上财数量风险管理课件（研究生）

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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)

教学内容：Introduction to risk management (2 hours) ; counting processes in modeling aggregate risk(2 hours) ; aggregate risk modeling (8 hours) ; aggregate risk measures (4 hours); modeling dependent risks (2 hours); extreme value theory (6 hours) ; credit risk management (6 hours); insurance risk management (6 hours).
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

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关键词：风险管理 研究生 管理课 introduction Quantitative management insurance measures 上海财经 英文名称