Faculty of Economic at The University of Tokyo
5052: Credit Risk Modeling
Winter Bohn
This course focuses on quantitative techniques used to model credit risk. In particular, we will discuss both structural and reduced-form models used to estimate default probabilities and loss given default. These fundamental model components will serve as the foundation to explore credit risk assessment, corporate debt valuation, credit derivative valuation, correlation estimation, and credit portfolio management. Emphasis will be placed on model building, model validation, and interpreting model output. Students will be required to do some high-level programming in a package such as Matlab. Some empirical testing exercises will also be part of the project work. This course will be taught in Japanese. Homework and project will be submitted in English.
Tags: Assessment, Courses, Credit Risk Modeling, Economic, estimation, Faculty of Economic, foundation, homework, Model, modeling, Project, testing, The University of Tokyo
Category : The University of Tokyo
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4806: Financial Modeling and Programming
Summer Kobayashi
In this class, we aim to acquire important concepts and some methodologies for financial modeling and technologies of computer programming, which will be available for practical aspect. We are going to cover the following as topics for this year:
1. Basic Financial Calculations
2. Calculating the Cost of Capital
3. Financial Statement Modeling
4. Portfolio Models - Introduction
5. Calculating the Variance-Covariance Matrix
6. Calculating Efficient Portfolios When there are No Short-Sale Restrictions
7. Estimating Betas and the Security Market Line
8. Efficient Portfolios without Short Sales
9. Value at Risk
10. An Introduction to Options
11. The
MFIN7011
Credit Risk
8
Tang, Dragon
General Information
A comprehensive analysis of credit risk measurement and credit derivatives. Topics include credit events, expected default frequency, expected exposure, loss given default, default correlation, KMV, Credit Metrics, credit ratings performance and migration, total return swaps, credit default swaps, basket default swaps, credit spread forwards and options, exotic credit derivatives, credit-linked notes, and collateralized debt obligations.
Extra Information
equivalent to MFIN6016 Seminar in Credit Risk Management
Prerequisites:
1. Spreadsheet Modelling in Finance;
2. Derivative Securities; and
3. Fixed Income Securities & Interest Rating Modelling
Faculty of Economic at The University of Tokyo
4805: FInancial Institutional Risk Management
Summer Ikemori & Miyake
This course covers the applications of derivatives by banks and corporations, including pricing, structures, and risk management.
Name Financial Risk Analysis and Management
Through the study to this course, the students are required to understand the content, feature, constitution and function of Financial Risk Management, to understand the methods and means of Financial Risk Management at home and abroad, to understand risk budget management. Students also need to master the classification of financial risk. There are many methods to measure financial risk such as Standard Deviation ,VaR, Option Cost ,KMV, Risk Matrix and so on ,so it is necessary to master the features and limitations of all these methods. In addition, students are also expected to realize and
Management Science and Computer Based Modeling
Business involves dealing with numbers. Numbers are then used strategically to make business decisions. This course is about how to formulate business problems involving numbers and how to solve them using the latest computer tools. The course introduces modeling techniques for resource allocation, operational, and other managerial problems. The course will make full use of computer tools (Excel, CrystalBall and Macros) that integrate the knowledge and implementation skills to solve such managerial problems. It is assumed that students who take this course have familiarity with Windows environment on a PC and have basic Excel skills.
MFIN6012A
Risk Management
4
Tse, Maurice K.S.
General Information
This course is to provided a comprehensive analysis and measure of market, credit, liquidity, operations, model and other risks. Techniques such as Value-at-Risk methods, forcasting volatilities and correlations, Monte Carlo simulations, stress testing, Riskmetrics and their limitations will also be discussed. Examples and applications of these techniques to various financial instruments will be introduced. The course will also address compliance functions of dervatives departments.
