povinná literatura:

Pilbeam, K. Finance and Financial Markets. 3rd ed. New York: Palgrave Macmillan, 2010.

Steiner, B. Key Financial Market Concepts: The 100 Terms Every Finance Professional Needs to Know. 2nd ed. Harlow: Prentice Hall, 2011.

Myint, S., Famery, F. The Handbook of Corporate Financial Risk Management. London: Risk Books, 2012.

doporučená literatura:

Davidson, A. How the Global Financial Markets Really Work: The Definitive Guide to Understanding International Investment and Money Flows. London: Kogan Page, 2009.

Malz, A.M. Financial Risk Management: Models, History and Institutions. Hoboken: Wiley Finance, 2011.

Hull, J. Options, Futures and Other Derivatives. 8th ed. New Jersey: Prentice Hall, 2012.

Z – seminární práce prezentovaná při cvičení

ZK – písemná zkouška

1. Motivation, concept of risk. Categories of business risk. Credit risk, credit risk management.

2. Financial markets, structure and conventions. Foreign exchange market, foreign exchange conventions.

3. Market risk. Market risk management. Concept of hedging. Linear and nonlinear risks.

4. Debt markets. Money market and debt capital market. Debt market conventions and pricing. Debt yield determinants, yield curve, rating.

5. Interest rate risk management. Immunization, dynamic hedging.

6. Interest rate risk management beyond duration. Gap analyzis. Convexity, second-order immunization. Riding the yield curve.

7. Equity and the stock markets. Stock market conventions, organization. Stock indices. Short selling. Equity risk-return models, CAPM, beta regression. Portfolio neutralization.

8. Markets analysis, measuring market risk. Historical volatility. Portfolio risk management. Mean‑variance analysis. Portfolio optimization.

9. Derivative instruments and derivative markets. Commodity markets. Derivative market conventions. Patterns in derivative markets (contango, normal backwardation). Margin accounts.

10. Derivative analysis, hedging strategies. Arbitrage-based pricing, replication. Interpretation of derivative patterns.

11. Options hedging, greeks. Options valuation (analytical solutions, recursive numerical solutions). Implied volatility.

12. Value at Risk. Economic capital and its applications. Regulatory issues.

13. Market (in-)efficiency and its implications. Trading and investment strategies. Systemic risk.

14. Term project presentations. Concluding remarks.

Z – seminární práce prezentovaná při cvičení

ZK – písemná zkouška