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課程名稱 |
金融機構與市場
FINANCIAL INSTITUTIONS AND MARKETS |
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開課學期 |
98-1 |
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授課對象 |
管理學院財務金融組 |
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授課教師 |
林 筠 |
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課號 |
EMBAF7002 |
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課程識別碼 |
745 M2020 |
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班次 |
01 |
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學分 |
2 |
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全/半年 |
半年 |
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必/選修 |
必修 |
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上課時間 |
星期四8,9,A,B(15:30~20:10) |
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上課地點 |
管一102 |
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備註 |
初選不開放。研二財金組分組必修課程。EMBA自行加退選。限EMBA班學生上課。
限EMBA班學生
總人數上限：70人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/981FI |
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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 |
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。 |
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課程目標 |
1.金融機構概論
＊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
＊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
＊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
＊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
＊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
＊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
＊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
＊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)
9. 遠期與期貨市場
＊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
＊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
＊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)
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