《金融市场动态》课程教学大纲

1、金融市场动态课程教学大纲课程编号1240343050课程名称金融市场动态课程性质限选学 时48学 分3学时分配授课：48  实验： 上机：   实践：    实践（周）：考核方式闭卷考试，平时成绩占60% ，期末成绩占40% 。开课学院经济学院更新时间2020年9月适用专业金融学先修课程证券投资学、金融工程、金融市场学一、教学内容Part One Fixed Income Analysis1.1 Shares Vs. Bonds1.1.1Par Value1.1.2Maturity & Borrower1.1.3Coupon

2、and Coupon Formulas1.2 Risks Involved in Fixed Income Products1.2.1Interest Rate Risk1.2.2Yield Curve Risk1.2.3Call & Prepayment Risk1.2.4Reinvestment Risk1.2.5 Credit Risk1.2.6Liquidity Risk1.2.7Currency Risk1.2.8Inflation Risk1.2.9Volatility Risk1.2.10Event Risk1.3 types of fixed income produc

3、ts1.3.1Treasuries & GSEs1.3.2 Municipal Bonds1.3.3 Corporate Bonds1.3.4 International Bonds1.4 Accrued Interest & Clean Price1.5 Yields Measures1.6 Spreads1.7Duration1.7.1Dollar Duration1.7.2Portfolio Duration1.7.3Modified Duration1.8Convexity1.9Yield Spreads1.10Convertible Bonds Arbitrage1.

4、11Corporate Credit Analysis1.12Covenants Analysis1.13Sovereign Bonds Analysis1.14Secondary Trades Rationale1.15Trading Constraints教学难点：理解固定收益证券利率风险、信用风险的度量。教学重点：掌握固定收益债券的种类及风险度量中涉及到的基本概念。Part Two Alternative Investments 2.1 What Are Alternative Investments2.2 Hedge Funds vs. Mutual Funds2.2.1 Differ

5、ent Types of HFs2.2.2 Skewness2.2.3 Kurtosis2.2.4 Benchmarks2.2.5 Biases2.2.6 Performance2.2.7 Due Diligence2.3 Risks2.3.1 Short Volatility Risk2.3.2 Additional Risks2.4 Fund Flows of Hedge Funds2.5 Private Equity2.6 Property教学难点：可选择性投资产品中套期保值基金与共同基金的投资估值。教学重点：套期保值基金与共同基金的种类、涉及的风险及现金流管理。Part Th

6、ree Securitised Products3.1 Some Basic Knowledge3.1.1 Traditional & SF Bonds3.1.2 Ratings Definitions3.1.3 What is S&Ps Rating3.1.4 Ratings Scale3.2 What is Securitisation3.2.1 Basic Structure3.2.2 The Different Parties3.3 Legal Aspects3.4 Benefits-Originators 3.5 Drawbacks-Originators 3.6 B

7、enefits-Investors 3.7 Risks 3.7.1 Prepayment Risk 3.7.2 Interest Rate Risk 3.7.3 Early-Amortization Risk 3.7.4 Default Risk 3.7.5 Liquidity Risk 3.8 Different Instruments3.9 Credit Analysis: RMBS3.10 Prepayment3.11 RMBS Cash Flow3.11.1 RMBS Cash Flow: Framework3.11.2 RMBS Cash Flow: Stresses 3.12 CM

8、BS3.12.1 CMBS: Credit Analysis3.12.2 CMBS: Ratios3.12.3 Revolving3.12.4 Early Amortisation Triggers (EAT)3.13 Synthetic CDOs3.14 Covered Bonds教学难点：理解资产证劵化产品所涉及的当事人、主要风险及操作流程。教学重点：资产证劵化产品设计原理、类型、风险和现金流分析。Part Four Derivatives4.1 Introduction4.2 Forwards4.2.1 Determinants of the Forward Price4.2.2 For

9、ward on Gold4.2.3 Currency Forward4.2.4 Valuing Existing Forwards4.3 Futures4.3.1 Forwards vs. Futures4.3.2 The Futures Price4.4 Swaps4.4.1 Categories of Swaps4.4.2 Pricing and Valuation of Swaps4.5 Options4.5.1 Definitions4.5.2 Categories of Options4.5.3 Directions and Volatility4.5.4 Portfolio4.5.

