Course syllabus KAR - Kvantitativní analýza rizika (FBE - WS 2019/2020)


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Course code: KAR
Course title in Czech:
Kvantitativní analýza rizika
Course title in English:
-- item not defined --
Semester: WS 2019/2020
Mode of completion and number of credits: Exam (5 credits)
Mode of delivery and timetabled classes: full-time, 2/2 (hours of lectures per week / hours of seminars per week)
Level of course:
bachelor
Course type:
required
Type of delivery:
usual
Mode of delivery for our mobility students abroad: -- item not defined --
Language of instruction: Czech
Course supervisor:
Course supervising department:
Department of Statistics and Operation Analysis (FBE)
Faculty: Faculty of Business and Economics
Teachers:
doc. Mgr. David Hampel, Ph.D. (examiner, instructor, lecturer, supervisor)
Inna Tsener (instructor, lecturer)
RNDr. Lenka Viskotová, Ph.D. (examiner, instructor, lecturer)
Prerequisites:
 
Timetable in this semester:
DayFrom-till
Room
Teacher
Entry
Frequency
Capacity
Thursday9.00-10.50Q36
Lecture
Every week
24
Thursday
11.00-12.50
Q36
SeminarEvery week
20
 
Aim of the course and learning outcomes:
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 content:
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 activities and teaching methods:
Type of teaching method
Daily attendance
lecture
28 h
practice
28 h
consultation
4 h
preparation for exam
20 h
elaboration and execution of projects
60 h
Total
140 h
 
Assessment methods:
Project in the field of simulation and project in the field of classification. Final exam.
 
Assessment criteria ratio:
Requirement type
Daily attendance
Total
0 %
 
Recomended reading and other learning resources:
Basic:
HEBÁK, P. et al. Vícerozměrné statistické metody [1]. 2nd ed. Praha: Informatorium, 2007. 253 p. ISBN 978-80-7333-056-91.
DLOUHÝ, M. et al. Simulace podnikových procesů. 1st ed. Brno: Computer Press, 201 p. ISBN 978-80-251-1649-4.
HEBÁK, P. et al. Vícerozměrné statistické metody [3]. 1st ed. Praha: Informatorium, 2005. 255 p. ISBN 80-7333-039-3.

Recommended:
Risk analysis: a quantitative guide. 3rd ed. Chichester: John Wiley & Sons, 2008. 735 p. ISBN 978-0-470-51284-5.
Risk management and simulation. Boca Raton: CRC Press, 491 p. ISBN 978-1-4398-3594-4.
WITZANY, J. Credit risk management and modeling. 1st ed. Praha: Oeconomica, 2010. 212 p. Odborná kniha s vědeckou redakcí. ISBN 978-80-245-1682-0.

Course listed in study plans for this semester:
Track SBAD Data Analysis, full-time form, initial period WS 2017/2018
 
Course listed in previous semesters:
Teaching place:
Brno


Last modification made by Ing. Jiří Gruber on 05/22/2019.

Type of output: