Financial Markets and Risk Management

Garant předmětu:

Lecturer:

Tutor:

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 an investment strategy based on diversification. The course spans broad sections implementing 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 financial markets.

Requirements:

Syllabus of lectures:

Syllabus of tutorials:

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.

Shuangzhe Liu & Milind Sathye (2021). Financial Statistics and Data Analytics. MDPI. Basel.

Harvey Campbell, Rattray Sandy, & Van Hemert Otto (2021). ‎ Wiley; 1st edition

Lukomnik Jon & Hawley James (2021) Moving Beyond Modern Portfolio Theory. Routledge; 1st edition

Bastick Liam (2020) Introduction To Financial Modelling. Holy Macro Books. 1st edition

Isichenko Michael (2021) Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage Wiley; 1er edition

Todd E. Petzel (2021) ‎ Modern Portfolio Management: Moving Beyond Modern Portfolio Theory. Wiley; 1st edition

Stein Fairhurst Danielle (2019). Using Excel for Business and Financial Modelling: A Practical Guide 3rd Edición

Braimarte, Paolo. (2018). Introduction to Financial Markets - A Quantitative Approach. Wiley. John Wiley & Sons Inc.

Brown Stephen & Gruber Martin (2017). Modern Portfolio Theory and Investment Analysis. John Wiley & Sons; 9th edition.

Bernhard Pfaff (2016) Financial Risk Modelling and Portfolio

Optimization with R. John Wiley & Sons, Ltd

Arias Gómez Helmuth & Antošova Gabriela (2023). Impact of Lockdown Measures on Central-East European Stock Markets: A Cointegration and Granger Causality Analysis of Indices. Review of Applied Socio- Economic Research. Vol.26, Issue 2.

Note:

Further information:

No time-table has been prepared for this course

The course is a part of the following study plans:

• Regional Studies, prezenční forma, AR 22/23 (compulsory elective course)
• Project management, prezenční forma, AR 2022/2023 (compulsory elective course)