Type of Credit: Elective
Credit(s)
Number of Students
The course is to introduce students to various topics in the financial risk management of a financial institution in general and insurance companies in general. It starts with a broad view of the risks of financial institutions exposed to. Then we cover three major types of risks of an insurance company faces: interest rate risk, market risk, and credit risk. The course covers solvency regulations of major jurisdictions at the end. We will further invite speakers from the industry who either specialize in certain topics on the risk management of a financial institution or are high-level risk managers to deliver lectures in class.
能力項目說明
具備規劃學習地圖與生涯發展路徑的能力
具備有效運用大學各項學習資源的能力
具備深度閱讀的能力
具備探索、熟悉新型態的數位學習模式的能力
養成自主與終身學習的態度與策略
具備團隊合作與專題製作能力
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
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週次 |
課程主題 |
課程內容與指定閱讀 |
教學活動與作業 |
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1 |
Introduction of the course |
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2 |
Interest Rate Risk 1 |
Chapter 8 |
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3 |
Interest Rate Risk 2 |
Chapter 9 |
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4 |
Market Risk 1 - Computing VaR |
Chapter 9*; 15 |
IO of a Financial Industry |
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5 |
Market Risk 2 - VaR Methods |
Chapter 10* |
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6 |
Market Risk 3 - Monte Carlo |
Chapters 11*& 12*
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7 |
Attending Seminar of SDII |
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8 |
Market Risk 4 - Other Issues |
補充教材 |
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9 |
Credit Risk 1 |
Chapters 10 & 11 |
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10 |
Credit Risk 2 |
Chapter 18* |
Investment Tool Analysis |
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11 |
Midterm Exam |
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12 |
Solvency Regulation 1 |
RBC; Solvency II |
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13 |
Invited Speech - 作業風險 |
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14 |
校慶停課 |
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15 |
Invited Speech - 自我風險及清償能力評估 |
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16 |
學長姐回校分享 |
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17 |
端午節放假 |
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18 |
Solvency Regulation 2 |
Basel III ＆ ICS |
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Midterm Exam: 50%
Group Studies and Presentations: 50%
Saunders, Anthony and Marcia Millon Cornett, 2021, Financial Institutions Management: A Risk Management Approach, 10th edition (Taipei, Taiwan: McGraw Hill –華泰書局).
*Jorion, Philippe, 2007, Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edition (Taipei, Taiwan: McGraw Hill –東華書局).