Advanced Topics in Financial Management

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Kód Zakončení Kredity Rozsah Jazyk výuky
G63E4301 Z 3 0P+2C anglicky

Předmět G63E4301 nesmí být zapsán, je-li v témže semestru zapsán anebo již dříve absolvován předmět 32ME-P-ADFM-01 (vztah je symetrický)

Předmět G63E4301 může být splněn v zastoupení předmětem 32ME-P-ADFM-01

Garant předmětu:
Předmět zajišťuje:
institut ekonomických studií

The course aims at overhaul the path research of the portfolio theory and recognize the main financial models intended to manage the assets. The exercises and theoretical perspective deal with a diversity of strategies developed for assigning a portfolio of investment, combining assets of different degree of risk, underpining the position with the diversification principle. The overview starts with the pioneering Markowitz contribution; the course analyzes also the Merton Miller model of irrelevance of the equity-debt composition for the corporative structure of capital. The analysis includes also the Sharpe CAPM model. Other innovative applications rely on the disruptive Black and Scholes model of pricing options a relevant work presenting the option as supporting instruments for giving certainty to the buying and selling operations, hedging the investor position against the volatility of financial assets. Currently, there are a disparate set of cases where the Black and Scholes formula can be applied as self-financing, portfolio insurance, inter alia.

But previously, the student must be aware of all statistical concepts dealing with uncertainty, probability distributions, confidence intervals and probability of default. With the conducing background the course enters in the definition of VaR applications, in order to quantify the amounts of loses based on the probability distribution, based on the Gaussian statistical theory. The estimation of measures of risk conveyed by each individual asset is run by econometric methods.


MSc.-level course in Corporate Financial Management

Osnova přednášek:

Capital Structure Decisions, Dividends, Distributions and Stock Repurchases

Financing Strategies, Structured and Asset-Based Finance,

stock markets, long-run equilibrium, Criteria for Decision-Making under Risk and Uncertainty,

Expectations, Speculations,.

Portfolio Choice,

Investment Decisions,

Asset Pricing, Asset Returns and Asset Risk

Information and Market Efficiency.

Value at Risk

Modern Theory of Portfolio

Options Put and Call

Black Scholes Model and the Pricing of Options.

Diversity of Application of Black Scholes Formula

Osnova cvičení:
Cíle studia:

The course provides with an intuitive introduction to the main tools in risk analysis. Keeping up the evolving trajectory of the financial analysis the course teaches a modern approach to the risk measurement of a financial position through statistical techniques which allow to describe the profit and loss and the distribution of the firm’s portfolio over some predetermined horizon.

In particular, market practice has nowadays adopted Value at Risk (VaR) as standard risk measure. Several techniques implement the statistical procedures for accurately estimating the amounts which are exposed under specific confidence levels.

Studijní materiály:


BENNINGA Simon and MOFKADI Tal (2018). Principles of Finance with Excel. Oxforfd University Press.

BENNINGA Simon and MOFKADI Tal (2022).Financial Modeling, fifth edition. MIT Press

Rasmussen, M. (2003) Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: A Practical Guide to Implementing Quantitative Investment Theory. Palgrave Macmillan

MERTON, Robert & Thaler, Richard (2021).. No-fault Default, Chapter 11 Bankruptcy, and Financial Institutions. Working Paper 28341, NBER.

BALLOTTA Laura & FUSAI Gianluca ( 2017) A Gentle Introduction to Value at Risk. Technical Report · April 2017

HOLLSTEIN, Fabian and PROKOPCZUK, Marcel (2016). Estimating Beta. The Journal of Financial and Quantitative Analysis. Vol. 51, No. 4 (AUGUST), pp. 1437-1466

BENNINGA Simon (2014) Financial Modeling. Fourth Edition. MIT press.

ALLEN Steven (2013) Financial Risk Management. John Wiley & Sons, Inc.

CHOUDHRY Moorad (2013). An Introduction to Value-at-Risk. 5th Edición. Wiley.

MYINT, S., FAMERY, F. (2012) The Handbook of Corporate Financial Risk Management. Risk Books. London.

MALZ, A.M. (2011) Financial Risk Management: Models, History and Institutions. Hoboken: Wiley Finance.

PILBEAM, K. (2010) Finance and Financial Markets. 3rd ed. New York: Palgrave Macmillan.

FRANKE Jürgen , HÄRDLE, Wolfgang K. & HAFNER Christian. (2008). Statistics of Financial Markets. Springer.

JORION Philippe (2007) Value at Risk: The New Benchmark for Managing Financial Risk, 3rd Edition. Mc Graw-Hill

WILMOTT, Paul (2006) On Quantitative Finance. John Wiley & Sons

MARTELLINI Lionel, PRIAULET Philippe & PRIAULET Stephane (2003). Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies. Wiley.

SAUNDERS Anthony & ALLEN Linda (2002) Credit Risk Measurement. Second Edition. John Wiley & Sons, Inc.

MERTON Robert C. (2002) Future Possibilities in Finance Theory and Finance Practice. Working Papers. Harvard Business School

CHOUDHRY Moorad (2001). The Bond and Money Markets: Strategy, Trading, Analysis Butterworth-Heinemann

FAMA, Eugene (1998). Market Efficiency, Long-term Returns, and Behavioral Finance. Journal of Financial Economics. 49, pp. 283 – 306.

MARKOWITZ Harry (1990). Foundations of Portfolio Theory. Nobel PrizeLecture. Stockholm

BLACK Fischer & SCHOLES Myron (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy , May - Jun., Vol. 81, No. 3, pp. 637-654

MODIGLIANI Franco and MILLER Merton (1958) The Cost of Capital, Corporation Finance and the Theory of Investment. The American Economic Review, Vol. 48, No. 3, pp. 261-297


Výuka probíhá v angličtině.

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Předmět je součástí následujících studijních plánů:
Platnost dat k 19. 4. 2024
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