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所在平台: Udemy |
课程主页: https://www.udemy.com/course/measuring-risk-for-actuaries/
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**Coursera课程《精算师市场风险（SP9/CM2/CP1考试）》内容摘要** **课程定位：** 本课程面向正在备考精算师SP9/CM2/CP1考试的学生，旨在提供理论性介绍，作为学习的补充而非替代。 **核心内容：** * **风险定义：** 风险被定义为由不确定性带来的后果。 * **市场风险定义：** 市场风险是指资产价格的意外变动。 **课程结构（共七个部分）：** 1. **风险导论：** 介绍风险概念，并探讨风险度量的数学特性。 2. **市场风险意识：** 提高对市场风险的认识。 3. **市场风险识别与不确定性来源：** 学习如何识别市场风险及其产生的不确定性来源。 4. **市场风险评估模型：** 重点介绍用于评估市场风险的模型。 5. **市场风险管理：** 探讨超越对冲和衍生品之外的市场风险管理方法。 6. **市场风险监控：** 学习使用夏普比率（Sharpe Ratio）和索提诺比率（Sortino Ratio）等工具进行市场风险监控。 7. **隐含波动率计算：** 介绍如何利用Black-Scholes模型计算隐含波动率，以应用于市场风险模型。
For the Actuarial StudentsThis course is designed for actuaries writing exam: SP9/CM2/CP1.It is theoretical in nature and designed to introduce a student to the material.It is not a substitute for studying, rather a supplement.IntroductionRisk is defined as the consequences resulting from uncertainty.Market Risk is defined as the unexpected changes in an assets price.ContentPart 1 is an introduction to Risk and looks at the mathematical properties of risk measures.Part 2 is about being aware of Market RiskPart 3 is about identifying Market Risk and its sources of uncertainty.Part 4 is about the models used to assess Market RiskPart 5 is about managing Market Risk and going beyond just hedging and derivatives.Part 6 is about monitoring Market Risk with the Sharpe and Sortino RatiosPart 7 is about how Black Scholes can be used to calculate an Implied Volatility for Market Risk Models
