Course: Risk Analysis

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Course title Risk Analysis
Course code KMA/AR
Organizational form of instruction Lecture + Exercise
Level of course Master
Year of study not specified
Semester Summer
Number of ECTS credits 4
Language of instruction Czech
Status of course Compulsory, Compulsory-optional
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
  • Pavlačka Ondřej, RNDr. Ph.D.
Course content
1. Risk and uncertainty. Classification of risks. 2. Risk-management. Identification of risk factors. 3. Setting the importance of risk factors - sensitivity analysis, methods of obtaining experts' estimations. 4. Risk-management options. Documentation. 5. Measuring of risk - What-if 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.
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). Finanzmarkt-statistik. Berlin.
  • Vose, D. (2008). Risk Analysis: a Quantitative Guide (3rd Ed.). . , New York.

Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Faculty of Science Applications of Mathematics in Economy (2015) Mathematics courses 1 Summer