Financial Risk Management and Derivatives
Informacje ogólne
Kod przedmiotu: | 235221-D |
Kod Erasmus / ISCED: |
04.3
|
Nazwa przedmiotu: | Financial Risk Management and Derivatives |
Jednostka: | Szkoła Główna Handlowa w Warszawie |
Grupy: |
Elective courses for GLO - masters Elective courses for QEM - masters Przedmioty kierunkowe do wyboru SMMD-EKO Przedmioty kierunkowe do wyboru SMMD-GBI |
Punkty ECTS i inne: |
4.50 (zmienne w czasie)
|
Język prowadzenia: | angielski |
Efekty uczenia się: |
Wiedza: 1. Concept of financial risk and derivatives (forwards, futures, options and swaps). 2. Effect of risk on enterprise operations. 3. Main types of financial risk. 4. Risk management strategies and tools. 5. Applications of derivatives. Main types of financial risk Risk management strategies and tools Umiejętności: 1. Ability to determine the goal of risk management process, to identify sources of risk and to define risk exposure. 2. Ability to measure risk and apply risk management strategies. 3. Ability to choose risk management tools appropriate for the type of risk. 4. Ability to build complete risk management system. 5. Ability to price, value and use derivatives (forwards, futures, options and swaps). 6. Ability to assess effects of risk management. Ability to measure risk and apply risk management strategies. Ability to measure risk and apply risk management strategies. Kompetencje społeczne: 1. The student should understand risk management strategies and the behavior of derivatives market. 2. The student should understand the need for continuous education in this area. The student should understand the need for continuous education in this area. |
Zajęcia w cyklu "Semestr letni 2024/25" (jeszcze nie rozpoczęty)
Okres: | 2025-02-15 - 2025-09-30 |
Przejdź do planu
PN WYK
WT ŚR CZ PT |
Typ zajęć: |
Wykład, 45 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | Michał Konopczak | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Wykład - Ocena |
|
Skrócony opis: |
The main objectives of the course: - show actual problems and methods of risk management, - provide a methodology for dealing with currency risk, interest rate risk, credit risk and operational risk, - provide students with a good understanding of derivatives (forwards, futures, options and swaps), - show a methodology of pricing and valuation of derivatives, - provide students with techniques and methodologies that are commonly used in risk management. |
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Pełny opis: |
This course is intended to provide students with a working knowledge of the principles and practices of risk management and derivatives. The course will survey the major topics concerning risk management and derivatives, including: risk management system, exposure, risk measures, Value at Risk, EaR, CFaR. etc., risk management strategies, Markowitz model, optimisation, currency risk and currency derivatives (fx swap, forward, futures, Currency Interest Rate Swap, Currency Basis Swap and currency options), interest rate risk and interest rate derivatives (Forward Rate Agreement, Interest Rate Swap, interest rate futures and options), credit risk and credit derivatives (Credit Default Swap, Total Return Swap, credit forward and credit options), operational risk. |
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Literatura: |
Literatura podstawowa: 1. D.M. Chance, R. Brooks, An introduction to derivatives and risk management, Australia: South-Western, Cengage Learning, 2013. 2. S. Allen, Financial risk management: a practitioner's guide to managing market and credit risk, John Wiley & Sons, 2013. 3. R.K. Sundaram, S.R. Das, Derivatives: Principles and Practice, McGraw-Hill 2011. Literatura uzupełniająca: 1. Don Chance, Analysis of Derivatives for the CFA Program, AIMR, 2003. 2. Kolb R.W., Futures, Options, and Swaps, Blackwell Business, 1997. 3. Clarke R.G., Options and Futures, Tutorial, 1992. 4. Brown K.C., Smith D.J., Interest Rate and Currency Swaps, The Research Foundation of Chartered Financial Analysts, 1995. |
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Uwagi: |
Kryteria oceniania: egzamin testowy: 100.00% |
Zajęcia w cyklu "Semestr zimowy 2024/25" (w trakcie)
Okres: | 2024-10-01 - 2025-02-14 |
Przejdź do planu
PN WT ŚR CZ PT |
Typ zajęć: |
Wykład, 45 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | Marek Lusztyn | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Wykład - Ocena |
|
Skrócony opis: |
The main objectives of the course: - show actual problems and methods of risk management, - provide a methodology for dealing with currency risk, interest rate risk, credit risk and operational risk, - provide students with a good understanding of derivatives (forwards, futures, options and swaps), - show a methodology of pricing and valuation of derivatives, - provide students with techniques and methodologies that are commonly used in risk management. |
|
Pełny opis: |
This course is intended to provide students with a working knowledge of the principles and practices of risk management and derivatives. The course will survey the major topics concerning risk management and derivatives, including: risk management system, exposure, risk measures, Value at Risk, EaR, CFaR. etc., risk management strategies, Markowitz model, optimisation, currency risk and currency derivatives (fx swap, forward, futures, Currency Interest Rate Swap, Currency Basis Swap and currency options), interest rate risk and interest rate derivatives (Forward Rate Agreement, Interest Rate Swap, interest rate futures and options), credit risk and credit derivatives (Credit Default Swap, Total Return Swap, credit forward and credit options), operational risk. |
