1BP414 Bonds Theory and Practise
The course deepens both theoretical and practical bond pricing and decision-making techniques and tools, including their applications. Price sensitivity analysis with respect to underlying macroeconomic and financial inputs. Application of techniques used in institutional portfolio management.
1BP427 Microeconomics of Banking
The aim of this course is to show the ways to overcome limitations to the microeconomic foundations of banking imposed by general equilibrium theory. The students will learn modern asymmetric information theory of financial intermediation. Besides learning the techniques of applied game theory, contract theory and principal-agent theory, the students will understand the information aspects of financial intermediation.
1BP425 International Financial Markets
The aim of the course is to prepare students to solve problems of financial management in open economies characterized by large volumes of international trade and high international mobility of factors of production. In particular, the course will highlight the complications caused by the process of international investment decision making and the development of investment and hedging strategies on a multinational level. The topics covered in the course include: the organization of international financial markets, foreign exchange markets, international investing and market equilibrium, stock market investment, bond markets, derivative markets, country risk analysis, alternative investments, international diversification, and international banking overview.
1BP491 Insurance Industry and Insurance Products
The course introduces the economic principles of insurance compared to other financial categories. The student gets the knowledge of basic insurance notions applied in practice, main insurance products and principles of an insurance company operating as a financial institution. The next aim is to acquaint students with functioning of the insurance industry as a specific economic branch.
1BP451 Financial Derivatives II
The course is a continuation of Financial Derivatives I. The aim is to explain mechanics, hedging, and valuation of credit, interest rate, and selected exotic (e.g. path-dependent, quanto, with interest rates in arrears) derivatives. The most important models for stochastic interest rates will be introduced. At the same time the concept of the equivalent martingale measure will be introduced and applied. We will also review basic numerical procedures used for valuation and risk measurement of derivatives.
1BP426 Financial Derivatives I
The aim of the course is to explain basic types of financial derivatives, mechanics of their markets, their application for hedging and/or speculation, and their valuation. We will introduce basic modelling techniques for stock prices, exchange rates, and other underlying assets. These models will be used for valuation of plain derivatives (forwards, futures, options, and swaps) in an arbitrage-less market. Some specialized derivatives like exotic options, credit, weather, energy, and other derivatives will be also briefly introduced. Practical issues of derivatives trading, valuation, and risk management will be discussed as well.
1BP428 Financial Contracting
Students will learn rigorous foundations of financial contracting. Students will understand the incentive properties of optimal financial contracts and their implications for the optimal financial structure. In addition to the theoretical part of the course, the students will present short examples of contracts found in “real life”. These short presentations will be dealing with the relevance of covered topics for everyday practical life. Students will find in a newspaper or on the internet some example of contracting situation and will talk about this situation in class.
1BP450 Credit Risk Modeling and Management
The aim of the course is to cover classical credit risk assessment techniques, portfolio credit risk modelling, and credit derivatives valuation. We will discuss not only basic rating and scoring techniques including calibration issues used by banks but also the credit risk management organization issues. Portfolio credit risk modelling will be discussed as a theoretical concept as well as in the context of the Basel II regulation. Credit risk derivatives present the highest level in terms of trading complexity and modelling sophistication. Students will get acquainted with the most important valuation techniques – stochastic spread and default intensity modelling.
1BP452 Credit Risk Management and Modeling
The aim of the course is to cover classical credit risk assessment techniques, portfolio credit risk modeling, and credit derivatives valuation. We will discuss not only basic rating and scoring techniques, including calibration techniques used by banks, but also credit risk management organization topics. Portfolio credit risk modeling will be explained as a theoretical concept and also discussed in the context of the Basel II/III regulation. Credit risk derivatives present the highest level in terms of trading complexity and modeling sophistication. Students will be also introduced to the most important valuation techniques – stochastic spread and default intensity modeling.
1BP453 Computational Finance
Programming language Matlab, numerical analysis, solving a linear system, numerical methods, stochastic methods, simulations, optimization, portfolio management, risk modeling, financial instruments pricing.
1BP260 Banking and Financial Institutions
The course provides students with an understanding of microeconomic, macroeconomic and political aspects of banking, nonbank financial institutions, and financial markets.