QF 5215-1

Brief

本課程將延續上學期的基礎，以信用風險為主題,探討信用風險的衡量,包含違約機率, 違約損失率與違約曝險額等模型進行數值 方法分析以及實證問題的研究

Description

Course keywords: 信用風險(Credit Risk)，信用衍生性商品(Credit Derivatives)，違約機率(Probability of Default)，違約損失率(Loss Given Default)， 信用曝險金額(Exposure at Default) 一、課程說明(Course Description) 本課程將以信用風險為主題,探討信用風險的衡量,包含違約機率, 違約損失率與違約曝險額等模型 以及實證問題的研究 二、指定用書(Text Books) Saunders, A. and L. Allen, Credit Rsik Measurement: New Approaches to Value at Risk and Other Paradigms, John Wily and Sons, 2nd, 2002 三、參考書籍(References) Schonbucher, P. J., Credit Derivatives Pricing Models: Model, Pricing and Implementation, Wily, 2003 Duffie, D. and K. J., Singleton,Credit Risk:Pricing, Measurement, and Management, Princeton University Press, 2003 四、教學方式(Teaching Method) lecture and seminar 五、教學進度(Syllabus) 1. Introduction 2. Economic Principles of Risk Management 3. Default Arrival: Historical Patterns and Statistical Models 4. Ratings Transitions: Historical Patterns and StatisticalModels 5. Conceptual Approaches to Valuation of Default Risk 6. Pricing Corporate and Sovereign Bonds 7. Empirical Models of Defaultable Bond Spreads 8. Credit Swaps 9. Optional Credit Pricing 10. Correlated Defaults 11 Collateralized Debt Obligations 12 OTC Default Risk and Valuation 13 Integrated Market and Credit Risk Measurement 六、成績考核(Evaluation) mid-term 20% final 30% project 50% 七、可連結之網頁位址

Timetable

Scores

Average GPA 4.3

Std. Deviation 0

Remarks

限修習過「信用風險專題」

Restrictions

限計財系碩士班博士班

Compulsory

Elective

Cross Discipline

First Specialization

Second Specialization