MPF_RRFI Risk management of financial institutions

Faculty of Economics and Administration
Autumn 2024
Extent and Intensity
2/2/0. 6 credit(s). Type of Completion: zk (examination).
In-person direct teaching
Teacher(s)
doc. Ing. Eva Vávrová, Ph.D. (lecturer)
doc. Ing. Tomáš Plíhal, Ph.D. (lecturer)
doc. Ing. Tomáš Plíhal, Ph.D. (seminar tutor)
Guaranteed by
doc. Ing. Eva Vávrová, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance – Faculty of Economics and Administration
Timetable
Thu 8:00–9:50 P106, except Thu 19. 9., except Thu 7. 11.
  • Timetable of Seminar Groups:
MPF_RRFI/01: Thu 10:00–11:50 VT105, except Thu 19. 9., except Thu 7. 11., T. Plíhal
Prerequisites
MPF_FIDE Financial Market Derivatives && (! MPF_RRVP Risk management )
Course prerequisites: MPF_EARB Economics and management of banks, MPF_EARP Economics and management of insurance companies,BPF_BAN1 Banking, BPF_POJ1 Insurance, BPF_FIMA Financial Mathematics, BPM_STA1 Statistics 1, BPM_MATE Mathematics a BPE_ZAEK Econometrics.
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
The main objective of the course is to introduce students to principles of risk and risk management with applications in banking and in insurance industry. During the course students become familiar with risk management practices and its place in bank/insurance company operations.
Learning outcomes
After successful completion of the course, students should be able to:
− comprehend basic concepts of risk management,
− perform an analysis of property and business risks,
− provide insurance coverage/bank suggestions based on the client’s risk analysis,
− evaluate the risk management process and system in banking/insurance,
− compare the results for different methods of risk identification and analysis utilized by banks/insurance companies,
− propose the ways of banking/insurance risk mitigation/transfer via financial market.
Syllabus
  • Lectures:
  • 1. Basic definitions and concepts. Uncertainty, peril and risk. Risk classification and risk portfolio. Homogeneous and non-homogeneous risks. Risk management process. Risk handling techniques. The relationship between risk and insurance.
  • 2. Statistics and modelling for risk analysis.
  • 3. Modelling of catastrophic risks.
  • 4. Risks in banking operations. Classification of risks in financial institutions.
  • 5. Analysis of risk in banking. Credit risk and credit risk management.
  • 6. Analysis of risk in banking. Operational risk and operational risk management.
  • 7. Risks in insurance company operations. Classification of risks in insurance.
  • 8. Risk report. Multiple-criteria decision analysis in the insurance coverage selection. Property valuation methods in insurance.
  • 9. Insurance company business risks. Risk (economic) capital. Underwriting risks in life and non-life insurance. Measurement and mitigation of underwriting risks.
  • 10. Investment (financial) risks of insurance company. Market risks. Credit risk. Liquidity risk. Measurement and mitigation of investment risks.
  • 11. Non-financial risks of insurance company. Operational risks. Measurement and mitigation of operational risks. The organization of risk management in insurance company. Risk management process (strategy, identification, evaluation, monitoring, control, measurement, planning, capital management). Enterprise risk management in insurance companies.
  • Seminars:
  • Introduction to risk modeling. Basic concepts of quantitative analysis of risk. Models for loss numbers and loss sizes.
  • Introduction to catastrophic risk modelling. Extreme value theory.
  • Risk measures. The notion and calculation techniques for value-at-risk. The introduction to modeling of risk dependencies.
  • Probability of default modeling.
Literature
    required literature
  • CIPRA, Tomáš. Riziko ve financích a pojišťovnictví : Basel III a Solvency II. Vydání 1. Praha: Ekopress, 2015, viii, 515. ISBN 9788087865248. info
  • HULL, John. Risk management and financial institutions. Sixth edition. Hoboken, New Jersey: Wiley, 2023, xxvi, 804. ISBN 9781119932482. info
  • PIRIE, Wendy L. Derivatives. Hoboken: Wiley, 2017, xix, 597. ISBN 9781119381815. info
    recommended literature
  • VÁVROVÁ, Eva. Finanční řízení komerčních pojišťoven. 1. vyd. Praha: Grada, 2014, 190 s. ISBN 9788024746623. URL info
  • DOFF, René. Risk management for insurers : risk control, economic capital and solvency II. 2nd ed. London: Riskbooks, 2011, xi, 322. ISBN 9781906348618. info
  • ŘEZÁČ, František. Řízení rizik v pojišťovnictví. Vyd. 1. Brno: Masarykova univerzita. Ekonomicko-správní fakulta, 2011, 222 s. ISBN 9788021056374. URL info
  • SMEJKAL, Vladimír. Řízení rizik ve firmách a jiných organizacích. Edited by Karel Rais. 3., rozš. a aktualiz. vyd. Praha: Grada, 2010, 354 s. ISBN 9788024730516. URL info
Teaching methods
The course is taught in lectures and seminars, which include class discussions and require active participation. Report improves the ability of students to summarize a certain issue in the field of risk management and discuss it critically. Readings serve to broaden and deepen the spectrum of knowledge students acquire during the lectures.
Assessment methods
For the successful completion of the course students are required:
a) active participation in lecturs and seminars,
b) written and oral exam.

Following is the scale that will be used to evaluate your performance in this class: active participation in lectures and seminars (up to 10 grade points), written and oral final exam (up to 20 grade points).

Final grades would be given according to the following grading scale:
A: 92 – 100 % (28 or more grade points),
B: 84 – 91 % (26 – 27),
C: 76 – 83 % (24 – 25),
D: 68 – 75 % (21 – 23),
E: 60 – 67 % (18 – 20),
F: below 60 % (below 18 points).

If the student enrolls in the course while going abroad, he must pass all tests and exams upon his return.
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
The course is also listed under the following terms Autumn 2022, Autumn 2023.
  • Enrolment Statistics (recent)
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