|
Literatura: |
Literatura podstawowa: 1. D.M. Chance, R. Brooks, An introduction to derivatives and risk management, Australia: South-Western, Cengage Learning, 2013. 2. S. Allen, Financial risk management: a practitioner's guide to managing market and credit risk, John Wiley & Sons, 2013. 3. R.K. Sundaram, S.R. Das, Derivatives: Principles and Practice, McGraw-Hill 2011. Literatura uzupełniająca: 1. Don Chance, Analysis of Derivatives for the CFA Program, AIMR, 2003. 2. Kolb R.W., Futures, Options, and Swaps, Blackwell Business, 1997. 3. Clarke R.G., Options and Futures, Tutorial, 1992. 4. Brown K.C., Smith D.J., Interest Rate and Currency Swaps, The Research Foundation of Chartered Financial Analysts, 1995. |
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Uwagi: |
Kryteria oceniania: egzamin testowy: 100.00% |
Zajęcia w cyklu "Semestr letni 2023/24" (zakończony)
Okres: | 2024-02-24 - 2024-09-30 |
Przejdź do planu
PN WT WYK
ŚR CZ PT |
Typ zajęć: |
Wykład, 45 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | Michał Konopczak | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Wykład - Ocena |
|
Skrócony opis: |
The main objectives of the course: - show actual problems and methods of risk management, - provide a methodology for dealing with currency risk, interest rate risk, credit risk and operational risk, - provide students with a good understanding of derivatives (forwards, futures, options and swaps), - show a methodology of pricing and valuation of derivatives, - provide students with techniques and methodologies that are commonly used in risk management. |
|
Pełny opis: |
This course is intended to provide students with a working knowledge of the principles and practices of risk management and derivatives. The course will survey the major topics concerning risk management and derivatives, including: risk management system, exposure, risk measures, Value at Risk, EaR, CFaR. etc., risk management strategies, Markowitz model, optimisation, currency risk and currency derivatives (fx swap, forward, futures, Currency Interest Rate Swap, Currency Basis Swap and currency options), interest rate risk and interest rate derivatives (Forward Rate Agreement, Interest Rate Swap, interest rate futures and options), credit risk and credit derivatives (Credit Default Swap, Total Return Swap, credit forward and credit options), operational risk. |
|
Literatura: |
Literatura podstawowa: 1. D.M. Chance, R. Brooks, An introduction to derivatives and risk management, Australia: South-Western, Cengage Learning, 2013. 2. S. Allen, Financial risk management: a practitioner's guide to managing market and credit risk, John Wiley & Sons, 2013. 3. R.K. Sundaram, S.R. Das, Derivatives: Principles and Practice, McGraw-Hill 2011. Literatura uzupełniająca: 1. Don Chance, Analysis of Derivatives for the CFA Program, AIMR, 2003. 2. Kolb R.W., Futures, Options, and Swaps, Blackwell Business, 1997. 3. Clarke R.G., Options and Futures, Tutorial, 1992. 4. Brown K.C., Smith D.J., Interest Rate and Currency Swaps, The Research Foundation of Chartered Financial Analysts, 1995. |
|
Uwagi: |
Kryteria oceniania: egzamin testowy: 100.00% |
Zajęcia w cyklu "Semestr zimowy 2023/24" (zakończony)
Okres: | 2023-10-01 - 2024-02-23 |
Przejdź do planu
PN WT ŚR CZ WYK
PT |
Typ zajęć: |
Wykład, 45 godzin
|
|
Koordynatorzy: | (brak danych) | |
Prowadzący grup: | Michał Konopczak | |
Lista studentów: | (nie masz dostępu) | |
Zaliczenie: |
Przedmiot -
Ocena
Wykład - Ocena |
|
Skrócony opis: |
The main objectives of the course: - show actual problems and methods of risk management, - provide a methodology for dealing with currency risk, interest rate risk, credit risk and operational risk, - provide students with a good understanding of derivatives (forwards, futures, options and swaps), - show a methodology of pricing and valuation of derivatives, - provide students with techniques and methodologies that are commonly used in risk management. |
|
Pełny opis: |
This course is intended to provide students with a working knowledge of the principles and practices of risk management and derivatives. The course will survey the major topics concerning risk management and derivatives, including: risk management system, exposure, risk measures, Value at Risk, EaR, CFaR. etc., risk management strategies, Markowitz model, optimisation, currency risk and currency derivatives (fx swap, forward, futures, Currency Interest Rate Swap, Currency Basis Swap and currency options), interest rate risk and interest rate derivatives (Forward Rate Agreement, Interest Rate Swap, interest rate futures and options), credit risk and credit derivatives (Credit Default Swap, Total Return Swap, credit forward and credit options), operational risk. |
|
Literatura: |
Literatura podstawowa: 1. D.M. Chance, R. Brooks, An introduction to derivatives and risk management, Australia: South-Western, Cengage Learning, 2013. 2. S. Allen, Financial risk management: a practitioner's guide to managing market and credit risk, John Wiley & Sons, 2013. 3. R.K. Sundaram, S.R. Das, Derivatives: Principles and Practice, McGraw-Hill 2011. Literatura uzupełniająca: 1. Don Chance, Analysis of Derivatives for the CFA Program, AIMR, 2003. 2. Kolb R.W., Futures, Options, and Swaps, Blackwell Business, 1997. 3. Clarke R.G., Options and Futures, Tutorial, 1992. 4. Brown K.C., Smith D.J., Interest Rate and Currency Swaps, The Research Foundation of Chartered Financial Analysts, 1995. |
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Uwagi: |
Kryteria oceniania: egzamin testowy: 100.00% |
Właścicielem praw autorskich jest Szkoła Główna Handlowa w Warszawie.