Course objectives:
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The aim of this course is to familiarize students with using statistical and econometric methods in finantial engeneering.
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Requirements on student
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Credit requirements:
There are three possible dates, student has two attempts to write the exam test. Credit must be obtained for min. 2 / 3 points (from one exam test).
Requirements for the exam:
Written exam, examination may continue in an oral form. The content of the exam = content of course lectures and seminars.
Evaulation:
1 (A) - <90;100> %
2 (B) - <80;90) %
3 (C) - <66;80) %
4 (D) - <0,66) %
Additional information for the students of the combined form of study is on the Courseware.
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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.
Used SW: Excel, Statistica, Mathematica.
Additional information for students of so-called combined study form is available in Courseware.
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Activities
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Fields of study
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Guarantors and lecturers
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Literature
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Basic:
HUŠEK, R. Ekonometrická analýza. Praha : Ekopress, 1999. ISBN 80-86119-19-X.
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Basic:
ARLT, J. Moderní metody modelování ekonomických časových řad. Vyd. 1. Praha : Grada, 1999. ISBN 80-7169-539-4.
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Recommended:
ENDERS, W. Applied econometric time series. 2nd ed. Hoboken : J. Wiley, 2004. ISBN 0-471-23065-0.
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Recommended:
GUJARATI, D. N. Essentials of Econometrics. New York : McGraw-Hill, 1992.
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Recommended:
MADDALA, G. S. Introduction to Econometrics. 1. vydání. New York : Macmillan Publishing Company, 1988. ISBN 0-02-374530-4.
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Recommended:
WOOLDRIDGE, J. M. Introductory econometrics : a modern approach. 3rd ed. Mason : Thomson/South-Western, 2006. ISBN 0-324-28978-2.
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On-line library catalogues
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Time requirements
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All forms of study
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Activities
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Time requirements for activity [h]
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Contact hours
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50
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Individual project (40)
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40
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Preparation for an examination (30-60)
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50
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Total
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140
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Prerequisites
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Knowledge - students are expected to possess the following knowledge before the course commences to finish it successfully: |
achieve the knowledge of a university course of mathematics and statistics
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Skills - students are expected to possess the following skills before the course commences to finish it successfully: |
N/A |
Competences - students are expected to possess the following competences before the course commences to finish it successfully: |
N/A |
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Learning outcomes
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Knowledge - knowledge resulting from the course: |
assess portfolio risk using the method Value at Risk |
extract information from financial data which are needed in the area of finantial ingeneering |
estimate price of some financial engineering products using simulation |
Skills - skills resulting from the course: |
N/A |
Competences - competences resulting from the course: |
N/A |
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Assessment methods
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Knowledge - knowledge achieved by taking this course are verified by the following means: |
Oral exam |
Written exam |
Seminar work |
Skills - skills achieved by taking this course are verified by the following means: |
Oral exam |
Written exam |
Seminar work |
Competences - competence achieved by taking this course are verified by the following means: |
Oral exam |
Written exam |
Seminar work |
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Teaching methods
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Knowledge - the following training methods are used to achieve the required 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 - the following training methods are used to achieve the required skills: |
Lecture supplemented with a discussion |
Interactive lecture |
Seminar |
Practicum |
Competences - the following training methods are used to achieve the required competences: |
Interactive lecture |
Lecture supplemented with a discussion |
Practicum |
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