(in Polish) Financial Investments and Risk Management 1155-12-E21-EF-FIRM

The scope of the course covers the following topics:
• Financial Markets and Products (OTC and exchange markets; debt instruments and derivatives).
• Foundations of Risk Management (basic risk types, measurement and management tools).
• Valuation of Debt Instruments and Derivatives (bonds; forwards; futures; swap; options).
• Financial Time Series (empirical properties; modelling using ARMA-GARCH models).
• Market Risk Measurement and Management (estimating volatility using GARCH models; Value-at-Risk; Expected shortfall; stress testing).
• Introduction to Credit Risk Measurement and Management.

Total student workload

Contact hours with teacher: - participation in lectures - 30 hrs - participation in exercise - 30 hrs - consultations - 40 hrs Self-study hours: - preparation for lectures/exercise - 55 hrs - preparation for examination - 45 hrs Altogether: 200 hrs (8 ECTS)

Learning outcomes - knowledge

Student W1: is acquainted with types of financial instruments and how they work - K_W06 W2: has knowledge of identify, measuring and risk management techniques - K_W06

Learning outcomes - skills

Student U1: is capable of list given types of financial instruments, they characteristics and explain how they work - K_U08 U2: is able to identify and measuring risk and use competently risk models to risk management - K_U04

Learning outcomes - social competencies

Student K1: can work with large amounts of data, perceive dependencies and correctly draw conclusions using the rules of logic - K_K01

Teaching methods

Expository teaching methods: - informative lecture with presentation and examples. Exploratory teaching methods: - exercises solving, - project work, - practical.

Expository teaching methods

- informative (conventional) lecture

Exploratory teaching methods

- classic problem-solving
- practical
- laboratory

Online teaching methods

- exchange and discussion methods
- evaluative methods
- methods referring to authentic or fictitious situations
- methods developing reflexive thinking

Prerequisites

Basic mathematics Statistics

Course coordinators

Term 2024/25L:

Joanna Górka
Xiaohong Xie

Term 2022/23L:

Joanna Górka

Assessment criteria

Assessment methods:
- written examination – W1, W2
- test and solving chosen problems – U1, U2
- homework – K1

W1 – written exam +++ test and solving chosen problems+
W2 – written exam++ test and solving chosen problems +++
U1 – test and solving chosen problems +++
U2 – test and solving chosen problems +++
K1 – homework ++

Additional information

Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system:

Description of 1155-12-E21-EF-FIRM in USOSweb