《金融市場(chǎng)動(dòng)態(tài)》課程教學(xué)大綱

1、金融市場(chǎng)動(dòng)態(tài)課程教學(xué)大綱課程編號(hào)1240343050課程名稱金融市場(chǎng)動(dòng)態(tài)課程性質(zhì)限選學(xué) 時(shí)48學(xué) 分3學(xué)時(shí)分配授課：48  實(shí)驗(yàn)： 上機(jī)：   實(shí)踐：    實(shí)踐（周）：考核方式閉卷考試，平時(shí)成績(jī)占60% ，期末成績(jī)占40% 。開課學(xué)院經(jīng)濟(jì)學(xué)院更新時(shí)間2020年9月適用專業(yè)金融學(xué)先修課程證券投資學(xué)、金融工程、金融市場(chǎng)學(xué)一、教學(xué)內(nèi)容Part One Fixed Income Analysis1.1 Shares Vs. Bonds1.1.1Par Value1.1.2Maturity & Borrower1.1.3Coupon

2、and Coupon Formulas1.2 Risks Involved in Fixed Income Products1.2.1Interest Rate Risk1.2.2Yield Curve Risk1.2.3Call & Prepayment Risk1.2.4Reinvestment Risk1.2.5 Credit Risk1.2.6Liquidity Risk1.2.7Currency Risk1.2.8Inflation Risk1.2.9Volatility Risk1.2.10Event Risk1.3 types of fixed income produc

3、ts1.3.1Treasuries & GSEs1.3.2 Municipal Bonds1.3.3 Corporate Bonds1.3.4 International Bonds1.4 Accrued Interest & Clean Price1.5 Yields Measures1.6 Spreads1.7Duration1.7.1Dollar Duration1.7.2Portfolio Duration1.7.3Modified Duration1.8Convexity1.9Yield Spreads1.10Convertible Bonds Arbitrage1.

4、11Corporate Credit Analysis1.12Covenants Analysis1.13Sovereign Bonds Analysis1.14Secondary Trades Rationale1.15Trading Constraints教學(xué)難點(diǎn)：理解固定收益證券利率風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)的度量。教學(xué)重點(diǎn)：掌握固定收益?zhèn)姆N類及風(fēng)險(xiǎn)度量中涉及到的基本概念。Part Two Alternative Investments 2.1 What Are Alternative Investments2.2 Hedge Funds vs. Mutual Funds2.2.1 Differ

5、ent Types of HFs2.2.2 Skewness2.2.3 Kurtosis2.2.4 Benchmarks2.2.5 Biases2.2.6 Performance2.2.7 Due Diligence2.3 Risks2.3.1 Short Volatility Risk2.3.2 Additional Risks2.4 Fund Flows of Hedge Funds2.5 Private Equity2.6 Property教學(xué)難點(diǎn)：可選擇性投資產(chǎn)品中套期保值基金與共同基金的投資估值。教學(xué)重點(diǎn)：套期保值基金與共同基金的種類、涉及的風(fēng)險(xiǎn)及現(xiàn)金流管理。Part Th

6、ree Securitised Products3.1 Some Basic Knowledge3.1.1 Traditional & SF Bonds3.1.2 Ratings Definitions3.1.3 What is S&Ps Rating3.1.4 Ratings Scale3.2 What is Securitisation3.2.1 Basic Structure3.2.2 The Different Parties3.3 Legal Aspects3.4 Benefits-Originators 3.5 Drawbacks-Originators 3.6 B

7、enefits-Investors 3.7 Risks 3.7.1 Prepayment Risk 3.7.2 Interest Rate Risk 3.7.3 Early-Amortization Risk 3.7.4 Default Risk 3.7.5 Liquidity Risk 3.8 Different Instruments3.9 Credit Analysis: RMBS3.10 Prepayment3.11 RMBS Cash Flow3.11.1 RMBS Cash Flow: Framework3.11.2 RMBS Cash Flow: Stresses 3.12 CM

8、BS3.12.1 CMBS: Credit Analysis3.12.2 CMBS: Ratios3.12.3 Revolving3.12.4 Early Amortisation Triggers (EAT)3.13 Synthetic CDOs3.14 Covered Bonds教學(xué)難點(diǎn)：理解資產(chǎn)證劵化產(chǎn)品所涉及的當(dāng)事人、主要風(fēng)險(xiǎn)及操作流程。教學(xué)重點(diǎn)：資產(chǎn)證劵化產(chǎn)品設(shè)計(jì)原理、類型、風(fēng)險(xiǎn)和現(xiàn)金流分析。Part Four Derivatives4.1 Introduction4.2 Forwards4.2.1 Determinants of the Forward Price4.2.2 For

9、ward on Gold4.2.3 Currency Forward4.2.4 Valuing Existing Forwards4.3 Futures4.3.1 Forwards vs. Futures4.3.2 The Futures Price4.4 Swaps4.4.1 Categories of Swaps4.4.2 Pricing and Valuation of Swaps4.5 Options4.5.1 Definitions4.5.2 Categories of Options4.5.3 Directions and Volatility4.5.4 Portfolio4.5.

