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Lecturer(s)
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Kovárník Pavel, JUDr. Ing. Ph.D.
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Course content
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Assessing market risk, Value at Risk. P/L distribution for derivatives. Stresstesting and backtesting. Models of time structure of interest rates. Monte Carlo Methods. Method Cost at Risk. Regression and cointegration. Vector autoregression. Macro-economic prediction models.
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Learning activities and teaching methods
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Lecture supplemented with a discussion, Lecture with practical applications, E-learning, One-to-One tutorial, Group discussion, Individual study, Students' self-study, Seminar, Practicum
- Contact hours
- 52 hours per semester
- Preparation for comprehensive test (10-40)
- 28 hours per semester
- Preparation for an examination (30-60)
- 50 hours per semester
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| prerequisite |
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| Knowledge |
|---|
| achieve the knowledge of a university course of mathematics and statistics |
| Skills |
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| N/A |
| Competences |
|---|
| N/A |
| learning outcomes |
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| Knowledge |
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| Estimate price of some financial engineering products using simulation. |
| Assess portfolio risk using the method Value at Risk. |
| Extract information from financial data which are needed in the area of finantial ingeneering. |
| Skills |
|---|
| N/A |
| Competences |
|---|
| N/A |
| teaching methods |
|---|
| Knowledge |
|---|
| Lecture supplemented with a discussion |
| Seminar |
| Practicum |
| E-learning |
| Group discussion |
| Self-study of literature |
| Individual study |
| One-to-One tutorial |
| Interactive lecture |
| Skills |
|---|
| Interactive lecture |
| Lecture supplemented with a discussion |
| Seminar |
| Competences |
|---|
| Lecture supplemented with a discussion |
| Interactive lecture |
| Seminar |
| assessment methods |
|---|
| Knowledge |
|---|
| Oral exam |
| Written exam |
| Seminar work |
| Skills |
|---|
| Written exam |
| Seminar work |
| Oral exam |
| Competences |
|---|
| Oral exam |
| Written exam |
| Seminar work |
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Recommended literature
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ARLT, J. Moderní metody modelování ekonomických časových řad. Vyd. 1. Praha : Grada, 1999. ISBN 80-7169-539-4.
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ENDERS, W. Applied econometric time series. 2nd ed. Hoboken : J. Wiley, 2004. ISBN 0-471-23065-0.
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GUJARATI, D. N. Essentials of Econometrics. New York : McGraw-Hill, 1992.
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HUŠEK, R. Ekonometrická analýza. Praha : Ekopress, 1999. ISBN 80-86119-19-X.
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MADDALA, G. S. Introduction to Econometrics. 1. vydání. New York : Macmillan Publishing Company, 1988. ISBN 0-02-374530-4.
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WOOLDRIDGE, J. M. Introductory econometrics : a modern approach. 3rd ed. Mason : Thomson/South-Western, 2006. ISBN 0-324-28978-2.
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