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详情介绍
课程大纲
{in name="user_id" value="21644"} {/ in}课程试听 推荐
1.市场风险
1.Mean-variance framework
2.Normal distribution and Mean-variance framework limitations
3.Value at risk (VaR) and VaR limitations
4.Coherent risk measures and ES
5.Linear and nonlinear derivatives and Historical simulation approach
6.Delta-normal approach and Full revaluation method
7.Deviations From the Normal Distribution
8.Regime Switching
9.Volatility Measurement
10.The EWMA Model and GARCH (1,1) Model
11.Mean reversion and Correlation
12.Historical-based approach
13.Nonparametric vs. Parametric VaR Methods and implied-volatility-based approach
14.Arithmetic and Geometric returns
15.Normal VaR and Lognormal VaR
16.Bootstrap Historical Simulation Approach
2.信用风险
1.Basic of credit risk
2.Credit risk measurement
3.Credit risk management
3.操作风险
1.Event classification of Operational risk
2.Data Governance of Operational risk
3.Measurement methods of Operational risk
4.Organizational Structure in Operational risk
5.Capital Planning of Operational risk
1.市场风险（新）
introduction
M1-1 normal VAR &lognormalVAR
M1-2 Expected shortfall
M1-3 QQ plot
M1-4 practice and summary
M2-1 Drawback of historical simulation
M2-2 weighted approach
M2-3 advantage and disadvantage of Non-parametric
M2-4 practice and summary
M3-1-extreme value-1
M3-1-extreme value-2
M3-2 practice and summary
M4-1-backtesting introduciton
M4-2-backtesting Method
M4-3 Basel rules
M4-4 practice and summary
M5-1 VaR manpping
M5-2 fixed income manpping
M5-3 Derivatives mapping
M5-4 tracking error var
M5-5 practice and summary
M6-1 validating VaR
M6-2 practice and summary
M7-1 backtesting VaR using PIT
M7-2 practice and summary
M8-1 correlation basics
M8-2 correlation tradding
M8-3 two correlation cases
M8-4 correlation risk and other risk
M8-5 practice and summary
M9-1 empirical properties of corelation
M9-2 practice and summary
M10-1 copula modeling
M10-2 practice and summary
M11-1 introductio
M11-2 examples-1
M11-2 examples-2
M11-2 examples-3
M11-2 examples-4
M11-2 examples-5
M11-2 examples-6
M11-3 other issues
M11-4 practice and summary
M12-1 expectation and convexity
M12-2 risk premium
M12-3 practice and summary
M13-1 model 1 and model 2
M13-2 ho-lee
M13-3 vasicek
M13-4 practice and summary
M14-1 volatility models
M14-2 practice and summary
M15-1 Gauss model
M15-2 practice and summary
M16-1 regression heding
M16-2 practice and summary
M17-1 volatility smile
M17-2 practice and summary
M18-1 FRTB
M18-2 practice and summary
2.市场风险
0-1 introduction
1-1 Basic methods of VaR estimation
1-2 Coherent risk estimation
2-1 Bootstrap historical simulation
2-2 Four Non-parametric Approaches
3-1 Block Maxima Method
3-2 Peaks-over-Threshold
4-1 Backtesting VaR Introduction
4-2 Backtesting VaR methods(1)
4-2 Backtesting VaR methods(2)
5-1 Mapping introduction
5-2 VaR mapping application(1)
5-2 VaR mapping application(2)
6-1 lessons in VaR estimation
7-1 Correlation in finance
7-2 Correlation trading
7-3 Risk management and the financial crisis
8-1 Mean Reversion of Correlation
9-1 Copulas and Joint Default Probability
10-1 Single and two-Variable Regression Based Hedging
11-1 Binomial tree- Risk neutral and replication pricing(1)
12-1 Interest Rate Expectation, Volatility and Risk Premium
13-1 Model 1 and Model 2
13-2 Ho-lee Model and VasiceK model
14-1 Time variability of volatility
15-1 Foreign currency option
15-2 Equity option
16-1 Regulation evolutions
3. 信用风险
0-1 introduction
1-1 Introduction of Credit Risk
1-2 Type of Transactions That Create Credit Risk
2-1 Governance
3-1 Introduction to Credit Risk Modeling and Assessment
4-1 Credit Scoring and Rating
5-1 Credit Scoring and Retail Credit Risk Management
5-2 Credit Scoring
6-1 Sovereign Default Risk
6-2 Sovereign Default Risk summary
7-1 Capital Structure in Banks-1
7-1 Capital Structure in Banks-2
7-2 Capital Structure in Banks summary
8-1 Estimating PD from ratinghistorical dataHazard Rate
8-2 Estimating PD From Spread
8-3 Comparison of Default Probabilities Estimates
