Financial Markets and Risk Management
| Code | Completion | Credits | Range | Language |
|---|---|---|---|---|
| G63E2301 | Z,ZK | 6 | 2P+2C | English |
- Garant předmětu:
- Helmuth Yesid Arias Gomez
- Lecturer:
- Helmuth Yesid Arias Gomez
- Tutor:
- Helmuth Yesid Arias Gomez
- Supervisor:
- Institute of Economic Studies
- Synopsis:
-
The analysis of the management of financial risk recently tends towards strategies for hedging the portfolio,
and for designing a investment strategy based on diversification. The course spans broad sections implmenting the principles of variable income and fixed income.
The Financial Models evolved rapidly from the inception of the Modern Theory of Portfolio. The original Mean - Variance analysis, the CAPM, The Black-Litterman model, the disruptive framework implicit in the Black Scholes model for pricing options and the Bob Merton's contribution, all of them represent theoretical breakthroughs in the field of finance.
When tackling this study, solid statistical basis and advanced skills in Excel are required. The analysis of risk relies on Many of the models based on important benchmarks rooted in Merton’s options theoretic approach and explains default in structural terms related to the market value of the firm’s assets as
compared to its debt obligations.
Other model statistically decomposes observed risky debt prices into default risk premiums.
The set of models pretends to measure the credit risk of a loan or a portfolio of loans.
In this vein, the curse pursuits to simplify the technical details and analytics surrounding these models, while concentrating on their underlying economics and economic intuition.
They learn to use market instruments and market analyses to design efficient investment and hedging strategies and methods for the company capital management hurled to finanicial markets.
- Requirements:
-
BSc-level courses in Financial Management and Mathematics
- Syllabus of lectures:
-
The mean variance analysis for risk management
The Envelope Portfolio and the Efficient Frontier. Construction.
Financial Instruments and Financial Markets
Behavior of Markets and Measuring Market Risk
The Merton - Black Propositions and the plot of Evelope Portfolio
The CAPM model, the betas and the analysis of individual risk.
The Black Litterman Model and the opinions about the portfolio proportions.
Hedging and Hedging Strategies
The probability of default and the Merton's Valuation Model
Event studies and the abnormal returns.
Options Put and Call
Black Scholes Model and the Pricing of Options.
Diversity of Application of Black Scholes Formula
Measuring VaR using correlations and Variance and Covariance
Credit Risk and VaR Probability of Default
Determinants of Market Value, Financial Arbitrage
Credimetrics and VaR, the risk of downgrading
- Syllabus of tutorials:
-
Financial Instruments and Financial Markets
Trading and Settlement Conventions
Financial Derivatives
Behavior of Markets and Measuring Market Risk
Determinants of Market Value, Financial Arbitrage
Financial Risk Analysis
Hedging and Hedging Strategies
Managing Nonlinear Risks
Economic Capital and its ApplicationsThe mean variance analysis for risk management
The Envelope Portfolio and the Efficient Frontier. Construction.
Financial Instruments and Financial Markets
Behavior of Markets and Measuring Market Risk
The CAPM model, the betas and the analysis of individual risk.
The Black Litterman Model and the opinions about the portfolio proportions.
Hedging and Hedging Strategies
The probability of default and the Merton's Valuation Model
Event studies and the abnormal returns.
Options Put and Call
Black Scholes Model and the Pricing of Options.
Diversity of Application of Black Scholes Formula
Measuring VaR using correlations and Variance and Covariance
Credit Risk and VaR Probability of Default
Determinants of Market Value, Financial Arbitrage
Credimetrics and VaR, the risk of downgrading
- Study Objective:
-
By the end of the course, students will be able to understand the structure, operation and behaviour of financial markets and the utilization of various financial instruments, including financial derivatives. Likewise, the student must develop skills in the use of Excel tools and the financial formulas and function incorporated into the Excel package. The student must be able to interpret the ouputs and make wise financial decisions in the context of Markets.
- Study materials:
-
Poncet, Patrice, Portait, Roland (2022). Capital Market Finance: An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk. Springer Textbook.
Shuangzhe Liu & Milind Sathye (2021). Financial Statistics and Data Analytics. MDPI. Basel.
Benninga Simon and Mofkadi Tal (2022). Financial Modeling, fifth edition Edition. MIT Press.
Benninga Simon and Mofkadi Tal (2018). Principles of Finance with Excel. Oxforfd University Press.
Braimarte, Paolo. (2018). Introduction to Financial Markets - A Quantitative Approach. Wiley. John Wiley & Sons Inc.
Lionel Martellini, Philippe Priaulet & Stephane Priaulet (2003)
Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies
Anthony Saunders & Linda Allen (2002) Credit Risk Measurement. Second Edition. John Wiley & Sons, Inc.
Steven Allen (2013) Financial Risk Management. John Wiley & Sons, Inc.
Moorad Choudhry (2001). The Bond and Money Markets: Strategy, Trading, Analysis. Butterworth-Heinemann
Pilbeam, K. Finance and Financial Markets. 3rd ed. New York: Palgrave Macmillan, 2010. ISBN 978-0-230-23321-8
Myint, S., Famery, F. The Handbook of Corporate Financial Risk Management. London: Risk Books, 2012. ISBN 978-1-906-34892-2
Malz, A.M. Financial Risk Management: Models, History and Institutions. Hoboken: Wiley Finance, 2011. ISBN 978-0-470-48180-6
- Note:
- Time-table for winter semester 2022/2023:
- Time-table is not available yet
- Time-table for summer semester 2022/2023:
-
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 Fri - The course is a part of the following study plans:
-
- Prospectus (elective specialized course)
- N-PRI-prez.forma od 16/17 (compulsory elective course)
- N-PRI-prez.forma od 17/18 (compulsory course of the branch)
- N-PRI-CP prezenční navazující studium od 18/19 (compulsory course of the branch)
- N-PRI-CP prezenční navazující studium od 19/20 Financial Management (PS)
- Innovation Project Management od 2019/20 (compulsory elective course)
- N-PRI-CP prezenční navazující studium od 20/21 Financial Management (PS)
- N-PRI-CP prezenční navazující studium od 21/22 Financial Management (compulsory course of the branch)
- N-PRI-CP prezenční navazující studium od 21/22 Regional Studies (compulsory elective course)
- N-PRI-CP prezenční navazující studium od 21/22 Project Management (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)