Extra Information
Prerequisites:
1. Spreadsheet Modelling in Finance; and
2. Derivative Securities
MFIN7021
Corporate Risk Management
5
Li, Zhelei
General Information
This course covers a specific subset of topics in corporate finance including risk management, hedging, capital structure, and liquidity management. The basic idea of the course is that all corporate financial decision-making is some form of risk management. They are centered on notions of asset liability matching and should be well aligned with each other and with management and capital market expectations. The objective of the course is to explain the theory of corporate risk management and to demonstrate some of its real-world applications. In particular, we will describe a 4-step corporate risk
FINA3806 Risk management
Semester : 1
For Student of Year : 2 & 3
This course introduces students to the techniques for corporate financial risk management. Topics include identification and measurement of financial risk, risk management with different financial instruments, such as forwards, futures, options, and other innovations, and some cases studies about applications of risk management.
Extra Information
Prerequisite: FINA0301 Derivative securities or FINA0301 Derivatives; and FINA0302 Theories of corporate finance or FINA0304 Advanced corporate Finance; and FINA2802 Investments and portfolio analysis
Faculty of Business and Accountancy University of Malaya
Faculty : Business and Accountancy
Department : Finance and Banking
Programme of Study : Bachelor of Business Administration
Course Code : CBEB 3309
Course Title : Bank Management
Credit Hours : 3
Course Pre-requisite(s) /
Minimum Requirement(s) : None
Learning outcomes: At the end of this course, students should be able to:
1. Comprehend the role of the financial institutions, background
information related to bank management and current banking trends
in Malaysia
2. Examine the basic risk and return features of banks and how analysts
evaluate bank performance.
3. Demonstrate how banks measure and manage their risks namely
interest rate risk and credit risk.
4. Describe the features of
Faculty of Economic at The University of Tokyo
4094: Equity Portfolio Management
Winter Takehara
The course covers financial theory and its application to the problems of equity portfolio management. What follows to be lectured in this order.
1. Capital Asset Pricing Model
2. Structured Risk Model
3. Fundamental Law of Active Portfolio Management
4. Equity Valuation
5. Portfolio Construction
6. Market Impact Model
7. Performance Analysis.
Faculty of Economic at The University of Tokyo
4802: Global Investment Process
Summer Solnik & Fukaya
In this course, we study basic topics regarding global investment processes from the point of views of institutional investors, such as pension funds and other financial institutions. The plan of the lecture is as follows: 1. Foreign exchange rates, 2. International CAPM. 3. Foreign stocks, 4. Foreign bonds, 5. Asset allocation processes, risk control, and performance evaluation.
Graduate School of Management at Ritsumeikan Asia Pacific University (APU)
Financial Engineering and Risk Management
An exploration of the concept of risk, its influence on economic decision making in the corporate setting, and processes for managing risk will be presented. Derivative theory will be introduced through examination of futures and options. Issues in risk diversification will also be presented.
MFIN6002A
Spreadsheet Modelling in Finance
Chau, Michael
General Information
This course is intended to introduce spreadsheet (MS Excel) as a financial modeling tool and understand its capabilities and limitations. It is designed to teach students to apply Visual Basic for Applications (VBA) to automate spreadsheet applications and extend the functionality of the spreadsheet. Numerical derivative pricing by implementing models in VBA will be illustrated. Examples include Black-Scholes formula, Greeks Parameters, Binomial Tree and Monte Carlo Methods. Statistical computations with application to Risk Management will also be demonstrated. This course will also explore to optimize the computational power of Excel through the
Address
3-29-1 Otsuka, Bunkyo-ku, Tokyo, 112-0012, Japan
Access
Our Tokyo Campus is a 3 minute walk from Myogadani station (M23) on the Tokyo Metro Subway Marunouchi Line.
Myogadani station is 5 minutes past Ikebukuro station, and 11 minutes past Tokyo station.
Faculty of Business and Accountancy University of Malaya
Faculty : Business and Accountancy
Department : Finance and Banking
Programme of Study : Bachelor of Business Administration
Course Code : CBEB3104
Course Title : Corporate Finance
Credit Hours : 3
Course Prerequisite(s) / None
Minimum Requirement(s) :
Learning Outcomes : At the end of this course, students should be able to :
1. Calculate and discuss historical returns, volatilities and risk premiums
using examples from Malaysian capital market.
2. Identify different approaches that are used to estimate cost of capital,
the effects of leverage on risk and return and the basic trade-offs
leading to an optimal capital structure.
3. Assess the implications of dividend policy on