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School of Engineering
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- 工学院，物質理工学院，環境・社会理工学院共通科目
- Liberal arts and basic science courses
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- School of Science
- School of Engineering
- School of Materials and Chemical Technology
- School of Computing
- School of Life Science and Technology
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School of Environment and Society
- Department of Architecture and Building Engineering
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- Graduate major in Technology and Innovation Management
- Common courses
- Liberal arts and basic science courses
- Academic unit or major
- Graduate major in Mathematics
- Instructor(s)
- Morimoto Yuji
- Class Format
- Lecture
- Media-enhanced courses
- Day/Period(Room No.)
- Wed9-10(H137)
- Group
- -
- Course number
- MTH.D403
- Credits
- 1
- Academic year
- 2019
- Offered quarter
- 3Q
- Syllabus updated
- 2019/3/18
- Lecture notes updated
- 2019/11/11
- 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. In this course (C), the instructor will focus on explaining the technical asspect of risk measurement and valuation.
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 (overview of the course) | Details will be provided in each class session. |
| Class 2 | Valuation principles | |
| Class 3 | Valuation of Insurance Liabilities (1） | |
| Class 4 | Valuation of Insurance Liabilities (2) | |
| Class 5 | Market risk measurement （VaR） | |
| Class 6 | Credit risk measurement | |
| Class 7 | Issues in risk measurement | |
| Class 8 | Wrap up and supplemental explanation |
Textbook(s)
None in particular
Reference books, course materials, etc.
Morimoto, et. al ``Keizai kachi base no Hoken ERM no Honshitsu'' (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.C507 ： Advanced topics in Analysis G1
- MTH.C508 ： Advanced topics in Analysis H1
- 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.D404 ： Advanced Topics in Mathematical Finance D
Prerequisites (i.e., required knowledge, skills, courses, etc.)
None in particular
Other
It is desirable to for students to take both C and D.
