mycourse:quantitative_risk_management
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====== Quantitative Risk Management ====== | ====== Quantitative Risk Management ====== | ||
+ | |||
+ | ===== Instructor ===== | ||
+ | |||
+ | Dr. Kekun Wu | ||
+ | |||
+ | * Email: kkwu# | ||
+ | * Wechat: {{ : | ||
+ | ===== 教学计划 ===== | ||
+ | |||
+ | | 序号 | 主题 | 时间 | 讲义 | slides | 练习 | | ||
+ | | 1 | Introduction | wk5 (wk14) | [[http:// | ||
+ | | 2 | Risk Models and Market Risk | wk6 (wk15) | [[http:// | ||
+ | | 3 | Risk Models and Market Risk | wk6 (wk15) | [[http:// | ||
+ | | 4 | Credit Risk Management | wk7-8 (wk16-17) | [[http:// | ||
+ | |||
+ | |||
+ | ===== 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, | ||
+ | - 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: | ||
+ | * 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: | ||
+ | - Morgan J P. Creditmetrics-technical document[J]. JP Morgan, New York, 1997. | ||
+ | |||
mycourse/quantitative_risk_management.1650261842.txt.gz · 最后更改: 2023/11/10 12:12 (外部编辑)