Risk modelling in financial institutions. Credit, market, operational and other types of risk 2400-PLSM123A
The Seminar is designed for students open to systematic work throughout a whole academic year and, above all, ready for the effort necessary to prepare a very good thesis.
During the seminar selected issues related to risk modeling in financial institutions will be discussed - credit risk (eg scoring models, credit risk parameters models, internal capital models, etc.); market risk (VaR and ES), operational risk (VaR models), fraud risk (scoring models), and other quantitative finance issues (building automated investment strategies, verifying effective market hypotheses, bankruptcy models, etc.)
In a first semester each student will be obliged to discuss selected article in scope of a planned MA thesis and in a second part of the semester prepare a presentation of preliminary results of his research.
In a second semester each student will be obliged to present final results of his / her research.
Seminar will be finished (in a third semester) after a preparation of a very good thesis
Type of course
Course coordinators
Learning outcomes
Knowledge:
1. The student knows the rules of writing a master thesis.
2. The student knows methods of analyzing data and methods of research
3. The student knows basics of methodology of science and ways of formulating scientific hypotheses.
4. The student knows basic definitions connected to hard to measure phenomena.
5. The student has basic knowledge regarding quantitative methods used in research on hard to measure phenomena.
Skills:
1. The student is capable of finding data and information necessary for preparing a master thesis. The student is able to prepare a master thesis according to formal rules.
2. The student has the skill of applying knowledge acquired during studies to problems connected to the topic of his master thesis
Social competences:
1. The student is capable of finding data and analyzing it. The student can work with data. He is able to formulate a research problem and a scientific hypothesis. The student is able to prepare a master thesis.
2. The student is able to complete the acquired knowledge. He is capable of finding literature.
3. The student is capable of working individually.
KW01, KW02, KW03, KU01, KU02, KU03, KK01, KK02, KK03
Assessment criteria
In a first semester each student will be obliged to discuss selected article in scope of a planned MA thesis and in a second part of the semester prepare a presentation of preliminary results of his research.
In a second semester each student will be obliged to present final results of his / her research.
Seminar will be finished (in a third semester) after a preparation of a very good thesis.
Bibliography
Tailored to a student thesis.
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: