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 focus on expalining the issues related to risk management activities and history of risk management, and discussing the ideal risk management practice.
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.
Economic-based valuation (Market consistent valuation), risk, risk management
✔ Specialist skills | Intercultural skills | Communication skills | Critical thinking skills | Practical and/or problem-solving skills |
Blackboard and handouts
Course schedule | Required learning | |
---|---|---|
Class 1 | Overview of Risk Management (1) | Details will be provided in each class session. |
Class 2 | Overview of Risk Management (2) | |
Class 3 | History and challenges related to risk management | |
Class 4 | Relation of accounting value and economic value | |
Class 5 | Interest rate risk in Banking book | |
Class 6 | Economic value based regulation in insurance industry (1) | |
Class 7 | Economic value based regulation in insurance industry (2) | |
Class 8 | Wrap-up of the lectures |
None in particular
Morimoto, et. al ``Keizai kachi base no hoken ERM no honshitsu" (in Japanese)
Morimoto, ``Zero kara wakaru kinyuh risk kanri'' (in japanese)
Based on reports. Details will be provided in class.
None in particular
It is desireble for students to take both Advanced Topics in Mathematical Finance C and D.