2020 Advanced Topics in Mathematical Finance C

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Academic unit or major
Graduate major in Mathematics
Instructor(s)
Morimoto Yuji 
Course component(s)
Lecture
Mode of instruction
ZOOM
Day/Period(Room No.)
Wed9-10(Zoom)  
Group
-
Course number
MTH.D403
Credits
1
Academic year
2020
Offered quarter
3Q
Syllabus updated
2020/9/18
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. 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.

Course taught by instructors with work experience

Applicable How instructors' work experience benefits the course
Risk management practice in an insuracen firm, risk management advisory in investment banks and a consulting firm

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

Out-of-Class Study Time (Preparation and Review)

To enhance effective learning, students are encouraged to spend approximately 100 minutes preparing for class and another 100 minutes reviewing class content afterwards (including assignments) for each class.
They should do so by referring to textbooks and other course material.

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

Contact information (e-mail and phone)    Notice : Please replace from "[at]" to "@"(half-width character).

ymorimoto[at]capitas.jp

Other

It is desirable to for students to take both C and D.

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