FIUNKNRF Financial and Banking Risk Management

School of Business Administration in Karvina
Winter 2023
Extent and Intensity
16/0/0. 5 credit(s). Type of Completion: zk (examination).
Ing. Roman Hlawiczka, Ph.D. (lecturer)
Guaranteed by
doc. Ing. Iveta Palečková, Ph.D.
Department of Finance and Accounting – School of Business Administration in Karvina
Contact Person: Ing. Irena Szarowská, Ph.D., MPA
Fri 6. 10. 13:55–15:30 A217, Sat 4. 11. 11:25–13:00 A318, Fri 1. 12. 13:55–15:30 A217
Prerequisites (in Czech)
Course Enrolment Limitations
The course is only offered to the students of the study fields the course is directly associated with.

The capacity limit for the course is 30 student(s).
Current registration and enrolment status: enrolled: 21/30, only registered: 0/30
fields of study / plans the course is directly associated with
  • 1. Risks in bankig and methods of their measurement
  • Essence and importance of risk management, information asymmetry. Approach to risk and its development. Types of financial risks. Organization of risk management. Sensitivity, standard deviation. Value at Risk, parametric approach, historical simulation, Monte Carlo simulation. Errors in models and their consequences. Back testing, stress testing.
  • 2. Credit risk and models of its measurement
  • Characteristics of credit risk. Credit policy of banks. Credit risk management and regulation. CreditMetrics model. Credit Risk+ Model. KMV model. McKinsey model. System of loan analysis of KPMG. Risk neutral approach to valuation of credit risk. Models based on insurance approach. Application of modern portfolio theory on credit portfolio. Loan paradox.
  • 3. Credit risk transfer
  • Instruments of credit risk transfers and ther classification. Impact of these instruments on the relationship between lender and borrower. Secondary market loan sale. Credit insurance. Securitization. Credit derivatives, motives and risk of their use, credit derivatives markets. Impacts of credit risk transfer on regulatory bodies.
  • 4. Operational and market risk
  • Essence and components of operational risk. Methods of operational risk measurement: Capital Asset Pricing Model, risk indicators, statistical estimation, causal modeling. Operational risk management. Essence and components of market risk. Market risk regulation. Book and market model of interest rate risk measurement. Interest rate risk management.
  • 5. Liquidity risk
  • Characteristics of liquidity risk, funding risk, market liquidity risk. Liquidity risk measurement: liquidity gap, liquidity ratios. Relation between liquidity gap and interest rate gap. Liquidity of financial institutions and their management and regulation.
  • 6. Risk adjusted revenue and its use
  • Traditional profitability ratios – ROA, ROE. Risk adjusted profitability – ukazatele RAROC, RORAC, SVA ratios. Calculation of RAROC and SVA for credit and market risk. Optimalization of credit portfolio structure with the use of RAROC.
  • 7. Capital adequacy of banks and financial groups
  • Conception of economic and regulatory capital. Importance of capital adequacy and its historical development: Basel Commitee, directives of European Union, capital adequacy rules in the Czech Republic. Macroeconomic impacts of capital adequacy. Principles of capital adequacy of financial groups. Capital arbitrage, capital camouflage.
    required literature
  • BESSIS, J. Risk Management in Banking. 4th ed. Chichester: John Wiley & Sons, 2015. ISBN 978-1-118-66021-8. info
  • HULL, J. C., 2018. Risk Management and Financial Institutions. 5th ed. Chichester: John Wiley & Sons. ISBN 978-1-119-44811-2.
    recommended literature
  • BIRINDELLI,, G. and P. FERRETTI. Operational Risk Management in Banks. Regulatory, Organizational and Strategic Issues. London: Palgrave Macmillan UK, 2015. ISBN 978-1-137-59451-8. info
  • BOMFIM, A. N., 2016. Understanding Credit Derivatives and Related Instruments. 2nd ed. Oxford: Elsevier. ISBN 978-0-12-800116-5.
  • MEJSTŘÍK, M., M. PEČENÁ a P. TEPLÝ. Bankovnictví v teorii a praxi / Banking in Theory and Practice. Praha: Karolinum, 2014. ISBN 978-80-246-2870-7. info
  • VODOVÁ, P. Liquidity risk of banks in the Visegrad Countries. An empirical analysis of bank liquidity, its determinants and liquidity risk sensitivity. Saarbrücken: Lambert Academic Publishing, 2013. ISBN 978-3-659-49360-7. info
Assessment methods
40 % ongoing activities, 60 % final exam
Language of instruction
Further comments (probably available only in Czech)
Study Materials
The course can also be completed outside the examination period.
Information on the extent and intensity of the course: Přednáška 16 HOD/SEM.
The course is also listed under the following terms Winter 2020, Winter 2022.
  • Enrolment Statistics (recent)
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