4.金融风险管理_战功.doc

Financial Risk Management, MBA, Fall 2014复旦大学管理学院MBA2014年秋金融风险管理课程大纲战功电话：25011143传真：Email: I. 课程信息：课程描述:现代的职业经理人本质上就是风险经理人。这一观点尤其适用于金融投资服务领域的各种企业。本课程致力于介绍金融风险经理人们在当今商业环境中在对日益增长的种类繁多的金融风险进行识别、评估、测量以及管理的过程中所大量运用的理论以及操作手段。与案例分析和补充阅读相结合，本课程将重点介绍一些基础性的模型用来测量市场风险（包括权益风险，利息风险和流动性风险）以及信用风险和运作风险。另一个重点则是如何运用金融衍生品来进行风险管理，比如静态对冲和动态对冲。鉴于这门课程以实务为导向的特点，课程将注重帮助学生了解风险管理的实务操作，随时掌握风险管理领域和衍生品市场的最新动态，以及培养起解决风险管理以及相关领域实际问题的能力。由于这门课的对量化计算能力的要求超过MBA课程的平均水平，本课程要求学生要较强的概率统计和金融学的知识背景，同时对主流的计算软件（比如Microsoft Excel, Matlab 和 SAS）有一定的操作水平和使用经验. 教学目标:1. 从国际的视角和实务出发，介绍金融风险管理的重要概念、模型、应用以及框架流程2. 用严谨全面处于发展最前沿的金融理论来加深学生对风险管理的理解并看到“整体的大格局”3. 通过让学生接触风险管理的实践操作，逐渐找到自己最感兴趣的子领域并在此领域积累核心竞争力。课程资料:教材: John C. Hull, Risk Management and Financial Institutions: International Edition, 2/E, Pearson Higher Education, 2009案例和补充读物:Jorion, “Orange County Case: Using Value at Risk to Control Financial Risk”Coy and Woolley, “Failed wizards of Wall street”Digenan et al., “Metallgesellschaft AG: A Case Study”参考资料:Stulz, Ren M., Risk Management and Derivatives, South-Western, 2003McDonald, Robert. Derivatives Markets. Boston, MA: Addison-Wesley, 2005Philippe Jorion, Financial Risk Manager Handbook, Wiley; 4 edition, 2007业界的主流非学术性报纸刊物如华尔街日报，经济学家等等II. 课程目标：当完成该课程，学生须达到：1) 能够用模拟等多种风险测量手段使用VaR来度量权益风险2) 对于某个给定的权益头寸和期权头寸能够运用静态对冲和动态对冲3) 能够测量债券的利率风险4) 能够通过债券免疫策略来消除利率风险5) 基于给定的数据，能够计算无违约风险和有违约风险的期限结构的参数估计6) 能够对于主流的风险管理模型的输出结果进行详细的描述并对其含义给与全面的分析7) 能够对于企业的权益风险，利率风险以及信用风险的风险管理项目给予评价并对此类评价进行评估项目培养目标与课程目标的一致性：培养目标课程目标1. 具有国际视野强调国际金融市场2. 理论与实践相结合强调实务层面的操作和探索3. 深入的思考鼓励批判性思维，鼓励让学生进行思辨性学习教学方式:1）课堂讲授与课堂互动2）案例教学3）分组投资项目4）课后作业学习效果评估：Learning outcome Teaching and learning activityAssessment 11),2), 4)20%21), 3), 4)10%31), 2), 4)15%41), 4)10%51), 3), 4)10%61), 3), 4)15%71), 2) ,4)20s%II. 考核标准课堂参与(15%)1）课堂讨论2）考勤个人作业 (40%)1）四次作业小组作业 (45% = 20%报告 + 25% 演讲)1）两次分组报告IV. 课程政策学术舞弊:复旦大学的每一个成员都必须积极的参与建立一个学术诚信的良好氛围。教师有义务有责任对于学术诚信和学术规范进行定义，鼓励，推动和监督。学生有义务配合教师的各项要求以保证学术诚信的建立和弘扬。可能违反学术诚信的行为包括，但不局限于以下项目：1 剽窃、抄袭他人研究成果，伪造数据2 违反考试纪律，通过抄袭或拷贝等各种不正当手段，窃取他人答案或答题资料等3 违反课堂纪律、干扰教师正常上课等4 伪造、涂改成绩单、推荐信等证明文件具体细则请参阅/s/68/t/297/1f/a2/info8098.htm复旦大学学生违纪处分条例。学校将对学术舞弊行为进行彻底追查和严肃处理。V. 课程计划时间内容补充阅读/参考作业第一讲 权益风险管理1介绍Notes and Hull Chap. 1,5, 62资产和投资组合回报的风险模型Notes and Hull Chap. 6, ,9, 123风险度量Notes and Hull Chap. 8, 12, 13第二讲 利率风险管理4固定收益产品一览Notes and Hull Chap. 3, 4, 5HW1 due5久期和凸性Notes and Hull Chap. 5, 76期限模型，无套利条件以及期限模型的限制条件Notes and Hull Chap. 5,77债券免疫策略Notes and Hull Chap. 5,7,8Project 1 due第三讲 信用风险管理8信用风险一览Notes and Hull Chap. 4, 13HW2 due9信用评级，损失恢复率和违约概率Notes and Hull Chap. 1410信用损失和信用VaRNotes and Hull Chap. 15第四讲 使用衍生品进行风险管理11衍生品市场一览Notes and Hull Chap. 5, Ren 1, 5, 10HW3 due12利用衍生品进行对冲Notes and Ren Chap. 3, 4, 1213静态和动态对冲Notes and Ren Chap. 13, 14第五讲 其他风险管理课题14金融危机和风险管理Notes and Hull Chap. 22HW4 due15风险管理中需要避免的问题Notes and Hull Chap. 22Project 2 dueSchool of Management, Fudan UniversityMBAFall, 2014Financial Risk ManagementCourse OutlineGong ZhanPhone:25011143Fax:Email: I. Course InformationCourse Description:Modern managers are risk managers. This is especially true for firms in the financial services industry. This course is designed to apply theories and methodologies to the various needs of identifying, assessing, measuring and managing the huge and yet ever increasing variety of financial risks faced by financial risk managers in todays business world. Coupled with case studies and readings, baseline models will be introduced to measure market risk (including equity risk, interest rate risk and liquidity risk), credit risk, and operational risk. Emphasis will also be placed on the implementation of derivatives in risk management, such as static and dynamic hedging in the second half of the semester. Due to the practical nature of this course, students can expect to gain meaningful exposure to risk management practice, keep abreast with current events regarding derivatives and risk management, and build up strong problem-solving capability for their future careers in risk management and related areas. Since this course is more quantitative than the average MBA course, students are expected to have had strong knowledge of algebra, statistics and finance, as well as working knowledge of mainstream