大学院
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最終更新日：2024年4月1日
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最終更新日：2024年4月1日
授業計画や教室は変更となる可能性があるため、必ずUTASで最新の情報を確認して下さい。
UTASにアクセスできない方は、担当教員または部局教務へお問い合わせ下さい。
Asset Valuation and Risk Management in Financial Institutions II
Asset Valuation and Risk Management in Financial Institutions II
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 have finished the preceding course, “Asset Valuation and Risk Management in Financial Institutions I”.
Please note that this course will not focus on central banking and monetary policy.
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 have finished the preceding course, “Asset Valuation and Risk Management in Financial Institutions I”.
Please note that this course will not focus on central banking and monetary policy.
時間割／共通科目コード
コース名
教員
学期
時限
5123501
GPP-MP6E20L3
Asset Valuation and Risk Management in Financial Institutions II
内田 善彦
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 preceding course, “Asset Valuation and Risk Management in Financial Institutions I”.
1 Enterprise risk management
2 Scenario analysis and stress testing
3 A primer on systemic risk
4 Systemic risk: a theoretical framework
5 The buildup of financial imbalances
6 Contagion
7 Systemic risk and the real costs of financial crisis
8 Measuring systemic risk
9 Systemic risk and Microprudential regulation
10 Systemic risk and Macroprudential regulation
11 Monetary policy and systemic risk
12 New challenges for regulatory policy
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. (2015), “Risk Management and Financial Institutions, 4th ed.,” Wiley.
Freixas, X., L. Laeven, and J. Peydró (2015), “Systemic risk, crises, and macroprudential regulation,” MIT Press.
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 preceding 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.
