Detail předmětu

Financial Risk Management

FP-EfrmPAk. rok: 2017/2018

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 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.

Jazyk výuky

angličtina

Počet kreditů

5

Garant předmětu

prof. Ing. Petr Dostál, CSc.

Zajišťuje ústav

Ústav informatiky (ÚI)

Výsledky učení předmětu

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

Prerekvizity

The knowledge in the basic math.

Plánované vzdělávací činnosti a výukové metody

The course contains lectures that explain basic principles, problems and methodology of the discipline, and exercises that promote the practical knowledge of the subject presented in the lectures.

Způsob a kritéria hodnocení

The credit will be granted in case of an active participation in trainings and handing in the final assignment. The work will be processed in Excel file concentrating on individual problem from practice leading to solution with the help of theory of fuzzy logic. The exam will be classified according ECTS. The way of implementation is in the form of written form pointed within the range 0-20 points. A:20-19;B:18-17;C:16-15;D:14-13;E:12-11;F:10-0.

Osnovy výuky

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

Učební cíle

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 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.

Vymezení kontrolované výuky a způsob jejího provádění a formy nahrazování zameškané výuky

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

Základní literatura

DOSTÁL, P. Advanced Decision Making in Business and Public Services. Brno: CERM Akademické nakladatelství, 2013. 168 p. ISBN: 978-80-7204-747-5. (EN)
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)

Doporučená literatura

Mishkin F.S., Eakins S.G., Financial markets and Institutions, 3rd Edition, Addison Wesley Longman 2000 (EN)
Steiner R., Mastering Financial Calculations. A Step-by-Step Guide to the Mathematics of Finacial Market Instruments, Finacial Times Management 1998

Zařazení předmětu ve studijních plánech

  • Program MGR-EBF magisterský navazující

    obor MGR-EBF , 1 ročník, letní semestr, povinný

Typ (způsob) výuky

 

Přednáška

26 hod., nepovinná

Vyučující / Lektor

prof. Ing. Petr Dostál, CSc.

Osnova

1. Introduction
2. Risk, credit risk, market risk
3. Classical methods of risk
4. Advanced methods of risk management – fuzzy logic I.
5. Advanced methods of risk management – fuzzy logic II.
6. Advanced methods of risk management – neural network I.
7. Advanced methods of risk management – neural network II.
8. Advanced methods of risk management – genetic algorithms I.
9. Advanced methods of risk management – genetic algorithms II.
10. Forwards, Futures
11. Derivates
12. Assignment - presentation
13. Test – Evaluation

Cvičení

13 hod., nepovinná

Vyučující / Lektor

prof. Ing. Petr Dostál, CSc.

Osnova

Work on assignment.