學分數 |
3
|
修課時數 |
3
|
開課班級 |
日間部四年制4年級 A班
|
本課程與系所培養學生核心能力關聯度 | 高度關聯 | 中高關聯 | 中度關聯 | 中低關聯 | 低度關聯 |
專業倫理與團隊合作態度。 |
|
✔
|
|
|
|
自主學習與終身學習態度。 |
|
|
|
|
✔
|
產業趨勢與國際視野洞察能力。 |
|
|
|
|
✔
|
管理問題辨識與分析能力。 |
|
|
✔
|
|
|
創意與創新能力。 |
|
|
✔
|
|
|
流程企劃與分析能力。 |
|
|
|
✔
|
|
行銷與業務能力。 |
|
|
|
|
✔
|
本課程培養學生下列知識: |
本課程以系統化架構,介紹現代金融風險的管理理論與方法,藉由衍生性金融工具(商品)之介紹說明,分析各項金融商品與衍生性金融工具及其風險來源、特性、風險衡量與管理方法。內容涵蓋市場風險、信用風險、匯率風險與利率風險等相關風險構面議題。1.具備衍生性金融工具(商品)之相關知識與概念2.避險操作原理3.市場風險與信用風險之認知能力"Financial Risk Management" provides an introduction to risk management, an area with increasing importance in both modern financial academia and financial industry. The course will focus on risk management using derivative securities. The main objectives of "Financial Risk Management" are to introduce the basic concepts and methodologies of risk management using derivative securities, including options, futures, forwards, and swaps; and provide students with an introduction to the basic characteristics and valuation of various derivative securities, and explore the applications of derivatives to manage various risks such as market risk, currency risk, interest rate risk, and credit risk.
|
每週授課主題 |
第01週:Introduction第02週:Mechanics of Futures and Forward Markets 第03週:Hedging Strategies Using Futures (1)第04週:Hedging Strategies Using Futures (2)第05週:Interest Rates 第06週:Determination of Forward and Futures Prices (1)第07週:Determination of Forward and Futures Prices (2)第08週:Interest Rate Futures (1)第09週:Interest Rate Futures (2)第10週:Swaps (1)第11週:Swaps (2)第12週:Securitization and the Credit Crisis of 2007 第13週:Mechanics of Options Markets 第14週:Properties of Stock Options 第15週:Trading Strategies Involving Options (1)第16週:Trading Strategies Involving Options (2)第17週:Introduction to Binomial Trees 第18週:Options on Stock Indices and Currencies
|
成績及評量方式 |
學習態度:20%期末考:0%口頭報告:60%平時作業及出席:20%技術操作:0%
|
證照、國家考試及競賽關係 |
本課程無證照、國家考試及競賽資料。
|
主要教材 |
1.Hull, John C., Foundamentals of Futures and Option markets, 7th Ed.,Prentice Hall(教科書)
|
教師資料 |
教師網頁:http://www.cyut.edu.tw/~john/
E-Mail: john@cyut.edu.tw
Office Hour:
星期三,第3~4節,地點:T2-929; 星期五,第6~7節,地點:T2-929; 分機:7851、4441
|
|
|