Lecturer(s)


Pavlačka Ondřej, RNDr. Ph.D.

Course content

1. Risk and uncertainty. Classification of risks. 2. Riskmanagement. Identification of risk factors. 3. Setting the importance of risk factors  sensitivity analysis, methods of obtaining experts' estimations. 4. Riskmanagement options. Documentation. 5. Measuring of risk  Whatif analysis, scenario planning. 6. Monte Carlo simulation. 7. Statistical analysis of the results of Monte Carlo simulation. 8. Experts' opinion in simulation models. 9. Statistical analysis of historical data  parametric and nonparametric methods. 10 Statistical analysis of historical data  estimation of uncertainty of parameters of probability distributions. 11. Modelling dependencies among the risk factors. 12. Evaluating and comparing of risk alternatives.

Learning activities and teaching methods

Monologic Lecture(Interpretation, Training), Dialogic Lecture (Discussion, Dialog, Brainstorming)
 Attendace
 39 hours per semester
 Preparation for the Course Credit
 30 hours per semester
 Semestral Work
 20 hours per semester
 Preparation for the Exam
 30 hours per semester

Learning outcomes

Get acquainted with main phases of risk analysis  identification of risk factors and setting their importance, measuring of risk, evaluation of risk and choosing from risk alternatives.
Understanding. Understanding to the process of risk analysis.

Prerequisites

Fundamental knowledge of mathematical statistics (KMA/PMS1 or KMA/PST1).

Assessment methods and criteria

Oral exam, Written exam, Seminar Work
Credit: attend the classes, working on the project (in the group). Exam: pass the written part and show knowledge and understanding during the oral exam.

Recommended literature


Artzner, P., Delbaen, F., Eber, J.M., Heath, D. (1999). Coherent measures of risk. Mathematical Finance 9.

Hnilica, J., Fotr, J. (2009). Aplikovaná analýza rizika ve finančním managementu a investičním rozhodování. Grada Publishing.

Schmid, F., Trede, M.: . (2006). Finanzmarktstatistik. Berlin.

Vose, D. (2008). Risk Analysis: a Quantitative Guide (3rd Ed.). . , New York.
