D_MRFR Methods of financial risk management

University of Finance and Administration
Winter 2022
Extent and Intensity
1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
Teacher(s)
prof. RNDr. Jiří Witzany, Ph.D. (lecturer)
Guaranteed by
doc. RNDr. Petr Budinský, CSc.
Department of Finance - Departments - University of Finance and Administration
Contact Person: Lenka Pokorná
Prerequisites
Good knowledge of university mathematics and statistics. Good orientation in the field of corporate finance a accounting. It is appropriate to know stochastic modelling and command any programming language. Advantage is good orientation in Czech national accounting standard and in IFRS also.
Course Enrolment Limitations
The course is offered to students of any study field.
Course objectives
At the end of the coursE students should be able to do scientific research in field of "risk management".
Learning outcomes
Ability of scientific and research work in field of study.
Syllabus
  • Subject of study consists following parts:
  • Risk theory, mathematical description of risks, Extreme Value Theory, Value-at-Risk (VaR).
  • Coherent risk measures problematics, composition of risk "parts" and decomposition of total portfolio´s risk. Markowitz portfolio selection model and its variants.
  • Credit risk methodology (KMV and CreditMetrics) and market risks (RiskMetrics, RiskGrades).
  • Mathematical approach to risk modelling used for BASEL II (market risks, credit risk and operational risk modelling) and SOLVENCY II. Problematics of BASEL III.
  • Methods of setup risk exposition in financial market institutions.
  • Methods of setup credit risk expositon of "non-financial" enterprise via using of all availaible information. Ratings and their methodology.
  • Scoring function construction.
  • Transfer risks using securities - lesson of derived securities bankruptcy ABS (CDO,CMO).
Literature
    required literature
  • Artzner, P., Delbaen, F., Eber, J. M. and Heath, D.: Coherent measures of risk. Mathematical Finance 9 (November), 1999, str. 203-228
  • Jorion P.: Value at Risk: The New Benchmark for Managing Financial Risk. Mc-Graw Hill, 2006.
  • Holton Glyn, A.: Value at Risk Theory and Practice. Amsterdam: Academic Press, 2003
  • Wagner N. (ed.): Credit Risk Models, Derivatives, and Management. Chapman & Hall, 2008
    recommended literature
  • Tavakoli, M. J.: Collateralized Debt Obligation & Structured Finance. Hoboken: John Wiley & Sons, 2003
  • Kuruc, A.: Financial Geometry: geometric approach to hedging and risk management. New York: Prentice Hall, 2003.
  • Jäckel, P.: Monte Carlo methods in finance. Chichester: John Wiley & Sons, 2002.
Teaching methods
Teaching takes the form of lectures and classes (seminar). Classes discussions and write essay which is related to postdoctoral thesis. Students present their essay at the classes.
Assessment methods
Write essay - size is approx. 20 - 30 pages.
Final oral exam and defence of essay.
Language of instruction
Czech
Further comments (probably available only in Czech)
The course can also be completed outside the examination period.
General note: Předmět doktorského studia.
Information on the extent and intensity of the course: 12 hodin KS/semestr.
The course is also listed under the following terms Summer 2011, Winter 2011, Winter 2012, Winter 2013, Winter 2014, Winter 2015, Winter 2016, Winter 2017, Winter 2018, Winter 2019, Winter 2020, Winter 2021.
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