====== Quantitative Risk Management ======

===== Instructor =====

Dr. Kekun Wu

  * Email: kkwu#zuel.edu.cn (Pls replace # with @)
  * Wechat: {{ :mycourse:t7me_qr_code.jpg?nolink&150 |}}
===== 教学计划 =====

| 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]] | [[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/QFRM-L02-Risk-Models-and-Market-Risk-slides.html|L02]] |  [[http://kktim.cn/teaching/qfrm/L01_market_risk_management.slides.html|ex01]] |
| 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 | 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]] |


===== 教材与参考书 =====

  - Jorion P. Financial Risk Manager Handbook: FRM Part I/Part II[M]. John Wiley & Sons, 2010.
  - Jorion P. Value at Risk: The New Benchmark for Managing Financial Risk[M]. McGraw Hill, 2006.
  - Hull J. Risk management and financial institutions, 5th Edition[M]. John Wiley & Sons, 2018.
  - McNeil A J, Frey R, Embrechts P. Quantitative risk management: concepts, techniques and tools-revised edition[M]. Princeton university press, 2015.

===== 考试 =====

  * 考试时间：第9周周4（4月25日）上午9:00-11:00
  * 地点：文添楼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


===== 主要参考文献 =====

**[[:literature_search|查找文献的方法]]**

  - 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.