Financial Risk and Derivatives

Zkratka předmětu KMI/FRD
Název předmětu Financial Risk and Derivatives
Akademický rok 2018/2019
Pracoviště / Zkratka KMI/FRD
Název Financial Risk and Derivatives
Akreditováno/Kredity Ano/4
Rozsah hodin Přednáška 12 HOD/SEM Cvičení 6 HOD/SEM
Vyučovací jazyk angličtina
Nahrazovaný předmět
Vyloučené předměty
Podmiňující
Způsob zakončení Zkouška
Forma zakončení Kombinovaná
Zápočet před zkouškou Ano
Vyučovaný semestr ZimníLetní
Cíle předmětu (anotace)

This series of lectures explain Financial Risk and treats several basic and simple derivatives that are introduced in the financial markets in order to hedge financial risks.
Also, I would like to look back several crisis events happened in the financial markets where derivatives are encountered.

Požadavky na studenta

Obsah

Lecture 1. Financial Risk
What are the financial risks? Why do we care about it? Market Risk, Credit Risk, Operational Risk, Reputation Risk, Liquidity Risk, Systemic Risk, Model Risk. Financial Markets: Stock Prices, Bond Prices, Currency Exchange Rates, Commodity Prices

Lecture 2. Portfolio
Portfolio is to make a "suitable" combination of assets. Portfolio Diversification and Optimizations. Mean-Variance Approach. By combination, one can minimize the variance of rate of return of the portfolio.

Lecture 3. Interest rates
Interest rates. Bonds and Coupons. Term Structures of Yields and Interest rates. Interest rates derivatives: Caps and Floors. Credit and Credit ranking. Defaults. Currency Derivatives (foreign interest rates).

Lecture 4 Development of Derivatives
Development of Variable Financial. Derivatives along with Regulatory changes of Markets and increased trading volumes. Options on Future (Futures Option). Swaptions, Forward Starting Swap
Structures Bonds. Exotics (Exotic Derivatives to take care of unwanted stochastic move/events).

Lecture 5. Securitization
Ordinary Securitization. Securitization Square. What went wrong with OTD business model.
Synthetic CDS. Regulations

Lecture 6. Financial Crisis
Crisis Events.
(1) Black Monday 1987 == Portfolio Insurance
(2) FRB shock 1994== Market Risk (?)
(3) Bankers Trust 1994 (--1998) ==Reputational Risk
(4) Barings 1995 == Operational Risk
(5) LTCM 1998 == Liquidity Risk (?)
(6) Lehmann Shock 2007-2009 == Systemic Risk
Subprime Housing Loans. Credit rating Company
Regulations (Basel accords) == Regulatory Capitals.== Regulatory Arbitrage

Excercises:
1. Introduction: data, estimation, probability distributions and their tails.
2. Covariance, correlation, sum of random variables.
3. Mean and the variance of a portfolio, decomposition of the variance: simple linear regression
4. Calculation of the options prices
5. Sequences of random variables, autocorrelation.

Předpoklady - další informace k podmíněnosti studia předmětu

Získané způsobilosti

Garanti a vyučující
  • Garanti: Mgr. Michal Houda, Ph.D.
  • Přednášející: Mgr. Michal Houda, Ph.D., Ryozo Miura
  • Cvičící: Mgr. Michal Houda, Ph.D., Ryozo Miura
Literatura
  • K.Fujii. Major Incident that changed Financial Risk Management. 2014.
  • J. C. Hull. Options, Futures and Other Derivatives. Pearson Prentice Hall, 2014. ISBN 978-0-13-345631-8.
  • M. Crouhy, D. Galai and R. Mark. RISK Management. McGraw Hill, 2001. ISBN 978-0-07-137867-3.
  • A.Miyauchi. The Economics of the Financial Crisis and Basel Framework. 2015.
  • M. Crouhy, D. Galai and R. Mark. The Essentials of RISK Management. McGraw Hill, 2014. ISBN 978-0-07-182115-5.
  • J. E. Ingersoll Jr. Theory of Financial Decision Making. Rowman & Littlefield publisher, 1987. ISBN 978-0-84-767359-9.
Vyučovací metody

Hodnotící metody

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