Riscos de Mercado e de Crédito

Objetivos

This course covers topics related to risk management for different types of financial risks and instruments, with a particular focus on market risk and credit risk. Topics such as regulatory capital and framework, minimum capital requirements, the computation of Value at Risk (VaR) for financial investments (equity, fixed income, derivatives) using parametric and non-parametric methods, historical simulation and Monte Carlo simulation techniques is pursued adopting a hands-on approach. Individual loan credit risk models (Credit-Scoring Models, Option based models, KMV, Ratings based models) and Credit Portfolio Models and Concentration Risk are discussed, including the computation of Default probability and rating migrations, the Recovery rate, Credit VaR. Regulatory models (Basel Committee) considering the Standard and Internal-ratings based approach are analyzed, together with the role of Credit Derivatives in credit risk management.