课程详情

课程目录

• 第1章 前导入门课
  

  第2课节    市场风险

  • 1、1.Mean-variance framework
  • 2、2.Normal distribution and Mean-variance framework limitations
  • 3、3.Value at risk (VaR) and VaR limitations
  • 4、4.Coherent risk measures and ES
  • 5、5.Linear and nonlinear derivatives and Historical simulation approach
  • 6、6.Delta-normal approach and Full revaluation method
  • 7、7.Deviations From the Normal Distribution
  • 8、8.Regime Switching
  • 9、9.Volatility Measurement
  • 10、10.The EWMA Model and GARCH (1,1) Model
  • 11、11.Mean reversion and Correlation
  • 12、12.Historical-based approach
  • 13、13.Nonparametric vs. Parametric VaR Methods and implied-volatility-based approach
  • 14、14.Arithmetic and Geometric returns
  • 15、15.Normal VaR and Lognormal VaR
  • 16、16.Bootstrap Historical Simulation Approach
  
  

  第3课节    信用风险

  • 1、1.Basic of credit risk
  • 2、2.Credit risk measurement
  • 3、3.Credit risk management
  
  

  第4课节    操作风险

  • 1、1.Event classification of Operational risk
  • 2、2.Data Governance of Operational risk
  • 3、3.Measurement methods of Operational risk
  • 4、4.Organizational Structure in Operational risk
  • 5、5.Capital Planning of Operational risk
  
  
• 第2章 基础精讲课
  

  第2课节    市场风险

  • 1、 0-1 introduction
  • 2、 1-1 Basic methods of VaR estimation
  • 3、 1-2 Coherent risk estimation
  • 4、 2-1 Bootstrap historical simulation
  • 5、 2-2 Four Non-parametric Approaches
  • 6、 3-1 Block Maxima Method
  • 7、 3-2 Peaks-over-Threshold
  • 8、 4-1 Backtesting VaR Introduction
  • 9、 4-2 Backtesting VaR methods(1)
  • 10、 4-2 Backtesting VaR methods(2)
  • 11、 5-1 Mapping introduction
  • 12、 5-2 VaR mapping application(1)
  • 13、 5-2 VaR mapping application(2)
  • 14、 6-1 lessons in VaR estimation
  • 15、 7-1 Correlation in finance
  • 16、 7-2 Correlation trading
  • 17、 7-3 Risk management and the financial crisis
  • 18、 8-1 Mean Reversion of Correlation
  • 19、 9-1 Copulas and Joint Default Probability
  • 20、 10-1 Single and two-Variable Regression Based Hedging
  • 21、 11-1 Binomial tree- Risk neutral and replication pricing(1)
  • 22、 12-1 Interest Rate Expectation, Volatility and Risk Premium
  • 23、 13-1 Model 1 and Model 2
  • 24、 13-2 Ho-lee Model and VasiceK model
  • 25、 14-1 Time variability of volatility
  • 26、 15-1 Foreign currency option
  • 27、 15-2 Equity option
  • 28、 16-1 Regulation evolutions
  
  

  第3课节    信用风险

  • 1、 0-1 Introduction
  • 2、 1-1 Credit risk introduction(1)
  • 3、 1-1 Credit risk introduction(2)
  • 4、 2-1 Job Descriptions
  • 5、 3-1 Expected loss and unexpected loss
  • 6、 4-1 Probabilities of default
  • 7、 4-2 Rating methods
  • 8、 5-1 Merton Model(1)
  • 9、 5-1 Merton Model(2)
  • 10、 5-2 Other Portfolio Credit Risk Models
  • 11、 6-1 Credit Spreads(1)
  • 12、 6-1 Credit Spreads(2)
  • 13、 7-1 Default correlation
  • 14、 8-1 Default correlation
  • 15、 9-1 Netting, compression and termination
  • 16、 10-1 Margin support
  • 17、 11-1 exposure metrics and mitigation(1)
  • 18、 11-1 exposure metrics and mitigation(2)
  • 19、 12-1 CVA, DVA and BCVA
  • 20、 12-2 Wrong way risk
  • 21、 13-1 Market risk prospective of CCR and stress testing
  • 22、 14-1 2007 GFC review
  • 23、 15-1 Credit derivatives(1)
  • 24、 15-1 Credit derivatives(2)
  • 25、 16-1 Securitization review(1)
  • 26、 16-1 Securitization review(2)
  • 27、 17-1 Waterfall Structure Calculation
  • 28、 18-1 Frictions in securitization
  
  

