eTUTOR-CEK: MAG 2023-2024: Kvantitativne finance in aktuarstvo

1. letnik

Predmet	Literatura	E-vir
Verjetnost in statistika	Rice, J. A. (1995). *Mathematical statistics and data analysis* (2nd ed., str. XX, 602, A49). Duxbury.
	Weisberg, S. (2014). *Applied linear regression* (4th ed., str. XVII, 340). Wiley.
	Roussas, G. G. (1997). *A course in mathematical statistics* (2nd ed., str. XX, 572). Academic Press.
	Dekking, M., Kraaikamp, C., Lopuhaä, H. P., & Meester, L. E. (2005). *A modern introduction to probability and statistics: understanding why and how* (str. XV, 486). Springer.
	Wackerly, D. D., Mendenhall, W., & Scheaffer, R. L. (2008). *Mathematical statistics with applications* (7th ed., str. XXII, 912). Brooks/Cole, Cengage Learning.
Modeli vrednotenja naložb	Obvezna:
	Cuthbertson, K. in Nietsche, D. (2004). Quantitative Financial Economics. John Wiley & Sons.
	Pennacchi, G. (2008), Theory of Asset Pricing. Pearson Addison Wesley.
	Cochrane, J. H. (2005). *Asset pricing* (Rev. ed., str. XVII, 533). Princeton University Press.
	Danthine, J.-P. In Donaldson, J.B. (2002), Intermediate Financial Theory. Pearson Education.
Računovodstvo finančnih institucij	Sutton, T. (2004). *Corporate financial accounting and reporting* (2nd ed., str. XVI, 722). Prentice Hall/Financial Times.
	Brian J Bushee: Introduction to financial accounting.
	Brian J Bushee: More introduction to financial accounting.
	Ryan, S. G. (2007). *Financial instruments and institutions: accounting and disclosure rules* (2nd ed., str. XVIII, 510). J. Wiley.
	IAIS: ICP 12A - An Introduction to Insurance Accounting, 2006.
	Ralph S. Blanchard: Basic Insurance Accounting – Selected Topics, 2008.
Ekonometrija časovnih vrst in panelnih podatkov	Enders, W. (2015). *Applied econometric time series* (4th edition, str. X, 485). Wiley.
	Luetkepohl, H., Kraetzig, M.: Applied Time Series Econometrics. Cambridge: Cambridge University Press, 2004. 350 str.
	Wooldridge, J.M.: Econometric Analysis of Cross Section and Panel Data. Cambridge(MA): MIT Press, 2002.
Vrednotenje izvedenih finančnih instrumentov	Capiński, M., & Zastawniak, T. (2005). *Mathematics for finance: an introduction to financial engineering* (3rd printing, str. X, 310). Springer.
	S. E. Shreve, Stochastic Calculus for Finance I: The Binomial Pricing Model, Springer, 2003.
	Björk, T. (2020). *Arbitrage theory in continuous time* (4th ed., str. XXI, 561). Oxford University Press.
Teorija informacij in pogodb v financah in zavarovalništvu	Salanie, Bernard, The economics of contracts : a primer, Cambridge (Mass.) ; London : The MIT Press, 1997.
	Laffont in Martimort (2002), The Theory of Incentives, Princeton University Press
	Bolton, P., & Dewatripont, M. (2005). *Contract theory* (str. XVI, 724). MIT Press.
	Macho-Stadler, I., & Pérez-Castrillo, J. D. (2001). *An introduction to the economics of information: incentives and contracts* (2nd ed., str. XIV, 287). Oxford University Press.
	Tirole, J. (2006). The Theory of Corporate Finance, Princeton University Press, New Jersey
	Greenbaum, S. I., Thakor, A. V., & Boot, A. W. A. (2016). *Contemporary financial intermediation* (3d ed., str. XXIII, 466). Elsevier/Academic Press.
Splošni izbirni predmet

