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The content of the lecture is an overview of individual financial risks and methods of their measuring used in practice mainly
in the financial sector. Students will also learn about practical issues of the application of statistical methods used in
practice in the process of risk measuring. The lecture will also include the description of operations of new regulatory
measures Basel II and Solvency II.
Last update: T_KPMS (13.05.2013)
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The objective of the lecture is to introduce the students to individual financial risks and practical methods of risk measuring and management (e.g. expected and unexpected loss, Value at Risk method, including the method of risk calculation, differences in using them for various types of risks and interpretation of results, use of rating and scoring methods, LDA methods etc.). Students will also learn about practical issues of the application of statistical methods used in practice in the process of risk measuring. The lecture will also include the description of operations of banks, insurance companies and businesses from the point of risk management and explanation of new regulatory measures Basel II and Solvency II. Last update: T_KPMS (13.05.2013)
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Vypracování úkolu na vybrané téma a jeho diskuse v průběhu ústní zkoušky.
Last update: Zichová Jitka, RNDr., Dr. (20.04.2018)
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Hand, D.J.; Henley, W.E.: Statistical Classification Methods in Consumer Credit Scoring: A Review, Journal of the Royal Statistical Society, Series A (Statistics in Society), Vol. 160, No. 3, 1997, 523 - 541 Hull, J. C.: Options, Futures and Other Derivatives, Prentice Hall, New Yersey Frachot, A. a další: Loss Distribution Approach in Practice; Credit Lyonnais, 2003 Gordy, M.B.: A Comparative Anatomy of Credit Risk Models; 2000; Journal of Banking and Finance Saunders, Anthony: Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, John Wiley & Sons, Inc., Vašíček, O.: Probability of Loss on Loan Portfolio; February 1987; KMV Corporation Last update: T_KPMS (13.05.2013)
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Lecture. Last update: T_KPMS (13.05.2013)
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Vypracování úkolu na vybrané téma z probírané látky a jeho zaslání v určeném termínu. Následná ústní zkouška se bude skládat z diskuse zaslaného úkolu a několika otázek v rozsahu probírané tématiky během přednášek (viz sylabus). Last update: Zichová Jitka, RNDr., Dr. (10.10.2017)
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1. Introduction to risk management, definition of risk, objective of risk management and risk classification 2. General methods of risk measuring (standard deviation, Value at Risk, stress testing) and objective possibilities of risk management (technical and organizational solution or financial solution) 3. Description of operations of banks, insurance companies and businesses from the point of view of risk management - business objectives, identification of key risks, failures in risk management in the past 4. Market risk - definition, classification, gap analysis, Value at Risk, use of derivatives 5. Credit risk - definition, classification, use of statistical methods in risk measuring (probability of default, rate of return, scoring and rating, expected and unexpected loss), securitization 6. Operational risk - definition, classification, use of statistical methods in risk measuring (LDA method), management methods 7. Liquidity risk - definition, classification, risk measuring including the use of econometric methods. 8. Regulatory measures Basel II a Solvency II - significance of these measures, calculation methods of capital requirements, captured risks, limits of regulation 9. Financial crisis and learning from the crisis, reasons of its origin and development, discussion about the suitability of using advanced statistical methods for individual risks. Last update: T_KPMS (13.05.2013)
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The basic lectures related to statistics and financial mathematics, completion of the subject Introduction to Finance.
Last update: Zichová Jitka, RNDr., Dr. (27.05.2019)
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