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mycourse:quantitative_risk_management

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Quantitative Risk Management

Instructor

Dr. Kekun Wu

  • Email: kkwu#zuel.edu.cn (Pls replace # with @)
  • Wechat:

教学计划

序号 主题 时间 讲义 练习
1 Introduction wk5 (wk14) L01 x
2 Risk Models and Market Risk wk6 (wk15) L02 ex01
4 Credit Risk Management wk7-8 (wk16-17) L04 ex02

教材与参考书

  1. Jorion P. Financial Risk Manager Handbook: FRM Part I/Part II[M]. John Wiley & Sons, 2010.
  2. Jorion P. Value at Risk: The New Benchmark for Managing Financial Risk[M]. McGraw Hill, 2006.
  3. Hull J. Risk management and financial institutions, 5th Edition[M]. John Wiley & Sons, 2018.
  4. 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18周周三(6月22日)上午9:00-11:00
  • 地点:文添楼416
  • 形式:闭卷、笔试
  • 题型:计算、论述

主要参考文献

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.
  2. Mina J, Xiao J Y. Return to RiskMetrics: the evolution of a standard[J]. RiskMetrics Group, 2001, 1: 1-11.
  3. Morgan J P. Creditmetrics-technical document[J]. JP Morgan, New York, 1997.
mycourse/quantitative_risk_management.1653968582.txt.gz · 最后更改: 2022/05/31 11:43 由 kk