OPF:FINNARFR Financial and Banking Risk Man - Course Information

FINNARFR Financial and Banking Risk Management

Extent and Intensity

2/1/0. 4 credit(s). Type of Completion: zk (examination).

Teacher(s)

doc. Ing. Pavla Klepková Vodová, Ph.D. (lecturer)
doc. Ing. Pavla Klepková Vodová, Ph.D. (seminar tutor)

Guaranteed by

doc. Ing. Pavla Klepková Vodová, Ph.D.
Department of Finance and Accounting – School of Business Administration in Karvina

Prerequisites

None

Course Enrolment Limitations

The course is also offered to the students of the fields other than those the course is directly associated with.

fields of study / plans the course is directly associated with

• Banking (programme OPF, N_HOSPOL)

Course objectives

The aim of this course is to provide students with knowledge about measurement and management of individual types of financial risks. The lessons focuses mainly on credit risk, selected models of credit risk measurement and possibilities of credit risk transfer. The attention will be also paid to other types of risks: operational, market and liquidity risk. The students will get acquainted also with the use of risk-adjusted profitability, the importance of capital adequacy, its historical development and principles of the capital management in banks and financial groups.

Syllabus

• Risks of doing business in banking
  2. Methods of financial risk measurement
  3. Credit risk
  4. Basic models of credit risk measurement
  5. Other models of credit risk measurement
  6. Credit risk transfer
  7. Credit derivatives
  8. Operational risk
  9. Market risk
  10. Liquidity risk
  11. Risk-adjusted profitability and its use
  12. Capital adequacy
  13. Capital management in the financial group
  

Literature

required literature
• Aktuální opatření a vyhlášky České národní banky. info
• VODOVÁ, P. Řízení finančních rizik A. Distanční studijní opora. Karviná: OPF SU, 2006. ISBN 80-7248-349-8. info
• SIVÁK, R., GERTLER, L. Teória a prax vybraných druhov finančných rizík (kreditné, trhové, operačné). Bratislava: SPRINT, 2006. ISBN 80-89085-56-3. info
• SAUNDERS, A. Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms. New York: John Wiley & Sons, 2002. ISBN 0-471-21910-X. info

recommended literature
• Časopisecké články z: Banker, Euromoney, Economist, Ekonom, Politická ekonomie, Ekonomický časopis, Finance a úvěr. info
• KOCH, T.W., MACDONALD, S.S. Bank Management. 7th ed. Mason: South-Western Cengage Learning, 2010. ISBN 978-0-324-65578-0. info
• SAUNDERS, A., CORNETT, M.M. Financial Institutions Management: A Risk Management Approach. New York: McGraw-Hill, 2008. ISBN 978-007-126384-9. info
• MEJSTŘÍK, M., PEČENÁ, M., TEPLÝ, P. Základní principy bankovnictví. Basic principles of banking. Praha: Karolinum, 2008. ISBN 978-80-246-1500-4. info
• POLOUČEK, S. a kol. Bankovnictví. Praha: C.H.Beck, 2006. ISBN 80-7179-462-7. info
• DVOŘÁK, P. Bankovnictví pro bankéře a klienty. Praha: Linde, 2005. ISBN 80-7201-515-X. info
• DAS, S. Credit Derivatives. CDOs & Structured Credit Products. Singapore: John Wiley & Sons, 2005. ISBN 978-0-470-82159-6. 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
• BESSIS, J. Risk Management in Banking(2nd ed.). Chichester: John Wiley & Sons, 2002. ISBN 0-471-893366. info
• DEMPSTER, M.A.H. Risk Management: Value At Risk and Beyond. Cambridge: University Press, 2002. ISBN 0-521-78180-9. info
• COSSIN, D., PIROTTE, H. Advanced Credit Risk Analysis. Chichester: John Wiley & Sons, 2001. ISBN 0-471-98723-9. info

Teaching methods

Skills demonstration
Seminar classes

Assessment methods

Test

Language of instruction

English

Further comments (probably available only in Czech)

The course can also be completed outside the examination period.

Teacher's information

attendance in seminars 25%, discussion, ongoing test, final oral exam

Activity	Difficulty [h]
Ostatní studijní zátěž	37
Přednáška	26
Seminář	13
Zkouška	40
Summary	116

• Enrolment Statistics (recent)
  
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