CodeCourse OfferingSEEM3580
TitleLong Course TitleRisk Analysis for Financial Engineering金融工程的風險分析
OverviewLong Description Analysis and modelling of market, credit, and operational risks in Financial Engineering. Fundamental financial instruments and derivatives: forward, futures, options, and swaps. Sources and models of market risks: interest rate, foreign exchange rate, equity prices, and commodity prices. Major credit scoring and rating models: Z-score, Logit, and Merton. Major commercial applications and systems, KMV and CreditMetrics. Different approaches to measure Value at Risk (VaR): historical, parametric, and Monte Carlo.金融工程的市場,信貸,與操作風險的分析及建模。基本金融工具與衍生商品:遠期,期貨,期權,及交換。市場風險的主要來源以及評估模型:利率,匯率,證券,及期貨價格的波動。主要評級以及信貸風險分析模型:Z-score , Logit 及 Merton 。商業系統如 KMV 和 CreditMetrics 。不同的在險值計算方法,包括:歷史、參數及 Monte Carlo 。