Financial Risk Management

Garant předmětu:

Lecturer:

Tutor:

Supervisor:

Department of Management and Economics

Synopsis:

The course will familiarize students with financial risk management from the perspective of advanced corporate finance and strategic corporate management. Students will also learn to use and interpret current and historical market-data resource. Applications will focus on particular issues, relating to the student‘s professional interests and thesis subject.

Requirements:

Students are required to be familiar with MSc-level financial management and statistics. Each student will submit an individual written assignment.

Syllabus of lectures:

1.Introduction, systematic break-down, terminology and methodology

2.Analysis and management of market risks

3.Financial and commodity markets, traded instruments, market conventions

4.Financial and commodity derivatives, their characterization, utilization and valuation

5.Arbitrage, hedging and quantification of market risks

6.Methods based on diversification, their characterization, applications and constraints

7.Credit risk, its typology and analysis

8.Credit risk management methods

9.Credit models, credit derivatives and their application

10.Comprehensive risk analysis, capital management and performance measurement

11.Risks in risk management, model risk, inefficient markets, financial crises

12.Case study and consultation related to the subject of thesis

13.Written assignment presentation and interview

Syllabus of tutorials:

Study Objective:

Study materials:

Core Literature:

[1]Myint, S., Famery, F. The Handbook of Corporate Financial Risk Management. Risk Books, London 2012. ISBN 978-1-906-34892-2

[2]Malz, A.M. Financial Risk Management: Models, History and Institutions. John Wiley, Hoboken, 2011. ISBN 978-0-470-48180-6

[3]Pilbeam, K. Finance and Financial Markets. 3 ed. Palgrave Macmillan, New York 2010. ISBN 978-0-230-23321-8

[4]Dubil, R. Financial Engineering and Arbitrage in the Financial Markets. John Wiley, Chichester 2011. ISBN 978-0-470-74601-1

Recommended literature:

[5]Monda, B., Giorgino, M., Modolin, I. Rationales for Corporate Risk Management: A Critical Literature Review. RePEc, München 2013. Available on http://mpra.ub.uni-muenchen.de/45420/

[6]Lybeck, J.A. A Global History of the Financial Crash of 2007-2010. Cambridge University Press, Cambridge 2011. ISBN 978-1-1076-4888-3

[7]Geman, H. (ed.) Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy. John Wiley, Chichester 2009. ISBN 978-0-470-69425-1

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans: