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所在平台: Udemy |
课程主页: https://www.udemy.com/course/theory-of-credit-risk-models/
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课程名称：信用风险模型理论 课程概述： 本课程专为考取精算师资格的学生设计，特别是针对SP9/CM2/CP1考试的考生。课程具有理论性，旨在为学生介绍相关知识，补充学习内容，而非替代自我学习。 课程内容： 第一部分介绍风险的概念，并探讨风险度量的数学特性。 第二部分关注信用风险的意识。 第三部分着重于识别信用风险及其不确定性来源。 第四部分探讨用于评估信用风险的模型。 第五部分讲解默顿模型，并引入期权定价的概念。 第六部分讨论迁移和投资组合模型。 第七部分专注于信用风险的管理，超越了简单的抵押品使用。 第八部分为Jarrow-Turnbull模型附录，涉及随机过程和马尔可夫过程。 本课程将为学生提供关于信用风险建模的基础知识，帮助他们在未来的精算工作中更好地理解和管理相关风险。
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.Credit Risk is defined as when a third party doesn't meet their obligation.ContentPart 1 is an introduction to Risk and looks at the mathematical properties of risk measures.Part 2 is about being aware of Credit RiskPart 3 is about identifying Credit Risk and its sources of uncertainty.Part 4 is about the models used to assess Credit Risk.Part 5 is about the Merton Model with an introduction to Option Pricing.Part 6 is about Migration and Portfolio ModelsPart 7 is about managing Credit Risk and goes beyond just using collateral.Part 8 is an Appendix for the Jarrow-Turnbull Model (Stochastic & Markov Processes)
