金融风险管理理学硕士

专业课程范例如下：

• 课程范例 学分
• 信用风险

  This course introduces students to a set of newly developed techniques to measure and manage credit risk in bank portfolios. In recent years financial institutions have been looking at ways to quantify risk in their corporate loan and mortgage books. The lack of market prices for these types of illiquid assets implies that standard risk assessment procedures can not be employed.

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  20
• 金融工具

  Having established the theoretical basis for security valuation in Part I, this module extends students’ understanding to the valuation of financial instruments and their applications. The module has a significant practical component with seminars that are designed to support the lecture material. Students will be introduced to all types of risks that are embedded in listed and OTC derivatives across all asset classes. They will become familiar with exotic equity options, understand their pay-offs and some simple analytic pricing approximations. They will value some of the most popular swap varieties, and understand how they may be used for managing risk. They will value caps, floors and swaptions, convertible bonds and understand the interplay between market and credit risk factors. They will outline the basic credit derivatives, including total return swaps, default swaps and collateralized debt obligations.

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  20
• 市场风险

  The purpose of the module is to provide an understanding of the latest developments in banking regulations that are the main driving force behind changes in our approaches to risk measurement. It focuses on the foundations of market risk analysis and the basic models for assessing market risk. Participants utilise market risk measurement techniques that are used daily in the front and middle offices of banks; particular emphasis is placed on the appraisal of the covariance matrices that are used to measure the market risk of portfolios. They also learn to build various Value-at-Risk (VaR) models for market risk for international portfolios of equities, FX, interest rate products, commodities, derivatives etc. The module has a significant practical component with computer-based workshops that are designed to support the lecture material.

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  20
• 金融的计量经济学分析

  This module equips you with the quantitative tools used by market participants. The module uses a mixture of (1) lectures where the theory and concepts are introduced and (2) seminars and workshops where we apply the knowledge to practical cases.

  It is an introductory applied econometrics module with an emphasis on finance.

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  20
• 证券和投资

  This module focuses on cash securities evaluation (fixed income, equity, and FX) and the use of these securities for investments (derivatives and portfolio theory).

  Part I of the module applies general valuation methods to specific financial instruments: fixed income, equity securities, and FX. It describes the characteristics of each security/market and develops practical strategies for finding its value and assessing its risk.

  Part II of the module provides an in-depth introduction to financial derivatives (futures and options) and their evaluation. Part III of the module analyses the main framework behind portfolio theory and optimum asset allocation, followed by the introduction of the main pricing models, their applications and limitation.

  Equity and FX trading simulations sessions (INVEST sessions) are paired with the modules. Exercises based on Eikon, and Bloomberg data will be used.

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  30