FINPFRA Financial Risk Management A

Obchodně podnikatelská fakulta v Karviné
léto 2013
Rozsah
2/1/0. 4 kr. Ukončení: zk.
Vyučující
doc. Ing. Pavla Klepková Vodová, Ph.D. (přednášející)
doc. Ing. Pavla Klepková Vodová, Ph.D. (cvičící)
Garance
doc. Ing. Pavla Klepková Vodová, Ph.D.
Katedra financí a účetnictví – Obchodně podnikatelská fakulta v Karviné
Předpoklady
K absolvování předmětu nejsou vyžadovány žádné podmínky a předmět může být zapsán nezávisle na jiných předmětech
Omezení zápisu do předmětu
Předmět je otevřen studentům libovolného oboru.
Cíle předmětu
The aim of the course is to provide students with essential knowledge in various types of financial risks. The students will gradually get acquainted with financial risk management, risk measurement and with capital adequacy regulation. The attention will be paid mainly on credit risk, market risk and operational risk, with respect to practice of financial risk management.
Osnova
  • 1. Financial risks
    Principle and importance of financial risk management. Information asymmetry. The evolution of risk management. Types of financial risks. Structure of financial risk management.
    2. Financial risk measurement
    Essential methods of financial risk measurement: sensitivity, volatility, Value at Risk. Their characteristics, possible use, advantages and disadvantages.
    3. Credit risk
    Characteristics of credit risk. Quantitative and qualitative part of credit risk. Components of credit risk. Credit policy. Credit risk regulation. Credit risk management.
    4. Loans provided by banks
    Legal aspects of credit products. Relationship between bank and loan customer. Loans classification according to various criteria. Characteristics of essential types of loans.
    5. Products of bank for housing financing
    Possibilities how to solve housing. Proper and bridge loan from building society. Mortgage, American mortgage. Loans from public funds. Advantages and disadvantages of products. Combination of products.

    6. Credit risk mitigation
    Credit risk mitigation - importance and principles. Personal and real guarantees, accessory and abstract guarantees. Characteristics of essential types of guarantees.
    7. Credit analysis
    Analysis of legal aspects. Analysis of creditworthiness of individuals. Analysis of creditworthiness of legal entity. Credit registry. Analysis of business plan. Analysis of guarantees.
    8. Liquidity risk
    Risk of financing. Risk of market liquidity. Liquidity gap. Liquidity ratios. Liquidity management for financial institutions. Liquidity regulation. Liquidity and solvency.
    9. Market risk
    Characteristics and components of market risk. Equity risk. Commodity risk. Exchange risk. Interest rate risk. Market risk regulation.
    10. Interest rate risk
    Term structure of interest rates. Measurement of interest rate risk - gap analysis, duration. Link between liquidity gap and interest rate gap. Interest rate risk management.
    11. Operational risk
    Operations risk. Legal risk. Reputational risk. Regulational risk. Enterprise risk. Operational risk measurement. Operational risk management.
    12. Capital adequacy
    Importance of capital adequacy and its historical evolution: Basel Committee, European Union directives, capital adequacy in the Czech Republic.
    13. Economic and regulatory capital
    Economic capital. Capital at Risk. Use of economic capital in the Czech Republic. Regulatory capital, components of capital, capital requirements for financial risks.
Literatura
    povinná literatura
  • Actual legislative acts, actual decrees and provisions of Czech National Bank. info
  • BESSIS, J. Risk Management in Banking(2nd ed.). Chichester: John Wiley & Sons, 2002. ISBN 0-471-893366. info
    doporučená literatura
  • Various readings from The Economist, The Banker, Euromoney and other financial magazines. info
  • ALLEN, S. Financial risk management: a practitioner´s guide to managing market and credit risk. New Jersey: John Wiley & Sons, 2003. ISBN 0-471-21977-0. info
  • ROSE, PS. Commercial Bank Management. New York: McGraw-Hill, 2002. ISBN 0-07-112122-6. info
  • BRINK, GJ. Operational risk: The new challenge for banks. New York: Palgrave, 2002. ISBN 0-333-96868-9. info
Výukové metody
Demonstrace dovedností
Seminární výuka
Metody hodnocení
Písemná zkouška
Vyučovací jazyk
Angličtina
Informace učitele
Compulsory attendance at seminars 25 %.
Seminar paper, 2x seminar discussions, ongoing test, final exam (written)
Další komentáře
Předmět je dovoleno ukončit i mimo zkouškové období.
Předmět je zařazen také v obdobích léto 2008, léto 2009, léto 2010, léto 2011, léto 2012, léto 2014.