Prof. dr hab. Zenon Marciniak
FINANCIAL RISK MANAGEMENT AND DERIVATIVES [235221-0345]
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.
Main objectives for this course:
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.
This course is intended to provide you with a deep framework for dealing with the risk management problems.
Handling the financial aspects of a business requires both an understanding of concepts
and the skills to do analysis. Skills are best developed by doing;
therefore the pedagogical approach used is application-oriented.
Therefore, the emphasis is on understanding the financial issues and alternatives available,
and learning the essential analytical tools for dealing with them.
The discussion will generally contain the following:
- A brief description of the risk management problem(s) being faced, and the decision(s) to be made.
- An analysis of the advantages and disadvantages of each alternative.
Decision(s) or recommendation(s) with supporting reasons.
This is a very busy course, consisting of lectures (30 hours) and one examination.