8-4 Estimating PD From Equity Prices（Merton）
9-1 Credit Value at Risk
10-1-Portfolio Credit Risk(introduction)
10-2-Portfolio Credit Risk(Gaussian Copula Model)
10-3-Portfolio Credit Risk(Single-Factor Model）
10-4-Portfolio Credit Risk（Vasicek’s Model）
10-5-Portfolio Credit Risk （Credit Risk Plus）
10-6-Portfolio Credit Risk （CreditMetrics）
11-1-Credit Risk
12-1 Derivatives market
12-2 CCP and modeling derivatives risk
13-1 Counterparty Risk and Beyond
14-1 Netting, Close-out and Related Aspects
15-1 Margin (Collateral) and Settlement
16-1 Evolution and mechanics
16-2 CCP risk management
17-1-Exposure metrics and mitigation（1）
17-2-Exposure metrics and mitigation（2）
17-3 Impact of Collateral on Counterparty Risk and Funding
17-4 Future Value and Exposure summary
18-1-CVA, DVA and BCVA（1）
18-2-CVA, DVA and BCVA（2）
18-3-Wrong way risk
19-1-Market risk prospective of CCR and stress testing
20-1 Policies and actions
20-2 Loan loss provisioning
21-1-Credit derivatives（CDS)
21-2-Credit derivatives（TRS)
21-3-Credit derivatives（CLN)
21-4-Securitization instruments
22-1-Structured Credit Risk
23-1-Securitization review
4.操作风险
0-1 Introduction
1-1 Introduction to Operational Risk and Resilience
1-2 Introduction to Operational Risk and Resilience
1-3 Introduction to Operational Risk and Resilience
1-4 Introduction to Operational Risk and Resilience
2-1 Risk Governance
2-2 Risk Governance
2-3 Risk Governance
3-1 Risk Identification
2-4 Risk Governance
3-2 Risk Identification
3-3 Risk Identification
3-4 Risk Identification
4-1 Risk Measurement and Assessment
4-2 Risk Measurement and Assessment
4-3 Risk Measurement and Assessment
4-4 Risk Measurement and Assessment
4-5 Risk Measurement and Assessment
4-6 Risk Measurement and Assessment
4-7 Risk Measurement and Assessment
5-1 Risk Mitigation
5-2 Risk Mitigation
5-3 Risk Mitigation
5-4 Risk Mitigation
5-5 Risk Mitigation
5-6 Risk Mitigation
6-1 Risk Reporting
6-2 Risk Reporting
6-3 Risk Reporting
6-4 Risk Reporting
7-1 Integrated Risk Management
7-2 Integrated Risk Management
7-3 Integrated Risk Management
7-4 Integrated Risk Management
8-1 Cyber-Resilience- Range of Practices
8-2 Cyber-Resilience- Range of Practices
8-3 Cyber-Resilience- Range of Practices
8-4 Cyber-Resilience- Range of Practices
8-5 Cyber-Resilience- Range of Practices
9-1 Case Study- Cyberthreats and Information Security Risks
9-2 Case Study- Cyberthreats and Information Security Risks
10-1 Sound Management of Risks Related to Money Laundering and Financing of Terrorism
10-2 Sound Management of Risks Related to Money Laundering and Financing of Terrorism
10-3 Sound Management of Risks Related to Money Laundering and Financing of Terrorism
11-1 Management of Risk Associated with Money Laundering and Financing of Terrorism
11-2 Management of Risk Associated with Money Laundering and Financing of Terrorism
12-1 Guidance on Managing Outsourcing Risk
12-2 Guidance on Managing Outsourcing Risk
13-1 Case Study- Third-Party Risk Management
13-2 Case Study- Third-Party Risk Management
14-1 Case Study- Investor Protection and Compliance Risks in Investment Activities
14-2 Case Study- Investor Protection and Compliance Risks in Investment Activities
15-1 Supervisory Guidance on Model Risk Management
15-2 Supervisory Guidance on Model Risk Management
15-3 Supervisory Guidance on Model Risk Management
15-4 Supervisory Guidance on Model Risk Management
16-1 Case Study- Model Risk and Model Validation
16-2 Case Study- Model Risk and Model Validation
16-3 Case Study- Model Risk and Model Validation
17-1 Stress Testing Banks
17-2 Stress Testing Banks
17-3 Stress Testing Banks
18-1 Risk Capital Attribution and Risk-Adjusted Performance Measurement
18-2 Risk Capital Attribution and Risk-Adjusted Performance Measurement
18-3 Risk Capital Attribution and Risk-Adjusted Performance Measurement
18-4 Risk Capital Attribution and Risk-Adjusted Performance Measurement
18-5 Risk Capital Attribution and Risk-Adjusted Performance Measuremen
18-6 Risk Capital Attribution and Risk-Adjusted Performance Measurement
