Course syllabus KAR - Kvantitativní analýza rizika (FBE - WS 2017/2018)

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Course code: KAR
Course title in language of instruction: Kvantitativní analýza rizika
Course title in Czech: Kvantitativní analýza rizika
Course title in English: -- item not defined --
Mode of completion and number of credits: Exam (5 credits)
(1 ECTS credit = 28 hours of workload)
Mode of delivery/Timetabled classes: full-time, 2/2 (hours of lectures per week / hours of seminars per week)
Language of instruction: Czech
Level of course: bachelor
Semester: WS 2017/2018
Name of lecturer: doc. Mgr. David Hampel, Ph.D. (supervisor)
Prerequisites: Econometrics I
Aims of the course:
The aim is to show ways of application of probability and statistics in decision-making under uncertainty. Applying a quantitative risk analysis is broad and, very often, is an essential basis for managerial decisions.
Course contents:
1.Introduction to Quantitative Risk Analysis (allowance 4/2)
a.Motivation to perform risk analysis
b.Planning of risk analysis
c.Question the quality of risk analysis
d.Possible outcomes of risk analysis

2.Probabilistic elements of risk analysis (allowance 4/6)
a.Distribution of random variables
b.Testing hypotheses about the distribution of random variables
c.Comparison of empirical and theoretical distribution
d.Generating random variables

3.Methodology of quantitative risk analysis (allowance 6/6)
a.Building the model
b.Predicting under uncertainty
c.Simulation of random processes
d.Model Validation
e.Case studies of risk analysis in the economy

4.Classification methods and models (allowance 10/10)
a.Introduction to the problem
b.Models of nominal variables
c.Discrimination analysis
d.Canonical correlation analysis
e.Case studies

5.Markov chains (allowance 4/4)
a.Homogeneous Markov chains with discrete time
b.Stationary and limit distribution of Markov chains
c.Application of Markov chains in risk analysis

Learning outcomes and competences:
-- item not defined --
Type of course unit: optional
Year of study: Not applicable - the subject could be chosen at anytime during the course of the programme.
Work placement: There is no compulsory work placement in the course unit.
Recommended study modules: -
Learning activities and study load (hours of study load):
Type of teaching methodDaily attendance
Direct teaching
     lecture28 h
     practice28 h
     consultation4 h
     preparation for exam20 h
     elaboration and execution of projects60 h
Total140 h
Assessment methods:
Project in the field of simulation and project in the field of classification. Final exam.
Recommended reading:
TypeAuthorTitlePublished inPublisherYearISBN
RQHEBÁK, P. et al.Vícerozměrné statistické metody [1]PrahaInformatorium2007978-80-7333-056-91
RQDLOUHÝ, M. et al.Simulace podnikových procesůBrnoComputer Press978-80-251-1649-4
RQHEBÁK, P. et al.Vícerozměrné statistické metody [3]PrahaInformatorium200580-7333-039-3
RERisk analysis: a quantitative guideChichesterJohn Wiley & Sons2008978-0-470-51284-5
RERisk management and simulationBoca RatonCRC Press978-1-4398-3594-4
REWITZANY, J.Credit risk management and modelingPrahaOeconomica2010978-80-245-1682-0


Last modification made by Ing. Jiří Gruber on 09/05/2017.

Type of output: