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MBA 投资与风险套件

投资、资产管理与风险选修课：投资组合理论、因子模型、固定收益、业绩评估、远期、期货与互换、风险价值，以及相关的实务报告。

第 1 步

学习

  1. MBA Investments Elective Guide Template

    完整

    Investments elective: competencies, 13-session roadmap, concepts map, foundation allocation mini-case with exhibits and teaching note, rubric, exam plan

    Markowitz 1952; Sharpe 1964; Fama and French 1993, 2015; GIPS 2020

  2. CAPM and WACC Concept Card Template (Beta, Cost of Capital)

    完整

    CAPM, beta regression and adjustment, Hamada and Harris-Pringle unlevering, ERP sources, after-tax cost of debt, target weights, WACC pitfalls, SML chart

    Sharpe 1964; Lintner 1965; Mossin 1966; Hamada 1972; Modigliani and Miller 1963
第 2 步

投资组合管理

  1. MBA Portfolio Theory Concept Card Template

    完整

    Mean-variance theory: matrix formulas, GMV and tangency portfolios, Merton frontier, CML, complete portfolio, diversification limit, estimation error, chart

    Markowitz 1952; Tobin 1958; Merton 1972

  2. MBA Factor Models Concept Card Template

    完整

    Single-index model, APT, Fama-French 3 and 5 factors, Carhart momentum, factor construction, LINEST regression, alpha tests, factor zoo, chart

    Ross 1976; Fama and French 1993, 2015; Carhart 1997

  3. MBA Fixed Income Concept Card Template

    完整

    Bond pricing, bootstrapped spot and forward rates, Macaulay and modified duration, convexity, DV01, immunisation, credit spreads, SOFR, SONIA and €STR

    Macaulay 1938; Redington 1952; Fisher and Weil 1971; Merton 1974

  4. MBA Performance Evaluation Card Template

    完整

    Time- vs money-weighted returns, Sharpe, Treynor, Jensen alpha, M-squared, information and appraisal ratios, factor alpha, timing tests, significance, GIPS 2020

    Sharpe 1966; Treynor 1965; Jensen 1968; GIPS 2020 (CFA Institute)
第 3 步

衍生品与风险

  1. Derivatives and Risk Management Course Guide Template

    完整

    Elective plan: competencies, 13-session roadmap, concepts map, Northfield hedging mini-case with exhibits and teaching note, rubric, exam plan, self-test

    Black and Scholes (1973); Froot, Scharfstein and Stein (1993); Artzner et al. (1999); Basel MAR33 (ES 97.5%); AACSB Global Standards 2026

  2. Forwards, Futures and Swaps Concept Card Template

    完整

    Cost of carry, convenience yield, futures margin, minimum-variance hedge ratio, index futures and beta, swap par rate and valuation, SOFR after LIBOR

    Johnson (1960); Ederington (1979); Cox, Ingersoll and Ross (1981); Froot, Scharfstein and Stein (1993); SOFR, SONIA, €STR

  3. Options and Real Options Concept Card Template

    完整

    Payoff diagram, put-call parity, one- and two-step binomial (CRR), Black-Scholes-Merton with Excel, Greeks, options to expand, abandon and defer

    Black and Scholes (1973); Merton (1973); Cox, Ross and Rubinstein (1979); Myers (1977); Dixit and Pindyck (1994)

  4. Value at Risk and Expected Shortfall Concept Card Template

    完整

    Parametric, historical and Monte Carlo VaR, expected shortfall, component and marginal VaR, EWMA, Kupiec backtest, traffic light, FRTB ES 97.5%

    RiskMetrics (1996); Kupiec (1995); Artzner et al. (1999); Acerbi and Tasche (2002); Basel MAR32 and MAR33 (ES 97.5%)
第 4 步

Well-Architected 评审

  1. Strategic Asset Allocation and ALM Study Template

    完整

    Liabilities, capital market assumptions, correlations, candidate portfolios, surplus VaR, hedge ratio, stress tests, liquidity, transition plan

    Mean-variance and surplus optimisation (Markowitz 1952); IORP II Art. 30; UK SI 2005/3378 reg. 2

  2. Bond Credit Analysis Template (Investor Credit Memo)

    完整

    Investor bond credit view: internal rating, business risk, ratios, stress, liquidity, recovery waterfall, covenants, yield, duration, spread vs expected loss

    EU CRA Regulation 1060/2009 Art. 5a; CRD (Directive 2013/36/EU) Art. 77; Dodd-Frank s.939A

  3. Performance Attribution Report Template (Brinson)

    完整

    Returns vs benchmark, Brinson-Fachler and BHB effects, Carino linking, currency and fixed income attribution, Sharpe, IR, tracking error, factors

    Brinson-Fachler (1985) and Brinson-Hood-Beebower (1986) attribution; Carino linking

  4. VaR Backtesting Report Template (Kupiec, PLA Test)

    完整

    Hypothetical and actual P&L, exception list and root causes, zone, Kupiec and Christoffersen tests, multiplier effect, desk-level backtesting and PLA, actions

    CRR (EU) 575/2013 Art. 366; Basel Framework MAR32 (chapter ID)