學(Rutgers)財金博士。現為台灣大學財金系所教授、台灣大學金融研究中心主任及台灣金融教育協會理事長。曾任台灣大學財金系所主任/所長、財政部金融革新小組委員及行政院金融改革銀行小組委員。陳勝源教授為台灣大學財金博士, 現為台北商業技術學院財金系教授。
Ⅱ. 授課內容
本課程將探討(1)金融機構概論(2)金融機構風險類別(3)信用風險管理(4)利率風險管理(5)市場風險管理(6)資本適足性風險管理(7)金融機構合併(8)存款保險及其他負債保證(9)遠期與期貨市場 (10)選擇權市場與金融創新及(11)交換市場。
Ⅲ. 授課使用教材
1. Saunders, A. and M. Cornett, 2006, Financial Institutions Management- A Risk Management Approach, McGraw-Hill/Irwin. (Required)
2. Reading Lists as follows.
3. Case Studies
Ⅳ. 授課時間地點
授課期間為2007年10月8日至2008年1月26日，共16週，授課時間地點為每週四 14:20~16:00 pm於管壹104
Ⅴ. 評分政策
（1） 期中考（40％） （2）期末報告（40％） （3）研討表現（20％）
ⅤI. 授課主題
1. 金融機構概論 (10/11黃達業教授)
＊Saunders, A. and M. Cornett, 2006, “Why Are Financial Intermediaries Special?”, Chapter 1, Financial Institutions Management- A Risk Management Approach, pp. 2-21, McGraw-Hill/Irwin.
＊Saunders, A. and M. Cornett, 2006, “The Financial Services Industry: Depository Institutions”, Chapter 2, Financial Institutions Management- A Risk Management Approach, pp. 25-56, McGraw-Hill/Irwin.
＊Bossone, B., 2001, “Do Banks Have a Future? A Study on Banking and Finance as We Move into the 3rd Millenium,” Journal of Banking and Finance 25, pp.2239-76.(#1)

2. 金融機構風險類別 (10/11黃達業教授)
＊Saunders, A. and M. Cornett, 2006, “Risks of Financial Intermediation”, Chapter7, Financial Institutions Management- A Risk Management Approach, pp.157-172, McGraw-Hill/Irwin.

3. 信用風險管理 (10/18 and 10/25陳勝源教授)
＊Saunders, A. and M. Cornett, 2006, “Credit Risk: Individual Loan Risk”, Chapter 11, Financial Institutions Management, pp.287-322, McGraw-Hill/.
＊Saunders, A. and M. Cornett, 2006, “Credit Risk: Loan Portfolio and Concentration Risk”, Chapter 12, Financial Institutions Management, pp. 342-353, McGraw-Hill
＊Altman, E., and A. Saunders, 1998, “Credit Risk Measurement: Developments over the last 20 Years,” Journal of Banking and Finance 21, pp.1721-42. (#2)
＊Mingo, J., 2000, “Policy Implications of the Federal Reserve Study of Credit Risk Models at U.S. Banking Institutions,” Journal of Banking and Finance 24, pp. 15-33. (#3)
＊Altman, Edward, May 2002, “Revisiting Credit Scoring Models In a BaselⅡ Environment”, London Risk Books. (#4)

4. 利率風險管理 (11/01黃達業教授)
＊Saunders, A. and M. Cornett, 2006, “Interest Rate Risk I”, Chapter 8, Financial Institutions Management- A Risk Management Approach, pp.180-203, McGraw-Hill
＊Saunders, A. and M. Cornett, 2006, “Interest Rate Risk II”, Chapter 9, Financial Institutions Management- A Risk Management Approach, pp. 216-240, McGraw-Hill/

5. 市場風險管理 (11/08陳勝源教授)
＊Saunders, A. and M. Cornett, 2006, “Market Risk”, Chapter 10, Financial Institutions Management- A Risk Management Approach, pp.258-280, McGraw-Hill/ Irwin.

