Risk and uncertainty in finance

  • Credits: 6
  • Ending: Examination
  • Range: 2P + 2C
  • Semester: winter
  • Year: 1, 2
  • Faculty of Economics and Finance

Teachers

Included in study programs

Finance and Taxes

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

10% mid-semester test, 10% homeworks and class activity, 20% end year test, 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 lectures – 26 hours, seminars – 26 hours, seminar preparation – 26 hours
Preparation for mid-term test – 10 hours, preparation for the end year test – 20 hours
Preparation for the final exam – 48 hours

Language whose command is required to complete the course

english

Date of approval: 11.03.2024

Date of the latest change: 27.01.2022