2016 Advanced Topics in Mathematical Finance D

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Academic unit or major
Graduate major in Mathematics
Instructor(s)
Morimoto Yuji  Morimoto Yuji 
Class Format
Lecture     
Media-enhanced courses
Day/Period(Room No.)
Wed9-10(H137)  
Group
-
Course number
MTH.D404
Credits
1
Academic year
2016
Offered quarter
4Q
Syllabus updated
2017/1/11
Lecture notes updated
-
Language used
Japanese
Access Index

Course description and aims

The instructor in this course will explain the mathematical principles and techniques of value assessment and risk assessment in the risk management of financial institutions, as well as the current state and issues in the risk management of financial institutions. The instructor will move the discussion forward with a main focus on insurance companies amongst financial institutions, explaining risk management based on economic value assessment of insurance debt, which has been a hot topic in recent years both on grounds of regulations and actual business.

Student learning outcomes

The goal of the course is for the students to understand the principles of the valuation, risk and risk management of the financial instruments and to gain insight into the risk management issues.

Keywords

Economic-based valuation (Market consistent valuation), risk, risk management

Competencies that will be developed

Specialist skills Intercultural skills Communication skills Critical thinking skills Practical and/or problem-solving skills

Class flow

Blackboard and handouts

Course schedule/Required learning

  Course schedule Required learning
Class 1 Introduction of risk measurement Details will be provided in each class session.
Class 2 Practical issues in risk measurement (1)
Class 3 Practical issues in risk measurement (2)
Class 4 Overview of risk management
Class 5 Goal of the risk management
Class 6 Challenges to risk management
Class 7 Risk management and regulations (cases in the insurance industry)
Class 8 Wrap-up of the lectures

Textbook(s)

None in particular

Reference books, course materials, etc.

Morimoto, et. al ``Zentai saiteki no hoken ALM'' (in japanese)
Morimoto, ``Zero kara wakaru kinyuh risk kanri'' (in japanese)

Assessment criteria and methods

Based on reports. Details will be provided in class.

Related courses

  • MTH.C361 : Probability Theory
  • MTH.C503 : Advanced topics in Analysis G
  • MTH.C504 : Advanced topics in Analysis H
  • MTH.E440 : Special lectures on advanced topics in Mathematics Q
  • MTH.D401 : Advanced Topics in Mathematical Finance A
  • MTH.D402 : Advanced Topics in Mathematical Finance B
  • MTH.D403 : Advanced Topics in Mathematical Finance C

Prerequisites (i.e., required knowledge, skills, courses, etc.)

None in particular

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