”請遵守智慧財產權觀念並不得非法影印”
9902 碩士班
Please respect Intellectual Property
Fu Jen Catholic University
2010- 2011
Department / Code
Department of Finance and International Business (Master’s Program in Finance)
(開課單位/單位代碼)
金融與國際企業學系 金融碩士班 研二 0F62
Course Code
16981
(課程代碼)
Course Name
Cases Study in Financial Engineering
(課程名稱)
財務工程個案
Course Objectives
(課程目標)
Credit
F
S
(學分數)
0
3
The objectives of this courses are
1.To introduce the conceptual framework and historical background of financial engineering
2. To highlight the dynamic and persistent nature of financial innovation.
3. To emphasize the development of financial problem solving skills in a multi-faceted and
changing business environment, such as lowering costs of raising capital, managing risk
exposure, exploiting arbitrage opportunities, and coping with shifts in tax and regulatory
regimes.
EMBA students are encouraged to bring cases encountered in practice to class discussions.
Prerequisites
(先修課程)
Course Materials
(課程教材)
Reference
(參考書目)
Options and Futures
Mason, Scott P., Robert C. Merton, Andre F. Perold, and Peter Tufano, Cases in Financial
Engineering, Prentice-Hall Inc., 1995.
Neftci, Salih N., and Fame, Principles of Financial Engineering, Elsevier Academic Press,
2004.
Other Cases: Credit-linked investment contract, guaranteed cumulative perpetual
preferred securities, CMO, CDO, taxation on innovative financial instruments.
Bank for International Settlements, Basel Committee on Banking Supervision, Revision
to the Basel II Market Risk Framework, July 2009. Strengthening the Resilience of the
Banking Sector, December 2009. International Framework for Liquidity Risk
Measurement, Standards, and Monitoring, December 2009. Counter Cyclical Capital
Buffer Proposal, July 2010.
課堂之前測(Pre-test)
Evaluation
(評量方式)
%
課堂參與(Class Participation)
40%
期中考(筆試)(Midterm Test)
%
心得/作業撰寫(Assignment)
%
課堂後測/期末考(筆試)(Final Test)
%
專題發表(Presentation)
%
學生表現側寫報告(Profile Report)
%
課堂上實作演練(Role Playing)
%
個別面試或口試(Oral Exam)
(教學方法)
Course Web
(課程網頁)
30%
課堂中的隨堂測試(Quiz)
個案分析報告撰寫(Case Report)
Pedagogical Methods
% 期末報告/論文撰述(Team Paper/Theses Writing)
30%
%
專業團體之證照檢定(Certification)
%
其他(Others)
%
講授(Lecture)
競賽讀書會(Study Group)
個案教學(Case Study)
專題實作(Seminar on Field Research)
電子教學(e-Learning)
產業實習(Internship)
體驗教學(Project Adventure)
服務學習實作(Service Learning)
角色扮演實境教學(Role Playing)
自主學習(Independent Study)
企業競賽遊戲(Business Simulation Game)
對話教學法(Dialogue Teaching)
管理電影(Theater Learning)
其他
Week
Date
Topic
1
2/15
Introduction
2
2/22
Financial innovation and the financial system
3
3/1
Securities innovations: A historical and functional
perspective
4
3/8
Continue
5
3/15
Arbitrage: U.S. Government Debt Market, Cougars,
Arbitrage in the Government Bond Market, Coca-Cola
Harmless Warrants
6
3/22
Taxes, regulation and accounting stimuli (debt): Citicorp,
Schroders’ perpetual floating-rate note exchange offer,
Metromedia Broadcasting Corporation.
7
3/29
Securitization: Travelers mortgage securities CMO,
American Express TRS charge-card receivables, Lehman
Brothers’ securitization pricing and distribution.
Course Outline
(課程大綱進度)
8
4/5
民族掃墓節放假
9
4/12
Market risk management 1
10
4/19
Information asymmetry: Contingent claims analysis, Arley
(期中考週)
Merchandise Corporation, Avon Products, Inc., Alza and
Bio-Electro Systems.
11
4/26
Taxes, regulation and accounting stimuli (equity): ARPPS,
MMP, Waste Management, Inc.
12
5/3
Market risk management 2
13
5/10
Managing issuers’ exposures: Interest rate derivatives,
Currency swaps, B.F. Goodrich-Rabobank interest rate swap,
Walt Disney’s yen financing, Liability Management at
General Motors.
14
5/17
Managing investors’ exposures: An investment linked to
commodity futures, Shearson Lehman Hutton’s covered
warrant business, Nikkei put warrants, LOB portfolio
insurance & SuperTrust
15
5/24
Market risk management 3
16
5/31
Market risk management 4 應屆畢業生期末考週
Contribution to
全人教育
做中學
Mission
(Holistic Education)
(Learning by doing)
(本課程與管理學院
人本價值
整合資源
創新知識
國際視野
使命之關係)
(Human-centric values)
(Resource integration)
(Innovative knowledge)
(International view)
■1.掌握專業知識內涵並培養獨立研究之能力。
Each student should be able to capture the essence of professional knowledge and cultivate the ability to
independent research.
Contribution to
learning goals：
management college
(本課程能達成開課
單位的哪些目標-院)
■2.整合理論與實務以提升組織之績效。
Each student should be able to integrate theories and practices as to increase the productivity of
organizations.
3.善用資訊科技，並培育資源統整之能力
Each student should be able to capitalize on modern information technology in the integration and use of
resources.
4.建立專業倫理與人本價值觀念，並應用於專業決策中。
Each student should be able to recognize professional ethics and human-centric values, and be able to
apply them in professional decision-making.
5.拓展國際視野以提升國際化能力。
Each student should be able to expand his/her global perspective to adapt to internationalization.
■1.完備財務金融理論之訓練及提升對金融市場與商品之了解. To Provide solid training in
financial theory and strengthen the knowledge of financial market and commodities.
(問題分析與解決行為.Analysis and problem solving skills.)
■2.提高對研究方法流程之熟稔度及各研究工具之操作能力. To enhance research skills.
(問題分析與解決行為.Analysis and problem solving skills.)
■3.具理論與實務之整合能力. To integrate professional studies with financial theories and
Contribution to
learning goals:
practices.
Graduate Institute of
(整合與運用資源行為.To integrate and utilize the resources.)
Finance
(本課程能達成開課
單位的哪些目標-所) 4.拓展國際視野與具備專業倫理之素養. To develop international perspectives and professional
ethics.
(團隊合作行為.Team Work. ; 洞察環境變動(國際化)行為.Globalized Vision.)
5.提昇邏輯分析與金融問題解決的能力. To enhance the ability of logistic analyses and
financial problem solving skills.
(問題分析與解決行為.Analysis and problems Analysis and problems solving skills.)
David M. Chen
陳明道
E-mail: 003924@mails.fju.edu.tw
Instructor
(老師資料)
Phone: 29052783
Office Hour: Monday 2-4 & Wednesday 2-4
Room: SL422