Financial Risk Management 2600-MSFRdz2rkdiZRF
Lecture
1. The concept of financial risk - classification and analysis.
risk versus uncertainty
accepted risk
risk cumulation and segmentation
2 Types of risk and the main areas of occurrence
systemic and non-systemic risk
market risk, interest rate risk, currency risk, political risk
legal, operational, management, financial
3 Distribution of returns. Uses of the normal distribution in practice.
The problem of "fat tails" and how to solve it
normal distribution vs. actual distribution of market rates
variance variation
historical and implied variance
4 The concept of risk measure:
measures of volatility
measures of hazard
measures of sensitivity
5. Calculation of risk using:
value-at-risk measure - VAR
Monte Carlo simulation methods
6 The use of derivatives to hedge risk:
hedging operations
speculative operations
arbitrage
7 Futures contracts analysis and valuation:
futures versus forward contracts
Interest rate contracts, bills, bonds
equity and stock index contracts
currency futures
8 Swaps - analysis and application:
interest rate swap
currency swap
cross-currency interest rate swap
9 Valuation of swap contracts
Options - analysis and valuation
types of options
intrinsic value versus time value of an option
call and put option parity rule
binomial model
Black-Scholes model
11 Factors affecting the price of an option and their calculation
delta factor (influence of a change in the price of the underlying instrument)
theta factor (influence of time remaining to expiry)
Vega coefficient (impact of volatility of the underlying instrument)
Rho factor (impact of interest rate)
sensitivity of the option price to other factors
Use of options to hedge risk
Type of course
Mode
Course coordinators
Learning outcomes
Student after completing the course:
In terms of knowledge:
Knows and understands in-depth research methodology and terminology in the field of management and quality science and in complementary disciplines (economics and finance, legal sciences), in particular in the area of financial management and accounting (K_W01)
Knows and understands in-depth the principles, procedures and practices regarding financial management in organizations, accounting, management of financial institutions and strategies of financial institutions (K_W02)
Knows and understands in-depth economic theories and models regarding the functioning of organizations and the entire economy (K_W03)
Knows and understands in-depth legal regulations regarding the functioning of the organization and the entire economy (K_W04)
Knows and understands complex technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, including the principles of protection of industrial property and copyright (K_W05)
Knows and understands the principles of creating and developing various forms of entrepreneurship in the national and global dimensions (K_W06)
In terms of skills:
Is able to use the theory of the discipline of management and quality science and complementary sciences (economics and finance, legal sciences) to recognize, diagnose and solve problems related to financial decisions in organizations and management of financial institutions, using the appropriate selection of sources and adapting existing or developing new methods ( K_U01)
Is able to correctly interpret complex technological, social, political, legal, economic and ecological processes and phenomena and their impact on financial decisions in organizations, the functioning of the organization and the entire economy, using the appropriate selection of sources (K_U02)
Is able to independently and collectively prepare analyses, diagnoses and reports on complex and unusual problems related to financial management in organizations, accounting, management of financial institutions and strategies of financial institutions, and present them communicatively, also in English - using IT and communication tools (K_U03)
In terms of attitudes:
Is ready to assess and critically approach complex situations and phenomena related to financial management in organizations, accounting, management of financial institutions and strategists of financial institutions (K_K01)
Is ready to think and act in an entrepreneurial way in the national and global dimensions (K_K02)
Is ready to comply with and develop professional ethical standards (K_K02).
Assessment criteria
Exam: 60% of the grade; written research papers - 40% of the grade, online or onsite
Bibliography
Basic item:
Sopoćko A. Rynkowe instrumenty finansowe PWN,
Jajuga K., Jajuga T., Inwestycje, Wydawnictwo Naukowe PWN, Warszawa 2010,
Additional items:
Dębski W., Rynek finansowy i jego mechanizmy, Wydawnictwo Naukowe PWN, Warszawa 2010,
Elton E.J., Gruber M.J., Brown S.J., Modern Portfolio Theory and Investment Analysis, John Wiley & Sons, New York, 2007,
Fabozzi F.J. Rynek obligacji, Analiza i strategie, WIG-Press, Warszawa 2001,
Francis J.C. Inwestycje. Analiza i zarządzanie, WIG-Press, Warszawa 2000
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: