SEEM3580

Code	Course Offering	SEEM3580
Title	Long Course Title	Risk Analysis for Financial Engineering	金融工程的風險分析
Overview	Long Description	Analysis and modelling of market, credit, and operational risks in Financial Engineering. Fundamental financial instruments and derivatives: forward, futures, options, and swaps. Sources and models of market risks: interest rate, foreign exchange rate, equity prices, and commodity prices. Major credit scoring and rating models: Z-score, Logit, and Merton. Major commercial applications and systems, KMV and CreditMetrics. Different approaches to measure Value at Risk (VaR): historical, parametric, and Monte Carlo.	金融工程的市場，信貸，與操作風險的分析及建模。基本金融工具與衍生商品：遠期，期貨，期權，及交換。市場風險的主要來源以及評估模型：利率，匯率，證券，及期貨價格的波動。主要評級以及信貸風險分析模型：Z-score ， Logit 及 Merton 。商業系統如 KMV 和 CreditMetrics 。不同的在險值計算方法，包括：歷史、參數及 Monte Carlo 。