10、5 Pricing and Valuing Futures Options4.6 Credit Derivatives4.6.1 Funding Cost Arbitrage4.6.2 Credit-Default Swaps4.6.3 Exploiting a Funding Advantage with CDS4.6.4 Fair Price of a Default Swap教學(xué)難點(diǎn)：各種金融衍生品的定價(jià)。教學(xué)重點(diǎn)：幾種主要金融衍生品遠(yuǎn)期、期貨、期權(quán)、掉期的區(qū)別與聯(lián)系。 Part Five Portfolio Management & Portfolio Performance

11、Evaluation 5.1 Principles of risk & return5.1.1 Risk Aversion5.1.2 Markowitz Portfolio Theory5.1.3 Definition and Measure of Return and Risk5.2 The Ultimate Goal: An Efficient Portfolio5.2.1 Efficient Diversification: More Return &Less Risk 5.2.2 Markowitzs Efficient Frontier5.3 Portfolio Pr

12、ogramming5.3.1 Which Portfolio to Hold: Utility/In Difference Curves5.3.2 Indifference Curves & Portfolio Selection5.3.3 Portfolio Risk- Quadratic Programming5.4 Risk &Returns Expectations5.4.1 Scenario Modelling5.4.2 The Yale Model5.4.3 Performance Evaluation5.4.4 Rebalancing Techniques5.5

13、The investment Management Process (IMP)5.6 Investment Decisions & Evaluation5.7 Introduction to Risk Management教學(xué)難點(diǎn)：如何進(jìn)行資產(chǎn)組合管理：風(fēng)險(xiǎn)與收益的權(quán)衡。教學(xué)重點(diǎn)：馬克維茨資產(chǎn)組合理論。Part Six CAPM, APT & Equity Valuation Models6.1 Stock Valuation6.2 CAPM6.2.1 Capital Market Line6.2.2 Market portfolio6.2.3 Beta ()6.3 APT6.

14、3.1 Multi Factor Model & APT6.3.2 Chen, Roll, & Ross Model 6.3.3 Fama-French 3-Factor Model 6.4 The Differences between CAPM and APT 教學(xué)難點(diǎn)：理解資本市場(chǎng)線、證券市場(chǎng)線和證券特征線的含義。教學(xué)重點(diǎn)：資本資產(chǎn)定價(jià)模型和套利定價(jià)理論的主要內(nèi)容及兩者的區(qū)別。Part Seven Risks Management7.1 Market Risk7.1.1 Definition of VaR7.1.2 VaR and Expected Shortfall7.

15、2 Properties of Risk Measures7.2.1 Coherent Risk Measures7.1.3 Choice of Parameters for VaR7.1.4 Historical Simulation Approach7.1.5 Model-Building Approach7.2 Credit Risk7.2.1Credit Ratings7.2.2Hiatorical Default Probabilities7.2.3Recovery Rates7.2.4Different “Credit Risks”7.2.5 Estimating Default

16、Probabilities from Bond Prices7.2.6 Comparison of Default Probability Estimates7.2.7Using Equity Prices to Estimate Default Probabilities7.2.8 Estimating Credit Losses7.2.9 Credit VaR7.2.10 Creditmetrics7.3 Operational Risk7.3.1 Definition 7.3.2 Determination of Regulatory Capital7.3.3 Categorizatio

17、n of Operational Risks7.3.4 Loss Severity and Loss Frequency7.3.5 Allocation of Operational Risk Capital教學(xué)難點(diǎn)：信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)及操作風(fēng)險(xiǎn)的度量模型。教學(xué)重點(diǎn)：了解各種主要金融風(fēng)險(xiǎn)的特征、類別及風(fēng)險(xiǎn)度量方法。二、教學(xué)要求Part One Fixed Income Analysis 教學(xué)要求：通過本章的教學(xué)，幫助學(xué)生了解各種固定收益?zhèn)娘L(fēng)險(xiǎn)度量。Part Two Alternative Investments 教學(xué)要求：通過本章學(xué)習(xí)，要求學(xué)生了解套期保值基金與共同基金等課選擇投資品的投資

18、估值與風(fēng)險(xiǎn)分析和現(xiàn)金流管理。Part Three Securitised Products教學(xué)要求：通過本章學(xué)習(xí)，要求學(xué)生掌握資產(chǎn)證劵化產(chǎn)品所涉及的當(dāng)事人、主要類型、風(fēng)險(xiǎn)及操作流程。Part Four Derivatives教學(xué)要求：通過本章教學(xué)，使學(xué)生了解主要金融衍生品遠(yuǎn)期、期貨、期權(quán)、掉期的定價(jià)原理及其相互之間的區(qū)別與聯(lián)系。Part Five Portfolio Management & Portfolio Performance Evaluation教學(xué)要求：通過本章教學(xué)，幫助學(xué)生了解如何進(jìn)行資產(chǎn)組合管理以實(shí)現(xiàn)投資品風(fēng)險(xiǎn)與收益的最佳組合。Part Six CAPM, APT & Equity Valuation Models教學(xué)要求：通過本章教學(xué)，使學(xué)生掌握資本資產(chǎn)定價(jià)模型和套利定價(jià)理論的主要內(nèi)容及兩者的主要區(qū)別。Part Seven Risks Management教學(xué)要求：通過本章教學(xué)，使學(xué)生掌握市場(chǎng)風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)及操作