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mycourse:quantitative_risk_management [2022/05/24 10:26] – [主要参考文献] kkmycourse:quantitative_risk_management [2023/11/10 12:13] (当前版本) – 外部编辑 127.0.0.1
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 ===== 教学计划 ===== ===== 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/mlinfin/MLinFin-L01-Introduction.html|L01]]|  +| 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/mlinfin/MLinFin-L02-Linear-Regression.html|L02]] |   +| 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/mlinfin/MLinFin-L03-Dimensionality-Reducion.html|L03]] |  +| 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/mlinfin/MLinFin-L04-Trees-Forests-Bagging-and-Boosting.html|L04]] |  +| 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]] |
  
  
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   - McNeil A J, Frey R, Embrechts P. Quantitative risk management: concepts, techniques and tools-revised edition[M]. Princeton university press, 2015.   - 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 =====+  * <del>试时间:第18周周三(6月22日)上午9:00-11:00</del> 
 +  * <del>地点:添楼416</del> 
 +  * <del>形式:闭卷、笔试</del> 
 +  * <del>题型:计算、论述</del>
  
-**[[: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 RiskMetricsthe 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.1653359163.txt.gz · 最后更改: 2023/11/10 12:12 (外部编辑)

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