6. 資本適足性風險管理 (11/15陳勝源教授)
＊Saunders, A. and M. Cornett, 2006, “Capital Adequacy Risk”, Chapter 20, Financial Institutions Management- A Risk Management Approach, pp.567-603, McGraw-Hill/ Irwin.
＊Basel Committee on Banking Supervision, 2003, Overview of the New Basel Capital Accord, Bank for International Settlements. (#5)

7. 金融機構合併 (11/22黃達業教授)
＊Santomero, Anthony M., 1999, ”Bank Mergers: What’s a Policymaker to Do?”, Journal of Banking and Finance 23, pp.637-643. (#6)
＊Mishkin, F., 1999, ”Financial Consolidation: Dangers and Opportunities”, Journal of Banking and Finance 23, pp.675-691. (#7)
＊Carow, K., 2001, “Citicorp-Travelers Group Merger: Challenging Barriers between Banking and Insurance,” Journal of Banking and Finance 25, pp.1553-1571. (#8)

8. 存款保險及其他負債保證 (11/29 and 12/06黃達業教授)
＊Saunders, A. and M. Cornett, 2006, “Deposit Insurance and Other Liability Guarantees”, Chapter 19, Financial Institutions Management- A Risk Management Approach, pp.526-559, McGraw-Hill/ Irwin.
＊Kane, E., and R. Hendershott, 1996,”The Federal Deposit Insurance Fund that Didn’t Put a Bite on U.S. Taxpayers,”, Journal of Banking and Finance 20, pp.1305-1327. (#9)
＊Blinder, A., and R. Wescott, 2001, Reform of Deposit Insurance: A Report to the FDIC,
Federal Deposit Insurance Corporation. (#10)
＊Demirguc-Kunt, Laeven, Kane, 2005, “Determinants of Deposit-Insurance Adoption and Design.” Working Paper, World Bank & Boston College. (#11)

@ 期中考試 (12/13/2007黃達業教授)

9. 遠期與期貨市場 (12/20陳勝源教授)
＊Saunders, A. and M. Cornett, 2006, “Futures and Forwards”, Chapter 24, Financial Institutions Management- A Risk Management Approach, pp.686-712, McGraw-Hill/

10. 選擇權市場與金融創新 (12/20 and 12/27陳勝源教授)
＊Saunders, A. and M. Cornett, 2006, “Options, Caps, Floors, and Collars”, Chapter 25, Financial Institutions Management- A Risk Management Approach, pp.722-751, McGraw-Hill/ Irwin.
＊Black , F. and M. Scholes, ,1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, pp.637~59. (#12)
＊Smith, 1988, “The Pricing of Bull and Bear Floating Rate Notes: An Application of Financial Engineering,” Financial Management 17, pp.72~81. (#13)

11. 交換市場 (01/03/2008陳勝源教授)
＊Saunders, A. and M. Cornett, 2006, “Swaps”, Chapter 26, Financial Institutions Management- A Risk Management Approach, pp.761-776, McGraw-Hill/ Irwin.
＊Bicksler, J.,and A. Chen, 1986,”An Economic Analysis of Interest Rate Swaps,” Journal of Finance 41, pp.645-55. (#14)

@ 期末上台報告 (01/10，01/17，01/24陳勝源教授)

期末報告
主題：(各組擇一)
1.課程綱要所列papers #1-#14之一，或
2.下述所列金融時事題目之一
(1) 2008年美國次級房貸風暴事件
(2) 資產證券化(Asset Securitization)
(3) 避險基金(Hedge Fund)
(4) 金融控股公司法
(5) 金融風險管理(Financial Risk Management)
(6) 不動產投資信託(REITs)
(7) 新版巴塞爾資本協定(Basel Capital Accord II)
(8) 信用衍生性商品(Credit Derivatives)
(9) 信用風險管理模型 (Credit Risk Management Models)

TA: 金崇賢 (台灣大學財金博士班)