一、課程說明(Course Desc<x>ription)
<br>本課程將以信用風險為主題,探討信用風險的衡量,包含違約機率, 違約損失率與違約曝險額等模型
<br>以及實證問題的研究
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<br> 二、指定用書(Text Books)
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<br>Saunders, A. and L. Allen, Credit Rsik Measurement: New Approaches to Value at 
<br>Risk and Other Paradigms, John Wily and Sons, 2nd, 2002
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<br> 三、參考書籍(References)
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<br>Schonbucher, P. J., Credit Derivatives Pricing Models: Model, Pricing and 
<br>Implementation, Wily, 2003
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<br>Duffie, D. and K. J., Singleton,Credit Risk:Pricing, Measurement, and 
<br>Management, Princeton University Press, 2003
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<br> 四、教學方式(Teaching Method)
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<br>lecture and seminar
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<br> 五、教學進度(Syllabus)
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<br>1. Introduction
<br>2. Economic Principles of Risk Management 
<br>3. Default Arrival: Historical Patterns and Statistical Models 
<br>4. Ratings Transitions: Historical Patterns and StatisticalModels
<br>5. Conceptual Approaches to Valuation of Default Risk 
<br>6. Pricing Corporate and Sovereign Bonds 
<br>7. Empirical Models of Defaultable Bond Spreads 
<br>8. Credit Swaps
<br>9. Optional Credit Pricing 
<br>10. Correlated Defaults 
<br>11 Collateralized Debt Obligations 
<br>12 OTC Default Risk and Valuation 
<br>13 Integrated Market and Credit Risk Measurement 
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<br> 六、成績考核(Evaluation)
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<br>mid-term 20%
<br>final 30%
<br>project 50%
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<br> 七、可連結之網頁位址
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