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Lecturer(s)
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Klepková Vodová Pavla, doc. Ing. Ph.D.
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Course content
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Risks of doing business in banking Methods of financial risk measurement and their characteristics Credit risk and its components, customer segmentation based on creditworthiness, monitoring the quality of the loan portfolio Credit risk transfer Credit risk models Operational risk measurement and management Market risk and its components, usage of financial derivatives for market risk management Liquidity risk measurement and management, gap analysis Capital adequacy of banks and financial groups Risk adjusted performance Risks of doing business in insurance industry, life and non-life underwriting risks Solvency of insurance companies, pillars of Solvency II rules
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Learning activities and teaching methods
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Monologic (reading, lecture, briefing), Dialogic (discussion, interview, brainstorming), Work with text (with textbook, with book), Methods of individual activities, Skills training
- Term paper
- 20 hours per semester
- Contact teaching
- 52 hours per semester
- Preparation for an exam
- 78 hours per semester
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Learning outcomes
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The aim of the course is to introduce students to the issue of risk management in banking and insurance. Explain the basic principles, methods and techniques of financial risk management, provide students with knowledge of possible tools for quantifying and managing market, credit, operational, liquidity and actuarial risk.
A student who has successfully completed the course can: classify individual risks in banking and insurance and propose solutions for their elimination; list and describe the different stages of the risk management and risk analysis process explain the methods of market risk management VaR - parametric and historical method, Monte Carlo method; explain operational risk management methods, RCSA, risk catalogue, risk map; explain credit risk management methods (segmentation of clients in terms of their creditworthiness, creation of application and behavioural scorecards, PD, portfolio quality monitoring - vintage analysis, roll rate analysis); explain methods of liquidity risk management, gap analysis; describe and explain the content of the pillars of Solvency II; explain the methods of managing life and non-life underwriting risk. A student who has successfully completed the course will be able to: Navigate the Basel II, Basel III and Solvency II regulations; understand the types of risks that affect a bank and an insurance company; be familiar with the theoretical methods as well as practical skills in their application using statistical software packages and Excel spreadsheets; compile a basic risk catalogue of a bank and draw up a risk map; create an application scorecard to segment clients in terms of their creditworthiness; monitor the quality of the portfolio in terms of creditworthiness of clients; aggregate individual capital requirements, taking into account any correlations between risk classes A student who has successfully completed the course is able to: incorporate consideration of risks and their potential impacts into problem solving; communicate information about the risk management process in a bank and an insurance company in a clear and convincing manner to professionals and lay people
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Prerequisites
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Supposes knowledge of functions of different finantial institutions.
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Assessment methods and criteria
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Oral examination, Written examination, Home assignment evaluation, Student performance assessment, Self project defence, Presentation
Credit: independent continuous solution of assigned practical tasks, continuous written testing with evaluation at least 60% Exam: oral
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Recommended literature
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ALLEN, S. Financial Risk Management. 2nd ed. Wiley, 2013.
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RONCALLI, T. Handbook of Financial Risk Management. Chapman and Hall, 2020.
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