mycourse:quantitative_risk_management
Quantitative Risk Management
Instructor
Dr. Kekun Wu
- Email: kkwu#zuel.edu.cn (Pls replace # with @)
- Wechat:
教学计划
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
主要参考文献
- 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.txt · 最后更改: 2024/04/28 16:39 由 kk