課 程 概 述
Course Description

課程編碼
Course Code
中文課程名稱
Course Name (Chinese)
英文課程名稱
Course Name (English)
總學分數
Credits
總時數
Hours
5705346 風險管理 Risk Management 3.0 3
中文概述
Chinese Description
本課程將給學生從較廣義的風險管理範疇對風險值有一番認識與瞭解,主要包含以下三個部份:第一部份介紹風險值,將從近來風險管理的理論與實務發展討論其起源與基本觀念;第二部份說明衡量風險值的方法,包括變異數共變數法、歷史模擬、蒙地卡羅模擬及壓力測試;第三部份從風險值的觀點說明風險管理的相關議題,包括1) 決策法則,例如投資與避險法則。2) 信用風險。3)流動性、作業及法律風險。4)資本配置。5)企業風險管理。
英文概述
English Description
This course gives students an overview of VaR, viewed in its broader risk management context. Totally, there will be three parts in this course. Part One is an introduction, which discusses the origins and basics of VaR in the context of recent developments in the theory and practice of risk management. Part Two deals with the approaches of measuring VaR, including variance-covariance approach, historical simulation, Mote Carlo simulation and stress testing. Part Three then deals with risk management issues from a VaR perspective, including 1) decision-making rules, such as investment and hedging rules; 2) credit risks; 3) liquidity, operational and legal risks; 4) capital allocation; 5) firm-wide risk management.

備註:

  1. 本資料係由本校各教學單位、教務處課務組、進修部教務組、進修學院教務組及計網中心所共同提供!
  2. 若您對課程有任何問題,請洽各開課系所。