10、5 Pricing and Valuing Futures Options4.6 Credit Derivatives4.6.1 Funding Cost Arbitrage4.6.2 Credit-Default Swaps4.6.3 Exploiting a Funding Advantage with CDS4.6.4 Fair Price of a Default Swap教学难点：各种金融衍生品的定价。教学重点：几种主要金融衍生品远期、期货、期权、掉期的区别与联系。 Part Five Portfolio Management & Portfolio Performance

11、Evaluation 5.1 Principles of risk & return5.1.1 Risk Aversion5.1.2 Markowitz Portfolio Theory5.1.3 Definition and Measure of Return and Risk5.2 The Ultimate Goal: An Efficient Portfolio5.2.1 Efficient Diversification: More Return &Less Risk 5.2.2 Markowitzs Efficient Frontier5.3 Portfolio Pr

12、ogramming5.3.1 Which Portfolio to Hold: Utility/In Difference Curves5.3.2 Indifference Curves & Portfolio Selection5.3.3 Portfolio Risk- Quadratic Programming5.4 Risk &Returns Expectations5.4.1 Scenario Modelling5.4.2 The Yale Model5.4.3 Performance Evaluation5.4.4 Rebalancing Techniques5.5

13、The investment Management Process (IMP)5.6 Investment Decisions & Evaluation5.7 Introduction to Risk Management教学难点：如何进行资产组合管理：风险与收益的权衡。教学重点：马克维茨资产组合理论。Part Six CAPM, APT & Equity Valuation Models6.1 Stock Valuation6.2 CAPM6.2.1 Capital Market Line6.2.2 Market portfolio6.2.3 Beta ()6.3 APT6.

14、3.1 Multi Factor Model & APT6.3.2 Chen, Roll, & Ross Model 6.3.3 Fama-French 3-Factor Model 6.4 The Differences between CAPM and APT 教学难点：理解资本市场线、证券市场线和证券特征线的含义。教学重点：资本资产定价模型和套利定价理论的主要内容及两者的区别。Part Seven Risks Management7.1 Market Risk7.1.1 Definition of VaR7.1.2 VaR and Expected Shortfall7.

15、2 Properties of Risk Measures7.2.1 Coherent Risk Measures7.1.3 Choice of Parameters for VaR7.1.4 Historical Simulation Approach7.1.5 Model-Building Approach7.2 Credit Risk7.2.1Credit Ratings7.2.2Hiatorical Default Probabilities7.2.3Recovery Rates7.2.4Different “Credit Risks”7.2.5 Estimating Default

16、Probabilities from Bond Prices7.2.6 Comparison of Default Probability Estimates7.2.7Using Equity Prices to Estimate Default Probabilities7.2.8 Estimating Credit Losses7.2.9 Credit VaR7.2.10 Creditmetrics7.3 Operational Risk7.3.1 Definition 7.3.2 Determination of Regulatory Capital7.3.3 Categorizatio

17、n of Operational Risks7.3.4 Loss Severity and Loss Frequency7.3.5 Allocation of Operational Risk Capital教学难点：信用风险、市场风险及操作风险的度量模型。教学重点：了解各种主要金融风险的特征、类别及风险度量方法。二、教学要求Part One Fixed Income Analysis 教学要求：通过本章的教学，帮助学生了解各种固定收益债券的风险度量。Part Two Alternative Investments 教学要求：通过本章学习，要求学生了解套期保值基金与共同基金等课选择投资品的投资

18、估值与风险分析和现金流管理。Part Three Securitised Products教学要求：通过本章学习，要求学生掌握资产证劵化产品所涉及的当事人、主要类型、风险及操作流程。Part Four Derivatives教学要求：通过本章教学，使学生了解主要金融衍生品远期、期货、期权、掉期的定价原理及其相互之间的区别与联系。Part Five Portfolio Management & Portfolio Performance Evaluation教学要求：通过本章教学，帮助学生了解如何进行资产组合管理以实现投资品风险与收益的最佳组合。Part Six CAPM, APT & Equity Valuation Models教学要求：通过本章教学，使学生掌握资本资产定价模型和套利定价理论的主要内容及两者的主要区别。Part Seven Risks Management教学要求：通过本章教学，使学生掌握市场风险、信用风险及操作