目录

Quantitative Risk Management

Instructor

Dr. Kekun Wu

教学计划

序号 主题 时间 讲义 slides 练习
1 Introduction wk5 (wk14) L01 L01 x
2 Risk Models and Market Risk wk6 (wk15) L02 L02; Codes ex01
3 Risk Models and Market Risk wk6 (wk15) L03 L03 x
4 Credit Risk Management wk7-8 (wk16-17) L04 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

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.