Economic and Financial Management

It is not possible to register for the course 32ME-P-EFNM-01 if the student is concurrently registered for or has already completed the course G63E3301 (mutually exclusive courses).

During a review of study plans, the course G63E3301 can be substituted for the course 32ME-P-EFNM-01.

Garant předmětu:

Jiří Zmatlík

Lecturer:

Jiří Zmatlík

Tutor:

Jiří Zmatlík

Supervisor:

Institute of Economic Studies

Synopsis:

The course is organized in 2 seminars weekly, 3 credits.

Analyzing and solving models of optimal allocation of assets, management of risk, and Portfolio allocation

Requirements:

Students will prepare seminar work for given topic. All requests should be put in the starting of semester.

Syllabus of lectures:

Syllabus of tutorials:

Content of seminars

• Numerical Models and their Comparison with Analytical Models

• Zero-Coupon Bond. Matrix Solution of the Zero-Coupon Bond problems

• Models of Risks management

• The Capital Asset Pricing Model. CAPM model

• Markowitz Theory of Portfolio

• Case Studies (Model Design, Solution and Discussion)

• Market Risk Management, Value at Risk

• Some Statistical and Economcetric Techniques

Study Objective:

Study objectives:

By the end of the course, students will be able to design and interpret various types of models to support managerial

decision-making

Synopsis:

Analyzing and solving models of optimal allocation of assets, management of risk, and Portfolio allocation.

Study materials:

Basic literature:

LE BELLAC, M., VIRICEL, A. (2017). Deep Dive Into Financial Models: Modeling Risk And Uncertainty. Word

Scientific Publishing Co.

Recommended literature:

KEYNES, J.M. (1936). The General Theory of Employment, Interest, and Money. Palgrave Macmillan.

LÜTKEPOHL, H. (2005). New Introduction to Multiple Time Series Analysis. Springer-Verlag Berlin Heidelberg.

MUN, J. (2006). Modeling Risk. Hoboken: John Wiley. ISBN 978-0-471-78900-0.

WILMOTT, P. (2006). On Quantitative Finance. 2nd Edition. John Wiley & Sons.

Note:

Time-table for winter semester 2023/2024:

	06:00–08:0008:00–10:0010:00–12:0012:00–14:0014:00–16:0016:00–18:0018:00–20:0020:00–22:0022:00–24:00
Mon
Tue
Wed
Thu	roomDEJ:408 16:00–17:30 (parallel nr.101) Dejvice Učebna
Fri

Time-table for summer semester 2023/2024:

	06:00–08:0008:00–10:0010:00–12:0012:00–14:0014:00–16:0016:00–18:0018:00–20:0020:00–22:0022:00–24:00
Mon
Tue	roomDEJ:209 12:30–14:00 (parallel nr.101) Dejvice Učebna
Wed
Thu
Fri

The course is a part of the following study plans:

• Process Management, prezenční - 22/23 (compulsory elective course)
• Financial management, AR 22/23, prezenční forma (compulsory course of the branch)
• Regional Studies, prezenční forma, AR 22/23 (compulsory elective course)
• Project management, prezenční forma, AR 2022/2023 (compulsory elective course)