(in Polish) Financial risk management 1155-12-F21-CF-FRM

The scope of the course covers the following topics:
• Foundations of Risk Management (basic risk types, measurement and management tools).
• 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).
• Valuation of Derivatives (forwards; futures; swap; options).

Software: R, MS Excel

Total student workload

Contact hours with teacher: - participation in lectures - 15 hrs - participation in exercise - 15 hrs - consultations - 15 hrs - exams - 5 hours Self-study hours: - preparation for lectures/exercise - 30 hrs - preparation for examination - 20 hrs Altogether: 100 hrs (4 ECTS)

Learning outcomes - knowledge

Student W1: has knowledge of identify and measuring risk - K_W08, K_W04 W2: has knowledge of risk management techniques - K_W08, K_W04

Learning outcomes - skills

Student U1: can analyse financial phenomena along with their causes and course of action and to formulate their own opinions on them - K_U02 U2: can analyse financial phenomena and applies relevant research methods - K_U08

Learning outcomes - social competencies

Student K1: can recognize the knowledge importance in solving cognitive and practical problems in the field of finance and accounting - K_K01

Teaching methods

- informative lecture with presentation and examples - classes in a computer laboratory - solving practical problems - project work

Expository teaching methods

- informative (conventional) lecture

Exploratory teaching methods

- practical
- classic problem-solving
- laboratory

Online teaching methods

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

Prerequisites

Mathematics Statistics Principles of finance

Course coordinators

Joanna Górka

Assessment criteria

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

W1 – written exam +++ test and solving chosen problems+
W2 – written exam++ test and solving chosen problems +++
U1 – graded credit in a computer laboratory +++ project ++
U2 – graded credit in a computer laboratory +++ project ++
K1 – observation ++

Additional information

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

Description of 1155-12-F21-CF-FRM in USOSweb