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Introduction
Financial crises during the late 1990s have stimulated
not only public interest in risk management, but
also their awareness of its importance in today's
investment environment. A good understanding of
risk management is vital to many companies. Risk
management is a highly quantified, scientific
and methodological subject that is closely related
to statistics. This programme is designed to fulfill
the growing demand of expertise in this area.
| 1. |
Further qualifications
for Admission: |
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In addition to the
general
qualifications required for admission
to the Graduate School, applicants should
have majored in Risk Management Science, Mathematics,
Statistics, Finance, or a related field. |
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All applicants must also fulfill
the "English
Language Proficiency Requirement"
as stipulated by the Graduate School before
being considered for admission. Please refer
to the "Postgraduate Prospectus 2007-2008"
or Homepage (http://www.cuhk.edu.hk/gss) for details on such requirement. |
| 2. |
Programme: |
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(i) Coursework Requirement |
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Students are required to complete
a minimum of 30 units of courses for graduation. |
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| First Year of
Attendance: |
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RMS5003, 506T, STA 5010
and one from RMS4001, 4002, 4003, 4004,
4005, 4007 or other relevant courses
approved by the programme |
15 units |
| Second Year of
Attendance: |
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RMS5004 or other relevant courses
approved by the programme, RMS601T, 602T |
15 units |
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Total:
30 units |
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|
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(ii) Other Requirements
|
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(a) |
IT
Proficiency Test. |
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(b) |
Students are required to submit a research
thesis and pass an oral examination for
graduation. |
| |
(c) |
Complete an Improving Postgraduate
Learning (IPL) module on “Observing
Intellectual Property and Copyright Law
during Research”. This will be an online
module and relevant information can be
accessed from the website:
www.cuhk.
edu.hk/clear/programmes/programmes.htm. |
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| 3. |
Fields of Specialization:
|
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Risk theory, risk measure and
value at risk, time series, statistical modeling
of risky processes, fixed income modeling,
credit risk, market risk, and pricing of risky
claims. |
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| 4. |
Application Deadline:
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28 February 2007 |
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Course
List |
| Code |
Course Title
|
Unit |
|
RMS
4001 |
Simulation Methods for Risk
Management Science and Finance |
3 |
|
RMS
4002 |
Data Analysis in Finance and Risk
Management Science |
3 |
|
RMS
4003 |
Statistical Modelling in Financial
Markets |
3 |
|
RMS
4004 |
Theory of Risk and Insurance |
3 |
|
RMS
4005 |
Stochastic Calculus for Finance and
Risk |
3 |
|
RMS
4007 |
Risk Management with Derivatives
concepts |
3 |
| RMS 5003 |
Risk Measures |
3 |
| RMS 5004 |
Seminar |
3 |
| RMS 506T |
Research for Thesis |
6 |
| RMS 601T |
Research for Thesis |
6 |
| RMS 602T |
Research for Thesis |
6 |
|
STA 5010 |
Estimation Theory |
3 |
|
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Course
Description |
|
RMS 5003
Risk Measures
Risk measurement and quantification are
the fundamentals of risk management
procedures. This course discusses various
types of risk measures but mainly focuses on
the methodologies of calculating
Value-at-Risk (VaR) such as historical
simulation, parametric VaR, deltagamma
approximation and Monte-Carlo simulation.
The uses of VaR in risk management are also
addressed. Topics include portfolio risk
management, asset allocation and measuring
the performance of portfolio managers.
RMS 5004
Seminar
Students need to present and discuss
literatures assigned to them by the
instructor on topics of current interest in
financial risk management.
RMS 506T,
601T, 602T
Research for Thesis
Students are required to conduct research
under the supervision of their advisors.
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