Risk and uncertainty in finance
- Credits: 6
- Ending: Examination
- Range: 24sP
- Semester: winter
- Year: 2
- Faculty of Economics and Finance
Teachers
Included in study programs
Teaching results
Students will learn to apply analytical methods and familiarize with approaches for complex problem-solving in finance. Students will gain an overview on the financial system regulation in the area of managing and measuring financial risks. Students will learn to apply risk methodologies used in theory for practical exercises and will work on specific case studies.
Students will be able to:
Knowledge and Understanding, Skills, Competence
• apply theoretical approaches used in the area of risk management and portfolio theory, market risk and credit risks,
• evaluate impact of specific scenarios on a relevant risk profile,
• analyze risk – return relationship while considering different investments,
• apply different approaches in the environment of existing regulatory framework.
Indicative content
• Theory of finance, risk-return
• Portfolio theory,
• Probability of default estimation theories
• Simulation approaches in finance
• Concentration risk measurement
• Regulation framework
• Stress Testing framework
• Securitization principles and examples
Support literature
Jorion (2006). Value at Risk: The New Benchmark for Managing Financial Risk. McGraw-Hill.
Bernstein, P. (1992). Capital Ideas: The Improbable Origins of Modern Wall Street. New York: Free Press.
Ross, Westerfield, Jaffe, and Jordan. (2011). Corporate Finance: Core Principles and Applications. 3rd Edition. McGraw Hill.
Requirements to complete the course
40% ongoing tests, 60% final exam.
Student workload
Total study load (in hours):
1 credit = 8 hours, i.e. total student load = 6 credits * 8 hours
Student workload: 156 hours
Attendance of consultations– 24 hours, consultation preparation – 32 hours
Preparation for the final exam – 100 hours
Language whose command is required to complete the course
slovak
Date of approval: 11.03.2024
Date of the latest change: 05.09.2024