  第4课节    操作风险

  • 1、 0-1 Introduction
  • 2、 1-1 Introduction to Operational Risk and Resilience
  • 3、 1-2 Introduction to Operational Risk and Resilience
  • 4、 1-3 Introduction to Operational Risk and Resilience
  • 5、 1-4 Introduction to Operational Risk and Resilience
  • 6、 2-1 Risk Governance
  • 7、 2-2 Risk Governance
  • 8、 3-1 Risk Identification
  • 9、 2-3 Risk Governance
  • 10、 3-2 Risk Identification
  • 11、 2-4 Risk Governance
  • 12、 3-3 Risk Identification
  • 13、 4-1 Risk Measurement and Assessment
  • 14、 3-4 Risk Identification
  • 15、 4-2 Risk Measurement and Assessment
  • 16、 4-3 Risk Measurement and Assessment
  • 17、 4-4 Risk Measurement and Assessment
  • 18、 4-5 Risk Measurement and Assessment
  • 19、 4-6 Risk Measurement and Assessment
  • 20、 4-7 Risk Measurement and Assessment
  • 21、 5-1 Risk Mitigation
  • 22、 5-2 Risk Mitigation
  • 23、 5-3 Risk Mitigation
  • 24、 5-4 Risk Mitigation
  • 25、 5-5 Risk Mitigation
  • 26、 5-6 Risk Mitigation
  • 27、 6-1 Risk Reporting
  • 28、 6-2 Risk Reporting
  • 29、 6-3 Risk Reporting
  • 30、 6-4 Risk Reporting
  • 31、 7-1 Integrated Risk Management
  • 32、 7-2 Integrated Risk Management
  • 33、 7-3 Integrated Risk Management
  • 34、 7-4 Integrated Risk Management
  • 35、 8-1 Cyber-Resilience- Range of Practices
  • 36、 8-2 Cyber-Resilience- Range of Practices
  • 37、 8-3 Cyber-Resilience- Range of Practices
  • 38、 8-4 Cyber-Resilience- Range of Practices
  • 39、 8-5 Cyber-Resilience- Range of Practices
  • 40、 9-1 Case Study- Cyberthreats and Information Security Risks
  • 41、 9-2 Case Study- Cyberthreats and Information Security Risks
  • 42、 10-1 Sound Management of Risks Related to Money Laundering and Financing of Terrorism
  • 43、 10-2 Sound Management of Risks Related to Money Laundering and Financing of Terrorism
  • 44、 10-3 Sound Management of Risks Related to Money Laundering and Financing of Terrorism
  • 45、 11-1 Management of Risk Associated with Money Laundering and Financing of Terrorism
  • 46、 11-2 Management of Risk Associated with Money Laundering and Financing of Terrorism
  • 47、 12-1 Guidance on Managing Outsourcing Risk
  • 48、 12-2 Guidance on Managing Outsourcing Risk
  • 49、 13-1 Case Study- Third-Party Risk Management
  • 50、 13-2 Case Study- Third-Party Risk Management
  • 51、 14-1 Case Study- Investor Protection and Compliance Risks in Investment Activities
  • 52、 14-2 Case Study- Investor Protection and Compliance Risks in Investment Activities
  • 53、 15-1 Supervisory Guidance on Model Risk Management
  • 54、 15-2 Supervisory Guidance on Model Risk Management
  • 55、 15-3 Supervisory Guidance on Model Risk Management
  • 56、 15-4 Supervisory Guidance on Model Risk Management
  • 57、 16-1 Case Study- Model Risk and Model Validation
  • 58、 16-2 Case Study- Model Risk and Model Validation
  • 59、 16-3 Case Study- Model Risk and Model Validation
  • 60、 17-1 Stress Testing Banks
  • 61、 17-2 Stress Testing Banks
  • 62、 17-3 Stress Testing Banks
  • 63、 18-1 Risk Capital Attribution and Risk-Adjusted Performance Measurement
  • 64、 18-2 Risk Capital Attribution and Risk-Adjusted Performance Measurement
  • 65、 18-3 Risk Capital Attribution and Risk-Adjusted Performance Measurement
  • 66、 18-4 Risk Capital Attribution and Risk-Adjusted Performance Measurement
  • 67、 18-5 Risk Capital Attribution and Risk-Adjusted Performance Measuremen
  • 68、 18-6 Risk Capital Attribution and Risk-Adjusted Performance Measurement
  • 69、 18-7 Risk Capital Attribution and Risk-Adjusted Performance Measurement
  • 70、 18-8 Risk Capital Attribution and Risk-Adjusted Performance Measurement
  • 71、 19-1 Range of Practices and Issues in Economic Capital Frameworks
  • 72、 19-2、3 Range of Practices and Issues in Economic Capital Frameworks
  • 73、 19-4 Range of Practices and Issues in Economic Capital Frameworks
  • 74、 20-1 Capital Planning at Large Bank Holding Companies
  • 75、 20-2 Capital Planning at Large Bank Holding Companies
  • 76、 21-1 Capital Regulation Before the Global Financial Crisis
  • 77、 21-2 Capital Regulation Before the Global Financial Crisis
  • 78、 21-3 Capital Regulation Before the Global Financial Crisis
  • 79、 21-4 Capital Regulation Before the Global Financial Crisis
  • 80、 21-5,6 Capital Regulation Before the Global Financial Crisis
  • 81、 21-7 Capital Regulation Before the Global Financial Crisis
  • 82、 21-8 Capital Regulation Before the Global Financial Crisis
  • 83、 22-1、2、3 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
  • 84、 22-4 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
  • 85、 22-5 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
  • 86、 22-6 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
  • 87、 22-7、8 Solvency, Liquidity and Other Regulation After the Global Financial Crisis
  • 88、 23-1 High-Level Summary of Basel Ⅲ Reforms
  • 89、 23-2 High-Level Summary of Basel Ⅲ Reforms
  • 90、 23-3 High-Level Summary of Basel Ⅲ Reforms
  • 91、 24-1、2 Basel Ⅲ-Finalising Post-Crisis Reforms
  • 92、 24-3 Basel Ⅲ-Finalising Post-Crisis Reforms
  
