《金融市場動態(tài)》課程教學大綱

1、金融市場動態(tài)課程教學大綱課程編號1240343050課程名稱金融市場動態(tài)課程性質限選學 時48學 分3學時分配授課：48  實驗： 上機：   實踐：    實踐（周）：考核方式閉卷考試，平時成績占60% ，期末成績占40% 。開課學院經(jīng)濟學院更新時間2020年9月適用專業(yè)金融學先修課程證券投資學、金融工程、金融市場學一、教學內容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教學難點：理解固定收益證券利率風險、信用風險的度量。教學重點：掌握固定收益?zhèn)姆N類及風險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教學難點：可選擇性投資產品中套期保值基金與共同基金的投資估值。教學重點：套期保值基金與共同基金的種類、涉及的風險及現(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教學難點：理解資產證劵化產品所涉及的當事人、主要風險及操作流程。教學重點：資產證劵化產品設計原理、類型、風險和現(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教學難點：各種金融衍生品的定價。教學重點：幾種主要金融衍生品遠期、期貨、期權、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教學難點：如何進行資產組合管理：風險與收益的權衡。教學重點：馬克維茨資產組合理論。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 教學難點：理解資本市場線、證券市場線和證券特征線的含義。教學重點：資本資產定價模型和套利定價理論的主要內容及兩者的區(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教學難點：信用風險、市場風險及操作風險的度量模型。教學重點：了解各種主要金融風險的特征、類別及風險度量方法。二、教學要求Part One Fixed Income Analysis 教學要求：通過本章的教學，幫助學生了解各種固定收益?zhèn)娘L險度量。Part Two Alternative Investments 教學要求：通過本章學習，要求學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、估值與風險分析和現(xiàn)金流管理。Part Three Securitised Products教學要求：通過本章學習，要求學生掌握資產證劵化產品所涉及的當事人、主要類型、風險及操作流程。Part Four Derivatives教學要求：通過本章教學，使學生了解主要金融衍生品遠期、期貨、期權、掉期的定價原理及其相互之間的區(qū)別與聯(lián)系。Part Five Portfolio Management & Portfolio Performance Evaluation教學要求：通過本章教學，幫助學生了解如何進行資產組合管理以實現(xiàn)投資品風險與收益的最佳組合。Part Six CAPM, APT & Equity Valuation Models教學要求：通過本章教學，使學生掌握資本資產定價模型和套利定價理論的主要內容及兩者的主要區(qū)別。Part Seven Risks Management教學要求：通過本章教學，使學生掌握市場風險、信用風險及操作