Asset Valuation and Risk Management in Financial Institutions I
Asset Valuation and Risk Management in Financial Institutions I
This course aims to help students develop a solid understanding of asset valuation and risk management in financial institutions and the analytical skills required in formulating and implementing prudential policies and related regulations.
The course will cover key theoretical concepts (e.g. option pricing, modern portfolio theory, risk measure, scenario analysis) with emphasis on their applications in the real-world situations.
The course will consider global/international aspects of financial businesses/regulations and the context of developing/emerging economies with relatively underdeveloped financial systems as well.
This course is designed on the premise that all students will take the following course, “Asset Valuation and Risk Management in Financial Institutions II”.
Please note that this course will not focus on central banking and monetary policy.
MIMA Search
時間割/共通科目コード
コース名
教員
学期
時限
5123500
GPP-MP6E20L3
Asset Valuation and Risk Management in Financial Institutions I
内田 善彦
S1
火曜2限、木曜2限
マイリストに追加
マイリストから削除
講義使用言語
英語
単位
2
実務経験のある教員による授業科目
NO
他学部履修
可
開講所属
公共政策学教育部
授業計画
A tentative plan is as follows. A more detailed plan will be presented on the first day of the course.
1 Introduction
2 Interest rate, discounting, futures and transactions on the exchange
3 Swaps, OTC transactions
4 Stock options, Black Scholes Model and Binomial Trees
5 Futures Options, Black Model, Greek Letters and Volatility
6 Diversification, correlations and CAPM
7 VaR (Value at Risk) and ES (Expected Shortfall)
8 Interest rate risk management
9 Credit risk management
10 Risk adjusted performance measures and economic capital
11 Operational risk
12 Liquidity risk
13 Examination
授業の方法
Lecture
成績評価方法
Attendance and contribution to class discussion: 30%
Homework exercises: 20%
Final examination: 50%
教科書
Hull, J. (2018), “Options, Futures, and Other Derivatives, 10th ed.,” Pearson.
Hull, J. (2015), “Risk Management and Financial Institutions, 4th ed.,” Wiley.
参考書
None
履修上の注意
Both MPP/IP and non-MPP/IP students are welcome to this English-taught course. Students who intend to register for the course are strongly encouraged to attend the first class of the course, where a detailed course plan and instructions will be presented.
The course is designed for students interested in public policy issues relevant to financial industry and financial regulation. Basic knowledge about financial markets and undergraduate level mathematics are required.
Some understanding of microeconomics would be an advantage. Basic knowledge of law (i.e. financial, corporate and bankruptcy laws) and/or financial accounting standards would also be helpful.
This course will use basic computer programming skills without explanation however the instructor will provide necessary information and/or help about the relevant topics upon the request.