上海财经大学
研究生课程大纲及教学进度表
课程名称:数量风险管理
(英文名称:)(Quantitative Risk Management)
授课教师:蔡军 (Jun Cai)
授课对象: 博士生, 硕士生
教材及主要参考书目:No textbook is required for this course.
The primary reference will be the lecture notes given in class, which are based on selected topics from the following books:
Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts, Princeton University Press (2005).
Modelling Extremal Events: for Insurance and Finance by Paul Embrechts, Claudia Kluppelberg and Thomas Mikosch, Springer (1999).
CreditRisk+ in the Banking Industry by Matthias Gundlach and Frank Lehrbass (Eds.), Springer (2004).
Loss Models: From Data to Decisions by Stuart A. Klugman, Harry H. Panjer and Gordon E. Willmot, Wiley (2008).
课程内容及进度安排:
课次
日 期 授 课 内 容 授 课 方 式
1
2009-12
Introduction to risk management
Lecture
2
2009-12
Counting processes in modeling aggregate risk
Lecture
3
2009-12
Aggregate risk modeling
Lecture
4
2009-12
Aggregate risk modeling
Lecture
5
2009-12
Aggregate risk modeling
Lecture
6
2009-12
Aggregate risk modeling
Lecture
7
2010-5-18
Aggregate risk measures
Lecture
8
2010-5-19
Aggregate risk measures/ Modeling dependent risks
Lecture
9
2010-5-19
Modeling dependent risks
Lecture
10
2010-5-25
Extreme value theory
Lecture
11
2010-5-26
Extreme value theory
Lecture
12
2010-5-26
Credit risk management
Lecture
13
2010-6-1
Credit risk management
Lecture
14
2010-6-2
Insurance risk management
Lecture
15
2010-6-2
Insurance risk management
Lecture