Instructor: 刘德溯

Classroom: 教XXX 

Time: Wednesday 2pm-5pm

Address: Room 1708, Anzhong Building (School of Business)

Office Hours: Wednesday 10:30am-11:30am or by appointment

Phone: 83621050; E-mail:

Course Description

This course deals with the ways in which risks are quantified and managed by financial institutions. The topics that will be covered include the nature of financial institutions and their regulation, market risk, credit risk, operational risk, liquidity risk, and the credit crisis of 2007.


“Risk Management and Financial Institutions”(风险管理和金融机构)third edition by John C. Hull (both Chinese and English versions are now available), 机械工业出版


Class Participation   30%
Final Exam    70%

Outline (subject to changes as the class proceeds)

Week 1    Introduction (Chapter 1)
Week 2    Banks, Insurance companies and Pension Plans (Chapters 2 and 3)
Week 3    Mutual Funds and Hedge Funds, Financial Instruments (Chapters 4 and 5)
Week 4    ABs, CDOs, and the Credit Crunch of 2007 (Chapter 6)
Week 5    How Traders Manage Exposures, Interest Rate Risk (Chapters 7 and 8)
Week 6    Value at Risk (Chapter 9)
Week 7    Volatility (Chapter 10)
Week 8    Correlations and Copulas (Chapter 11)
Week 9    The Regulation of Financial Institutions (Chapters 12 and 13)
Week 10   Market Risk VaR: historical simulation approach (Chapter 14)
Week 11   Market Risk VaR: model-building approach (Chapter 15)
Week 12   Credit Risk: estimating default probabilities  (Chapter 16) 
Week 13   Credit Risk Losses and Credit VaR (Chapters 17 and 18)
Week 14   Scenario and Stress Testing (Chapter 19)
Week 15   Operational Risk (Chapter 20)
Week 16   Liquidity Risk (Chapter 21)

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