computational software, such as Microsoft Excel, Matlab and SAS.Course Objectives:1. To introduce the concepts, models, applications and process of financial risk management from an international and practical perspective.2. To equip students with stringent theories and trendy tools of risk management and to help them see the “big picture”.3. To expose students to the huge diversity of financial risks and relevant risk management techniques in order to help them find their own “specialty”.Course Materials:Textbook: John C. Hull, Risk Management and Financial Institutions: International Edition, 2/E, Pearson Higher Education, 2009Cases & Articles:Jorion, “Orange County Case: Using Value at Risk to Control Financial Risk”Coy and Woolley, “Failed wizards of Wall street”Digenan et al., “Metallgesellschaft AG: A Case Study”References:Stulz, Ren M., Risk Management and Derivatives, South-Western, 2003McDonald, Robert. Derivatives Markets. Boston, MA: Addison-Wesley, 2005Philippe Jorion, Financial Risk Manager Handbook, Wiley; 4 edition, 2007Practitioner journals and magazines like WSJ, The Economist, etc.III. Course Learning Outcomes (CLOs):On completion of this course, students should be able to:1) Summarize the equity risk exposure using simulation and various measures of risk including Value-of-Risk2) Perform static and dynamic hedging on a given equity position or option position3) Measure the sensitivity of bonds with respect to fluctuation in interest rates4) Conduct bond immunization to eliminate interest rate risk5) Compute estimates for the parameters of default-free and defaultable term structure models given an appropriate set of data observations 6) Provide a detailed description of the meaning and interpretation of the output from these models using the terminology and concepts of risk management7) Make and evaluate recommendations related to a firms equity, interest rate, and credit risk management programsAlignments of Program and Course Learning Outcomes:Program missionsCourse LOs1. “Broad scope“ International contents 2. “pertinent questioning”Hands-on experience emphasized3. ”Profound thinking“Critically thinking and creativity encouragedTeaching and Learning Activities:1）Lecturing and class participations2）Case studies and team discussions3）term project reports and presentations4）HomeworkMeasurement of Learning Outcomes:Learning outcome Teaching and learning activityAssessment 11),2), 4)20%21), 3), 4)10%31), 2), 4)15%41), 4)10%51), 3), 4)10%61), 3), 4)15%71), 2) ,4)20s%III.Process for AssessmentIn-class participation (15%)1）discussions2）attendanceIndividual written assignment (40%)1）four assignmentsGroup project (45% = 20% Report + 25% Presentation)1）two term projects IV. Course PoliciesAcademic Dishonesty:All members of the University community must participate in the development of a climate conducive to academic honesty. While the faculty, because of their unique role in the educational process, has the responsibility for defining, encouraging, fostering, and upholding the ethic of academic honesty, students have the responsibility of conforming in all respects to that ethic. Intellectual honesty requires that students demonstrate their own learning during examinations and other academic exercises, and that other sources of information or knowledge be appropriately credited. Scholarship depends upon the reliability of information and reference in the work of others. No form of cheating, plagiarism, fabrication, or facilitating of dishonesty will be condoned in the University community. Sanctions may be imposed on any student who has committed an act of academic dishonesty. Any person who has reason to believe that a student has committed academic dishonesty should bring such information to the attention of the appropriate course instructor as soon as possible.V.Course ScheduleLectureSubjectSupplement/ReferenceHomeworkTopic 1: Equity Risk Management1IntroductionNotes and Hull Chap. 1,5, 62Risk model for asset and portfolio returnsNotes and Hull Chap. 6, ,9, 123Risk measures, including VaR and expected shortfallNotes and Hull Chap. 8, 12, 13Topic 2: Interest Rate Risk Management4Overview of fix