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mycourse:quantitative_risk_management

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--- mycourse:quantitative_risk_management [2022/05/24 13:54] – [教学计划] kk
+++ mycourse:quantitative_risk_management [2024/04/28 16:39] (当前版本) – [考试] kk
@@ 行 9: / 行 9: @@
 ===== 教学计划 =====
-| 序号 | 主题 | 时间 | 讲义 | 练习 |
+| 序号 | 主题 | 时间 | 讲义 | slides | 练习 |
-| 1 | Introduction | wk5 (wk14) | [[http://kktim.cn/teaching/qfrm/QFRM-L01-Introduction.html|L01]]| x |
+| 1 | Introduction | wk5 (wk14) | [[http://kktim.cn/teaching/qfrm/QFRM-L01-Introduction.html|L01]] | [[http://kktim.cn/teaching/qfrm/QFRM-L01-Introduction-slides.html|L01]]| x |
-| 2 | Risk Models and Market Risk | wk6 (wk15) | [[http://kktim.cn/teaching/qfrm/QFRM-L02-Risk-Models-and-Market-Risk.html|L02]] |  [[http://kktim.cn/teaching/qfrm/L01_market_risk_management.slides.html|ex01]] |
+| 2 | Risk Models and Market Risk | wk6 (wk15) | [[http://kktim.cn/teaching/qfrm/QFRM-L02-Risk-Models-and-Market-Risk.html|L02]] | [[http://kktim.cn/teaching/qfrm/QFRM-L02-Risk-Models-and-Market-Risk-slides.html|L02]] |  [[http://kktim.cn/teaching/qfrm/L01_market_risk_management.slides.html|ex01]] |
-| 3 | Credit Risk Management I | wk7 (wk16) | [[http://kktim.cn/teaching/qfrm/QFRM-L03-Credit-Risk-Management-I.html|L03]] | [[http://kktim.cn/teaching/qfrm/L02_Credit_Risk_Management.slides.html|ex02]] |
+| 3 | Risk Models and Market Risk | wk6 (wk15) | [[http://kktim.cn/teaching/qfrm/QFRM-L03-Volatility-and-Mortgage-Backed-Securities-Risk.html|L03]] | [[http://kktim.cn/teaching/qfrm/QFRM-L03-Volatility-and-Mortgage-Backed-Securities-Risk-slides.html|L03]] | x |
-| 4 | Credit Risk Management II | wk8 (wk17) | [[http://kktim.cn/teaching/qfrm/QFRM-L04-Credit-Risk-Management-II.html|L04]] | x |
+| 4 | Credit Risk Management | wk7-8 (wk16-17) | [[http://kktim.cn/teaching/qfrm/QFRM-L04-Credit-Risk-Management.html|L04]] | [[http://kktim.cn/teaching/qfrm/QFRM-L04-Credit-Risk-Management-slides.html|L04]] | [[http://kktim.cn/teaching/qfrm/L02_Credit_Risk_Management.slides.html|ex02]] |
@@ 行 23: / 行 23: @@
   - McNeil A J, Frey R, Embrechts P. Quantitative risk management: concepts, techniques and tools-revised edition[M]. Princeton university press, 2015.
+===== 考试 =====
-===== 主要参考文献 =====
+  * 考试时间：第9周周4（4月25日）上午9:00-11:00
+  * 地点：文添楼312、314
+  * 形式：开卷、笔试、不能使用联网的计算机和手机、平板等终端
+  * 题型：简答、计算、论述
-**[[:literature_search|查找文献的方法]]**
- [1] Longerstaey J, Spencer M. Riskmetricstm—technical document[J]. Morgan Guaranty Trust Company of New York: New York, 1996, 51: 54.
+===== 主要参考文献 =====
- [2] Mina J, Xiao J Y. Return to RiskMetrics: the evolution of a standard[J]. RiskMetrics Group, 2001, 1: 1-11.
+**[[:literature_search|查找文献的方法]]**
- [3] Morgan J P. Creditmetrics-technical document[J]. JP Morgan, New York, 1997.
+  - Longerstaey J, Spencer M. Riskmetricstm—technical document[J]. Morgan Guaranty Trust Company of New York: New York, 1996, 51: 54.
+  - Mina J, Xiao J Y. Return to RiskMetrics: the evolution of a standard[J]. RiskMetrics Group, 2001, 1: 1-11.
+  - Morgan J P. Creditmetrics-technical document[J]. JP Morgan, New York, 1997.

mycourse/quantitative_risk_management.1653371685.txt.gz · 最后更改: 2023/11/10 12:12 (外部编辑)