本课程为期十周，全英文讲授，面向在华外国留学生、国际交换生和国内金融专业的本科生，获“上海高校外国留学生英语授课示范性课程”称号。本课程通过理论结合实际的教学方法，融入哈佛商学院倡导的“以参与者为中心”教学理念。学生在完成本课程的学习后，不仅能够了解金融市场和金融机构在经济中的举足轻重不可取代的作用以及中国银行业在不断变化的国际经济环境中面临的挑战和风险，而且能够掌握并运用多种方法和手段来度量和管理现代商业银行面临的信用风险，利率风险，市场风险，流动性风险等各种风险，并灵活运用金融学和经济学的基本原理分析和解决实际问题。
This course builds on basic financial theory and the principles in economics. It addresses crucial issues in managing financial institutions and commercial banks in particular, in a rapidly changing international environment. Upon successful completion of the course, students should be able to understand the unique role of financial institutions and financial markets in the economy; understand the analytical tools and methods to measure and manage the risks faced by commercial banks; use the methods and tools learned in this course to analyze important financial issues including financial crisis and the regulations.
授课团队
李楠 Associate Professor
课程大纲
01 Specialness, Risk and Regulation of Banks
Week 1：通过运用简单的模型讲解了现代经济社会中为什么不能没有银行，银行等金融机构在经济中的不可或缺的作用，因此而不得不面对的风险，以及对银行监管的必要性，运用博弈论和优化理论使学生不仅了解银行的特殊作用，而且明白银行为什么重要，以及制定合理有效的银行监管政策的必要性和困难所在。
1.1 What is a Bank?
1.2 Power of Diversification
1.3 Risks of Banks
02 Organization, Struture and Changing Dynamics of Banking Industry
Week 2-3： 通过美国储贷危机的案例探讨了银行的发展过程中银行管理者与监管者之间的动态博弈，通过美国2008年信贷危机案例探讨了银行的组织机构和发展变化与经济发展和金融市场之间的动态关系，并讲解了美国银行的商业模式从OTH（放贷并持有）模式变化为OTD（放贷并发行）模式的原因和对银行风险管理的影响，美国银行的并购风潮以及由此而来的“大而不倒”的问题，讲解了中国金融市场中的影子银行产生的原因和发展，移动支付在中国迅猛发展的原因及其对银行业的影响。
2.1 Regulation of the Banking Industry
2.2 Organization and Structure of the Banking Industry in the U.S.
2.3 Organization and Structure of the Banking Industry in China.
2.4 Changing Dynamics of Banking Industry
03 Monetary Policy and Liquidity Risk
Week 4：重点讲解了货币政策是如何通过银行体系进行传导的机制，剖析了货币政策与市场利率、汇率、股票价格以及经济增长和失业率的动态关系，通过对比中美两国货币政策制定的异同，阐述了制定宏观审慎货币政策的重要性和面临的挑战。
3.1 Money and Money Supply
3.2 Monetary Policy in the U.S. vs China
3.3 Interest Rate and Monetary Policy
04 Interest Rate Risk
Week 5-6：讲解了银行的特殊性与其面临利率风险的必然联系，从而引出量化管理利率风险的重要性。重点讲解了再定价利率模型和久期模型，并通过美国波士顿银行和美国橘郡的案例讲解如何运用这两个模型有效度量和管理利率风险，以及中国利率市场化对银行利率风险管理的影响。
4.1 Introduction to Interest Rate Risk
4.2 Repricing Gap Model
4.3 Bond Valuation and Yield Curve
4.4 Duration Model
05 Market Risk
Week 7：重点讲解如何运用VaR模型来量化管理市场风险，通过巴林银行， LTCM等案例分析，讲解在运用VaR模型量化管理市场风险中应注意的问题以及如何根据不同的市场情况选择恰当的工具和手段管理风险。
5.1 Introduction to Market Risk
5.2 Fixed-Income Securities
5.3 Foreign Exchange and Equity
5.4 Market Risk Aggregation
06 Credit Risk
Week 8-10：重点讲解管理信用风险的重要性，贷款利率的决定机制，以及如何运用定性和定量分析的手段来衡量和管理单笔贷款以及贷款组合的风险。通过实际信用风险分析等案例讲解如何灵活运用课程中学到的方法和手段结合金融经济学原理分析和解决实际问题。
6.1 Introduction to Credit Risk
6.2 Return on a Loan
6.3 Credit Risk of Individual Loans
6.4 Credit Risk of Loan Portfolio
Introduction to Finance
Money and Banking
Students are expected to have some background in basic economic theory (macroeconomics and microeconomics), algebra, differential calculus, statistics, and a disposition to keep themselves informed of current developments in the area of banking and finance.
Note: Please make sure you have adequate background in analytics, linear algebra, statistics, economics and finance. This is a course in finance, with focus on the risk management and quantitative analysis. This course is NOT suitable for students without any training in economics, statistics, analytics or linear algebra.
Textbook:
Saunders and Cornett, Financial Institutions Management: A Risk Management Approach, 8th edition/International Edition, McGraw Hill, 2014 (FIM)
Peter S. Rose and Sylvia C. Hudgins, Bank Management and Financial Services, 9th Edition, International Edition, McGraw-Hill, 2013 (BMFS)
Reference book：
John C. Hull, Risk Management and Financial Institutions, Second Edition, Pearson, 2010
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