Introduction to Financial Derivatives and Risk Management
Objectives
Available soon
General characterization
Code
33165
Credits
6
Responsible teacher
Available soon
Hours
Weekly - Available soon
Total - 168
Teaching language
EN
Prerequisites
Not Applicable
Bibliography
Not Applicable
Teaching method
The final grade of this curricular unit considers the grades of the homework's (and/or oral examination) and the final exam (minimum grade required) according to the below criteria. Before the criteria details some important remarks:
The criteria will apply to both, 1st and 2nd call and special examination period.
The criteria assumes that students will attend the exams physically in the University, which could have the classical paper format or through an online exam (Moodle), this also done in the University facilities.
Final remark, in the case there is another lockdown or any special measures due to the pandemic COVID-19 or other extraordinary event, which implies a contingency plan action and the need to change classes and exams all to online format, the criteria will suffer adjustments that will also be outlined in the first class of the semester.
Criteria of Final Grade, weighted average:
40% - Homework's and/or oral examination
60% - Exam, with a minimum of 7 points requirement, otherwise student fails automatically.
In addition to the minimum exam requirement, to be approved in the curricular unit, the final weighted average should be greater or equal than 10 points (scale from 1 to 20 points).
Note: Rounding procedure will only take place in the final weighted average number and not in the individual components of the evaluation!
Evaluation method
Theory and practice will be part of the course. Some practical examples are presented in theoretical-practical classes others will be provided through homeworks and dedicated practical classes for specific LU. At the end of the semester there will be a final exam.
Subject matter
Class 1 - Introduction and financial markets revisions Class 2 - Risk management
Class 3 - Introduction to linear derivatives
Class 4 - Practical I and homework I
Class 5 - Introduction financial derivatives: swaps I
Class 6 - Introduction financial derivatives: swaps II
Class 7 - Introduction non-linear derivatives: options
Class 8 - Liquidity risk and asset and liability management
Class 9 - Practical II and homework II
Class 10 - Market risk (VaR)
Class 11 - Operational risk
Class 12 - Introduction to climate risk (ESG)
(*) Class number may not correspond to the exact week given eventual interim break or holiday.