2. letnik

Predmet	Literatura	E-vir
*Obvladovanje tveganj	1) Jorion, P. (2007). *Value at risk: the new benchmark for managing financial risk* (3. izd., str. XVII, 602). McGraw-Hill.
	2) Dowd, K. (2005). *Measuring market risk* (2nd ed., str. XVIII, 390). John Wiley & Sons.
	3) Principles for Sound Stress Testing Practices and Supervision” (Basel Committee on Banking Supervision Publication, May 2009).
	4) Chris Brooks, Introductory Econometrics for Finance, 3rd Edition (Cambridge, UK: Cambridge University Press, 2014).
	5) GARP Code of Conduct.
	6) René Stulz, “Risk Management Failures: What Are They and When Do They Happen?” Fisher College of Business Working Paper Series, October 2008.
	7) Steve Allen, Financial Risk Management: A Practitioner’s Guide to Managing Market and Credit Risk, 2nd Edition (New York: John Wiley & Sons, 2013) - Chapter 4. Financial Disasters.
	8) Crouhy, M., Galai, D., & Mark, R. (2023). *The essentials of risk management* (3rd ed., str. XXVII, 609). McGraw-Hill.
	9) René Stulz, “Risk-Taking and Risk Management by Banks,” Journal of Applied Corporate Finance 27, No. 1 (2015): 8-18.
	10) RiskMetrics Technical Document. Risk Metrics Group.
	11) Principles for sound stresstesting practices and supervision, Basel Comittee on Banking Supervision, 2009.
	12) Golin, J. L., & Delhaise, P. (2013). *The bank credit analysis handbook: a guide for analysts, bankers and investors* (2nd ed., str. X, 923). Wiley.
	13) Duffie, D., Singleton K.J.: Credit Risk: Pricing, Management, and Measurement. Princeton: Princeton University Press, 2003. 396 str.
	14) Jorion, P., Financial Risk Manager Handbook, GARP.
	16) Servigny, A. de, & Renault, O. (2004). *Measuring and managing credit risk* (str. XI, 466). McGraw Hill.
	17) Stulz, R. M. (2003). *Risk management & derivatives* (str. XXII, 676). Thomson/South-Western.
	18) Gregory, J. (2020). *The xVA challenge: counterparty risk, funding, collateral, capital and initial margin* (4th ed., str. XX, 678). Wiley.
	19) Malz, A. M. (2011). *Financial risk management: models, history, and institutions* (str. XXIII, 722). John Wiley & Sons.
	20) Choudhry, M. (2010). *Structured credit products: credit derivatives and synthetic securitisation* (2. ed., str. XXI, 601). Wiley.
	21) Adam Ashcraft and Til Schuermann, “Understanding the Securitization of Subprime Mortgage Credit,” Federal Reserve Bank of New York Staff Reports, No. 318 (March 2008).
	22) Tuckman, B., & Serrat, A. (2022). *Fixed income securities: tools for today’s markets* (4th ed., str. XIII, 542). John Wiley & Sons.
	23) Litterman, R. B. (2003). *Modern investment management: an equilibrium approach* (str. XVIII, 628). J. Wiley & Sons.
	24) Ang, A. (2014). *Asset management: a systematic approach to factor investing* (str. XII, 704). Oxford University Press.
*Modeliranje tveganj v zavarovalništvu	Grimmett, G., & Stirzaker, D. (2020). *Probability and random processes* (4th ed., str. XII, 669). Oxford University Press.
	Williams, D. (1995). *Probability with martingales* (1st. publ. 1991, reprint 1995, str. XV, 251). Cambridge University Press.
	Norris, J. R. (2009). *Markov chains* (15th printing, Let. 2, str. XVI, 237). Cambridge University Press.
	R. Kaas, M. Goovaerts, J. Dhaene & M. Denuit, Modern Actuarial Risk Theory, Kluwer Academic Publishers (2001)
	Bowers, N.L.; Gerber, H.U.; Hickman, J.C.; Jones, D.A.; Nesbitt, C.J., (1986). Actuarial Mathematics. The Society of Actuaries, Itacsa, Illinois.
	Klugman, S. A., Panjer, H. H., & Willmot, G. E. (2019). *Student solutions manual to accompany loss models: from data to decisions* (5th ed., str. VII, 224). John Wiley & Sons.
	H. H. Panjer, G. E. Willmot, Insurance Risk Models, Society of Actuaries, 1992.
**Empirične finance	Obvezna:
	Cuthbertson, K., & Nitzsche, D. (2004). *Quantitative financial economics: stocks, bonds and foreign exchange* (2nd ed., str. XIV, 720). J. Wiley.
	Singleton, K. J. (2006). Empirical dynamic asset pricing: model specification and econometric assessment (str. xiv, 480). Princeton University Press.
	Cochrane, J. H. (2005). *Asset pricing* (Rev. ed., str. XVII, 533). Princeton University Press.
	Campbell, J. Y., Lo, A. W.-C., & MacKinlay, A. C. (1997). *The econometrics of financial markets* (str. XVIII, 611). Princeton University Press.
**Življenjska in pokojninska zavarovanja	Milevsky, M. A. (2006). *The calculus of retirement income: financial models for pension annuities and life insurance* (str. XIV, 321). Cambridge University Press.
	Rejda, G. E. (2015, cop.). *Social insurance and economic security* (7th ed., str. XI, 423). Routledge.
	Black, K., & Skipper, H. D. (2000). *Life & health insurance* (13th ed., str. XVIII, 1054). Prentice Hall.
*Neživljenjska zavarovanja	Mikosh, T. (2004) Non-life Insurance Mathematics. Springer-Verlag, Berlin.
	Kaas, R. (2001). *Modern actuarial risk theory* (str. XVIII, 309). Kluwer Academic Publishers.
	Bowers, N.L.; Gerber, H.U.; Hickman, J.C.; Jones, D.A.; Nesbitt, C.J., (1986). Actuarial Mathematics. The Society of Actuaries, Itacsa, Illinois.
*Kvantitativne vedenjske finance	Obvezna:
	Ackert, L. F., & Deaves, R. (2010). Behavioral finance: psychology, decision-making, and markets (str. XXXII, 392). South-Western Cengage Learning.
	Forbes, W. (2009). *Behavioural finance* (str. XVI, 443). J. Wiley.
Splošni izbirni predmeti