Course Title : Risk Management Theory

Code 10F223
Course Year Master and Doctor Course
Term 2nd term
Class day & Period Wed 3rd
Location C1-173
Credits 2
Restriction
Lecture Form(s) Lecture and exercise
Language English
Instructor Muneta Yokomatsu

Course Description

The aim of the class is to provide the basic knowledge of risk management methods for various types of risks such as natural disaster, environment and natural resources in urban and rural areas. Students will learn the decision making principle under risks in Economics and asset pricing methods in Financial Engineering as well as have exercises of application on public project problems.

Grading

20% of score is valuated on attendance and discussion in classes, and 80% on reports.

Course Goals

It is targeted to understand 1) representative concepts of risk and risk management process, 2) expected utility theory and 3) foundation of Financial Engineering, and examine 4) public project problems by applying the above knowledge.

Course Topics

Theme Class number of times Description
Basic framework of risk management 2 1-1 Representative concept of risk
1-2 Risk management technologies
Decision making theory under risks 3 2-1 The Bayes' theorem
2-2 The Expected utility theory
Financial engineering 6 3-1 The Capital Asset Pricing Model
3-2 Option pricing theory
3-3 The arbitrage theorem
3-4 The Black-Scholes formula
Decision making methods for projects 3 4-1 The decision tree analysis
4-2 The real option approach
Comprehension check 1 5 Comprehension check

Textbook

Textbook(supplemental)

1.Ross, S.M.: An Elementary Introduction To Mathematical Finance, Cambridge University Press, 1999
2.Sullivan W.G.: Engineering Economy, Pearson, 2012

Prerequisite(s)

Fundamental understanding of probability

Web Sites

Additional Information