18-7 Risk Capital Attribution and Risk-Adjusted Performance Measurement
18-8 Risk Capital Attribution and Risk-Adjusted Performance Measurement
19-1 Range of Practices and Issues in Economic Capital Frameworks
19-2、3 Range of Practices and Issues in Economic Capital Frameworks
19-4 Range of Practices and Issues in Economic Capital Frameworks
20-1 Capital Planning at Large Bank Holding Companies
20-2 Capital Planning at Large Bank Holding Companies
21-1 Capital Regulation Before the Global Financial Crisis
21-2 Capital Regulation Before the Global Financial Crisis
21-3 Capital Regulation Before the Global Financial Crisis
21-4 Capital Regulation Before the Global Financial Crisis
21-5,6 Capital Regulation Before the Global Financial Crisis
21-7 Capital Regulation Before the Global Financial Crisis
21-8 Capital Regulation Before the Global Financial Crisis
22-1、2、3 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
22-4 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
22-5 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
22-6 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
22-7、8 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
23-1 High-Level Summary of Basel Ⅲ Reforms
23-2 High-Level Summary of Basel Ⅲ Reforms
23-3 High-Level Summary of Basel Ⅲ Reforms
24-1、2 Basel Ⅲ-Finalising Post-Crisis Reforms
24-3 Basel Ⅲ-Finalising Post-Crisis Reforms
5.投资风险
1-1 Factor Theory
1-2 Capital asset pricing model
1-3 Multifactor Model
1-4 Efficient market theory
1-5 Example
2-1.Macroeconomic risk factors
2-2.Dynamic risk factors
2-3.Example
3-1 Characteristics of Sound Benchmarks
3-2.Fundamental Law of Active Management
3-3.Alphas for nonlinear strategies
3-4 Example
4-1 Portfolio Construction Inputs
4-2.Transaction Costs
4-3 Portfolio Construction Techniques
4-4 Example
5-1 Portfolio VaR
5-2 Marginal VaR
5-3 Incremental VaR and Component VaR
5-4 Portfolio VaR---Summary
5-5 Example
6-1 Two Basic Steps of the Investment Process
6-2 Funding Ris
6-3 Monitoring Risk with VAR
6-4 Example
7-1 The Three Legs of Risk Management
7 - 2 Liquidity Considerations
7 - 3 Example
8 - 1 Time-Weighted and Dollar-Weighted Return
8 - 2 Risk-Adjusted Performance Measures
8-3 Market Timing Ability
8-4 Performance Attribution
8-5 Example
9-1 Hedge Funds versus Mutual Funds
9-2 Hedge Fund Strategies
9-3 Fund of Hedge Funds
9-4 Example
10-1 Past Fund Failures
10-2 Due Diligence of Operational Environment
10-3 Example
11-1 Information Disclosures
11-2 Efficacy of Information Disclosures
11-3 Example
6.流动性风险
introduction
1-1 Liquidity Trading Risk
1-2 liquidity funding risk.mp4.mp4
1-3 Liquidity Black Hole
2-1 funding liquidity risk
2-2 leverage and forms of credit in contemporary finance
2-3 transactions liquidity risk
3-1 Early Warning Indicators
4-1 introduction
4-2 popular money and capital market investment instruments
4-3 factors affecting choice of investment securities
4-4 investment maturity strategies
5-1 the demand for and supply of liquidity
5-2 strategies for liquidity managers
5-3 estimating liquidity needs
5-4 legal reserves and money position management.
6-1 uses and sources of intraday liquidity
6-2 risk measurement and monitoring tools for financial institutions
7-1 monitor liquidity
8-1 the failure mechanics of dealer banks
9-1 liquidity stress testing
10-1 liquidity risk reporting and stress testing
11-1 contingency funding planning
12-1 types of deposits offered by depository institutions
12-2 pricing deposits
13-1 alternative non-depiosit sources of funds
13-2 choosing among alternative non-deposit sources
14-1 repurchase agreements structure and uses
14-2 general and special repo rates
15-1 liquidity transfer pricing a guide to better practice
16-1 the US dollar shortage in global banking and international policy response
17-1 covered interest parity lost
18-1 risk management for changing interest rates asset liability management and duration techniques
19-1 illiquidity asset
7.金融时事分析
0-1 current issues
1-1 paper1
2-1 paper2
3-1 paper3
4-1 paper4
5-1 paper5
6-1 paper6
7-1 paper7
8-1 paper8
