Risk Management
本课程聚焦金融机构和企业的风险管理框架与方法，涵盖市场风险、信用风险、操作风险和流动性风险四大类金融风险。课程深入讲解风险度量方法（VaR、ES、压力测试）、信用评分与评级模型、风险缓释技术（抵押、担保、信用衍生品）、以及巴塞尔协议等监管要求。通过银行和保险公司的实际案例，学生将掌握风险识别、度量、监测和控制的完整流程，建立全面风险管理的思维方式。
This course focuses on risk management frameworks for financial institutions and corporations, covering market risk, credit risk, operational risk, and liquidity risk. It examines risk measurement (VaR, expected shortfall, stress testing), credit scoring and rating models, risk mitigation techniques, and Basel Accord regulations. Banking and insurance case studies build end-to-end risk management capabilities.
学生获取一组中小企业贷款数据，包括财务指标和违约记录，构建信用风险评估模型。运用逻辑回归或决策树方法，筛选关键财务比率（资产负债率、利息保障倍数、流动比率、ROE等）作为预测变量，建立违约概率预测模型。通过混淆矩阵、AUC和KS值评估模型判别能力，并设计一套基于该模型的贷款审批和定价策略建议。
Students obtain SME loan data with financial ratios and default records to build a credit risk assessment model. Using logistic regression or decision trees, they identify key predictors (debt ratio, interest coverage, current ratio, ROE) and estimate default probabilities. Model performance is evaluated via confusion matrix, AUC, and KS statistic, with loan approval and pricing strategy recommendations.