VSFS:D_MRFR Methods of financial risk mana - Course Information
D_MRFR Methods of financial risk managementUniversity of Finance and Administration
- Extent and Intensity
- 1/1/0. 10 credit(s). Type of Completion: DZk (doctoral examination).
- 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
- 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.
- 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).
- 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
- 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.
- Enrolment Statistics (recent)
- Permalink: https://is.vsfs.cz/course/vsfs/winter2022/D_MRFR