國立台灣大學    National Taiwan University      國際企業學系    Department of International Business


Financial Risk Management (undergraduate 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