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课程大纲
{in name="user_id" value="21644"} {/ in}课程试听 推荐
1.信用风险
信用风险
2.操作风险
操作风险
3.市场风险
市场风险
1.市场风险
前言
M1市场风险测量
M2 非参法
M3 参数法 (II): 极值理论
M4 VaR 回测
M5 VaR 映射
M6 银行控股公司的市场风险VaR模型验证
M7 超越基于超出的VaR模型回测
M8 相关性基础
M9 相关性的实证性质
M10 金融相关性建模-自下而上方法
M11 使用期限结构模型进行套利定价
M12 期望、风险溢价、凸度和期限结构的形状
M13 期限结构模型之漂移项
M14 期限结构模型之波动率与分布
M15 Vasicek 模型 和 Gauss+ 模型
M16 风险指标和对冲的实证方法
M17 波动率微笑
M18 交易账簿的基本审查
2.信用风险
8 - 违约概率估计
9 - 信用在险价值（CVaR）
10 - 组合信用风险
11 - 恒定风险假设
12 - 信用衍生品
13 - 交易对手方风险及其他
14 - 净额结算、平仓和相关方面
15 - 保证金（抵押品）和结算
16 - 中央清算
17 - 对手方风险敞口的计量
18 - CVA
19 - 对手方敞口压力测试的演变
20 - 银行贷款信用风险管理
21 - 信用衍生品信用风险管理
22 - 结构化信用衍生品风险管理
23 - 证券化介绍
7 - 银行的资本结构
5 - 信用风险建模和评估介绍
6 - Credit Scoring and Rating
4 - 信用评分和信用评级
3 - 信用风险管理
2 - 信用风险治理
1 - 信用风险基础
0 - 前言
3.操作风险
introduction
1 - Introduction to Operational Risk and Resilience
2 - Risk Governance
3 - Risk Identification
4 - Risk Measurement and Assessment
5 - Risk Mitigation
6 - Risk Reporting
7 - Integrated Risk Management
8 - Cyber-Resilience: Range of Practices
9 - Case Study: Cyberthreats and Information Security Risks
10 - Sound Management of Risks Related to Money Laundering and Financing of Terrorism
11 - Case Study: Financial Crime and Fraud
12 - Guidance on Managing Outsourcing Risk
13 - Case Study: Third-Party Risk Management
14 - Case Study: Investor Protection and Compliance Risks in Investment Activities
15 - Supervisory Guidance on Model Risk Management
16 - Case Study: Model Risk and Model Validation
17 - Stress Testing Banks
18 - Risk Capital Attribution and Risk-Adjusted Performance Measurement
19 - Range of Practices and Issues in Economic Capital Frameworks
20 - Capital Planning at Large Bank Holding Companies
21 - Capital Regulation Before the Global Financial Crisis
22 - Solvency, Liquidity and Other Regulation After the Global Financial Crisis
23 - High-Level Summary of Basel Ⅲ Reforms
24 - Basel Ⅲ:Finalising Post-Crisis Reforms
4.流动性风险
Introduction
1 - Liquidity Risk
2 - Liquidity and Leverage
3 - Early Warning Indicators
4 - The Investment Function in Financial-services Management
5 - Liquidity and Reserves Management Strategies and Policies
6 - Intraday Liquidity Risk Management
7 - Monitoring Liquidity
8 - The Failure Mechanics of Dealer Banks
9 - liquidity Stress Testing
10 - Liquidity Risk Reporting and Stress Testing
11 - Contingency Funding Planning
12 - Managing and Pricing Deposit Services
13 - Managing Non-deposit Liabilities
14 - Repurchase Agreements and Financing
15 - Liquidity Transfer Pricing: A Guide to Better Practice
16 - The US dollar Shortage in Global Banking and International Policy Response
17 - Covered Interest Parity Lost: Understanding the Cross-Currency Basis
18 - Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques
19 - Illiquid Assets
5.投资风险
1 - Factor theory
2 - Factors
3 - Alpha (and the Low-Risk Anomaly)
4 - Portfolio Construction
5 - Portfolio Risk：Analytical Methods
6 - VaR and Risk Budgeting in Investment Management
7 - Risk Monitoring and Performance Measurement
8 - Portfolio Performance Evaluation
9 - Hedge Funds
10 - Performing Due Diligence on Specific Managers and Funds
11 - Predicting Fraud by Investment Managers
6.金融时事分析
introduction
M1 2023 Bank Failures_Preliminary lessons learnt for resolution
M2 Generative Artificial Intelligence in Finance
M3 Artificial intelligence and the economy_implications for central banks
M4 Interest Rate Risk Management by EME Banks
M5 Laying a robust macro-financial foundation for the future
M6 risk of private credit
M7 Monetary and fiscal policy safeguarding stability and trust
M8 Regulating the Crypto
M9 Digital resilience and financial stability
1. 市场风险
1 - VaR related topics
2 - Correlation related topics
3 - Term structure model
4 - Other
2.信用风险
0 - introduction
1 - part 1：Basic of Credit Risk
2 - part 2：Measurement of Credit Risk
3 - part 3：Counterparty Risk
4 - part 4：Management of Credit Risk
3.操作风险
0 - topic0
1 - topic1
2 - topic2
3 - topic3
4 - topic4
5 - topic5
6 - topic6
7 - Topic7
8 - Topic8
9 - Topic9
10 - Topic10
11- Topic11
12 - Topic12
4.流动性风险
0 - introduction
1 - part 1
2 - part 2
3 - part 3
4 - part 4
5.投资风险
1 - Factor Theory
2 - Factors
3 - Alpha (and the Low-Risk Anomaly)
4 - Portfolio Construction
5 - Portfolio Risk：Analytical Methods
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