Market Risk
Objectives
This course is designed to train the students in
measuring and managing market risk. The course deals mainly with market risk
while mapping and describing other types of risks to financial institutions.
The main objective is to be able to quantify risk exposures and make a
qualitative appreciation about those metrics, while being able to hedge the
identified risks.
General characterization
Code
14515
Credits
3
Responsible teacher
Miguel Ferreira
Hours
Weekly - Available soon
Total - Available soon
Teaching language
Portuguese | English
Prerequisites
Available soon
Bibliography
Jorion,
P., 2006, Value at Risk, Mc Graw Hill, 3rd edition.
Teaching method
Class participation stimulates debates about technical/mathematical
concepts as well as further discussion on several interesting topics
complementary to the materials being discussed.
Evaluation method
The assessment of this curricular unit is done together with the block of curricular units of the same area of knowledge. This assessment has 3 moments, which together define the final grade of the curricular unit:
• Individual exam with a weighting of 50% of the total mark
• Group work with a weighting of 35% of the total grade value
• Individual reflection-action exercise carried out at the end of the curricular unit, with a weighting of 15% of the total grade value. The set of individual action-reflection exercises is a journaling activity, which will constitute, at the end, a learning portfolio capable of synthesising the contributions of the Executive Master for that student.he assessment of this curricular unit is done together with the block of curricular units of the same area of knowledge. This assessment has 3 moments, which together define the final grade of the curricular unit:
• Individual exam with a weighting of 50% of the total mark
• Group work with a weighting of 35% of the total grade value
• Individual reflection-action exercise carried out at the end of the curricular unit, with a weighting of 15% of the total grade value. The set of individual action-reflection exercises is a journaling activity, which will constitute, at the end, a learning portfolio capable of synthesising the contributions of the Executive Master for that student.
Subject matter
The course will be structured around the
following topics.
• Types of Risk
• Risk Management Approaches and Tools
• Stylized Facts about Volatility
• Measuring Market Risk – Value-at-Risk (VaR)
• VaR for Stocks, Bonds and Derivatives
• Marginal Contribution to Risk
• Hedging Market and FX Risk
• Backtesting of VaR
• Limitations of Existing Risk Models
• Alternative Risk Measures
• Forecasting Volatility
• Risk Reports Interpretation