Course detail

Financial Risk Management

FP-EfrmPAcad. year: 2011/2012

The subject deals with the problem of financial risk management. The concepts such as risk are specified there, further credit, market, interest, unique and systematic risk. There are mentioned the possibilities of financial risk management by means of derivatives, such as forwards, futures, swaps and options. The advanced methods include description of possible use of fuzzy logic, artificial neural networks and genetic algorithms during the process of financial risk management.

Language of instruction

English

Number of ECTS credits

6

Mode of study

Not applicable.

Guarantor

prof. Ing. Petr Dostál, CSc.

Department

Institute of Informatics (ÚI)

Learning outcomes of the course unit

Analyze the credit, market, interest, unique and systematic risk.
Demonstrate the ability of derivatives, such as forwards, futures, swaps and options
Use fuzzy logic, artificial neural networks and genetic algorithm in financial risk management

Prerequisites

The knowledge in the area of math (linear algebra, arrays, analyses of functions, operations with matrixes) statistics (analysis of time series, regression analyses, the use of statistical methods in economy), operational analysis (linear programming), financial analyses and planning (the analyses of profits and costs, cash flow, value and bankruptcy model).

Co-requisites

Not applicable.

Planned learning activities and teaching methods

Teaching methods depend on the type of course unit as specified in the article 7 of BUT Rules for Studies and Examinations.

Assesment methods and criteria linked to learning outcomes

Conditions for passing an exam: Knowledge of taught topics and ability of practical application of presented methods.
Form of examination: Written test

Course curriculum

1.To be familiar with the basic notions such as risk, credit risk and market risk.
2.Advanced methods of risk management such as fuzzy logic, neural networks and genetic algorithms
3.Classical methods of risk management such as interest risk, unique and systematic risk.
4.Basis of derivatives such as forwards, futures, swaps and options. The examples of computer support.

Work placements

Not applicable.

Aims

The aim of the above mentioned subject is to be familiar with the problem of financial risk management. The concepts such as risk are specified there, further credit, market, interest, unique and systematic risk. There are mentioned the possibilities of financial risk management by means of derivatives, such as forwards, futures, swaps and options. The advanced methods include description of possible use of fuzzy logic, artificial neural networks and genetic algorithms during the process of financial risk management.

Specification of controlled education, way of implementation and compensation for absences

The participation in meetings, consultations. The check of results of individual written assignments.

Recommended optional programme components

Not applicable.

Prerequisites and corequisites

Not applicable.

Basic literature

Dostál, P, Sojka, Z.: Financial Risk Management, TUB – FBM - Zlín 2008, ISBN 978-80-7318-772-9 (EN)
Soper J. Mathematic for Economics and Business, Blackwell Publishing,UK, 2004 ISBN 1-4051-1127-5 (EN)

Recommended reading

Not applicable.

Classification of course in study plans

  • Programme MGR-EBF Master's

    branch MGR-EBF , 1. year of study, summer semester, compulsory

Type of course unit

 

Lecture

26 hours, optionally

Teacher / Lecturer

prof. Ing. Petr Dostál, CSc.

Syllabus

1)Risk
2)Credit risk
3)Market risk
4)Interest risk.
5)Unique and systematic risk.
6)Forwards.
7)Futures.
8)Swaps.
9)Options.
10)Advanced methods of financial risk management
11)Fuzzy logic.
12)Artificial neural network.
13)Genetic algorithms.

Exercise

13 hours, optionally

Teacher / Lecturer

prof. Ing. Petr Dostál, CSc.