國立台灣大學 National Taiwan University 國際企業學系 Department of International Business
Financial Risk Management (graduate level) |
| File Name |
Description |
| FRM_Ch01.pdf | The Basics of Risk Management |
| FRM_Ch02.pdf | Risk Measurement at the Corporate Level: Economic Capital and RAROC |
| FRM_Ch03.pdf | Review of Statistics |
| FRM_Ch04.pdf | Background on Traded Instruments |
| FRM_Ch05.pdf | Market-Risk Measurement |
| FRM_Ch06.pdf | The Three Common Approaches for Calculating Value at Risk |
| FRM_Ch07.pdf | Value-at-Risk Contribution |
| FRM_Ch08.pdf | Testing VaR Results to Ensure Proper Risk Measurement |
| FRM_Ch09.pdf | Calculating Capital for Market Risk |
| FRM_Ch10.pdf | Overcoming VaR’s Limitations |
| FRM_Ch11.pdf | The Management of Market Risk |
| FRM_Ch12.pdf | Introduction to Asset Liability Management |
| FRM_Ch13.pdf | Measurement of Interest-Rate Risk for ALM |
| FRM_Ch14.pdf | Funding-Liquidity Risk in ALM |
| FRM_Ch15.pdf | Funds-Transfer Pricing and the Management of ALM Risks |
| FRM_Ch16.pdf | Introduction to Credit Risk |
| FRM_Ch17.pdf | Types of Credit Structure |
| FRM_Ch18.pdf | Risk Measurement for a Single Facility |
| FRM_Ch19.pdf | Estimating Parameter Values for Single Facilities |
| FRM_Ch23.pdf | Regulatory Capital for Credit Risk |
| Greeks from Hull.pdf | Introduction of the Greek Letters |
| Greeks supplement.pdf | Supplement Material About the Features of the Greek Letters |
| Cholesky.xls | Implementation of Cholesky Decomposition with VBA |
| Count.xls | A VBA Program to Generate the Frequency Histogram |
| D_C_D_t.xls | Calculate VaR for a Portfolio |
| Monte Carlo Simulation for Option Pricing.xls | Pricing Options with the Monte Carlo Simulation in Excel |