  

  第5课节    投资风险

  • 1、1-1 Factor Theory
  • 2、 1-2 Capital asset pricing model
  • 3、1-3 Multifactor Model
  • 4、1-4 Efficient market theory
  • 5、 1-5 Example
  • 6、2-1.Macroeconomic risk factors
  • 7、 2-2.Dynamic risk factors
  • 8、 2-3.Example
  • 9、 3-1 Characteristics of Sound Benchmarks
  • 10、 3-2.Fundamental Law of Active Management
  • 11、3-3.Alphas for nonlinear strategies
  • 12、 3-4 Example
  • 13、 4-1 Portfolio Construction Inputs
  • 14、 4-2.Transaction Costs
  • 15、 4-3 Portfolio Construction Techniques
  • 16、 4-4 Example
  • 17、 5-1 Portfolio VaR
  • 18、 5-2 Marginal VaR
  • 19、 5-3 Incremental VaR and Component VaR
  • 20、 5-4 Portfolio VaR---Summary
  • 21、 5-5 Example
  • 22、 6-1 Two Basic Steps of the Investment Process
  • 23、 6-2 Funding Ris
  • 24、 6-3 Monitoring Risk with VAR
  • 25、 6-4 Example
  • 26、 7-1 The Three Legs of Risk Management
  • 27、 7 - 2 Liquidity Considerations
  • 28、7 - 3 Example
  • 29、 8 - 1 Time-Weighted and Dollar-Weighted Return
  • 30、 8 - 2 Risk-Adjusted Performance Measures
  • 31、8-3 Market Timing Ability
  • 32、 8-4 Performance Attribution
  • 33、 8-5 Example
  • 34、 9-1 Hedge Funds versus Mutual Funds
  • 35、 9-2 Hedge Fund Strategies
  • 36、 9-3 Fund of Hedge Funds
  • 37、 9-4 Example
  • 38、 10-1 Past Fund Failures
  • 39、 10-2 Due Diligence of Operational Environment
  • 40、 10-3 Example
  • 41、 11-1 Information Disclosures
  • 42、11-2 Efficacy of Information Disclosures
  • 43、 11-3 Example
  
  

  第6课节    流动性风险

  • 1、introduction
  • 2、1-1 Liquidity Trading Risk
  • 3、1-2 liquidity funding risk.mp4.mp4
  • 4、1-3 Liquidity Black Hole
  • 5、2-1 funding liquidity risk
  • 6、2-2 leverage and forms of credit in contemporary finance
  • 7、2-3 transactions liquidity risk
  • 8、3-1 Early Warning Indicators
  • 9、4-1 introduction
  • 10、4-2 popular money and capital market investment instruments
  • 11、4-3 factors affecting choice of investment securities
  • 12、4-4 investment maturity strategies
  • 13、5-1 the demand for and supply of liquidity
  • 14、5-2 strategies for liquidity managers
  • 15、 5-3 estimating liquidity needs
  • 16、5-4 legal reserves and money position management.
  • 17、6-1 uses and sources of intraday liquidity
  • 18、6-2 risk measurement and monitoring tools for financial institutions
  • 19、 7-1 monitor liquidity
  • 20、 8-1 the failure mechanics of dealer banks
  • 21、9-1 liquidity stress testing
  • 22、10-1 liquidity risk reporting and stress testing
  • 23、11-1 contingency funding planning
  • 24、 12-1 types of deposits offered by depository institutions
  • 25、12-2 pricing deposits
  • 26、 13-1 alternative non-depiosit sources of funds
  • 27、 13-2 choosing among alternative non-deposit sources
  • 28、 14-1 repurchase agreements structure and uses
  • 29、 14-2 general and special repo rates
  • 30、 15-1 liquidity transfer pricing a guide to better practice
  • 31、 16-1 the US dollar shortage in global banking and international policy response
  • 32、17-1 covered interest parity lost
  • 33、18-1 risk management for changing interest rates asset liability management and duration techniques
  • 34、 19-1 illiquidity asset
  
  

  第7课节    金融时事分析

  • 1、 0-1 current issues
  • 2、 1-1 paper1
  • 3、 2-1 paper2
  • 4、 3-1 paper3
  • 5、 4-1 paper4
  • 6、 5-1 paper5
  • 7、 6-1 paper6
  • 8、 7-1 paper7
  • 9、 8-1 paper8