Banca, Seguros e Longevity - Linked Securities

Objectivos

Neste curso identificam-se os modelos de negócio e os principais factores de risco da actividade bancária e seguradora e analisa-se de forma detalhada as soluções de mercado de capitais para a gestão do risco de mortalidade e longevidade, em particular as que implicam a utilização de longevity-linked derivatives. O curso aborda o problema do risco de longevidade e discute as soluções de gestão de risco ao dispor de seguradoras, annuity providers e fundos de pensões. Particular atenção é dada à estruturação, pricing e hedging de derivados financeiros em que o activo subjacente está directa ou indirectamente à evolução da mortalidade ou longevidade numa população (longevity/mortality bonds, longevity swaps, mortality futures and options, structured products,...) numa abordagem hands-on. São analisados os principais métodos estocásticos de modelação da mortalidade e os aspectos práticos relativo ao desenvolvimento do mercado.

Caracterização geral

Código

400061

Créditos

7.5

Professor responsável

Jorge Miguel Ventura Bravo

Horas

Semanais - A disponibilizar brevemente

Totais - A disponibilizar brevemente

Idioma de ensino

Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês

Pré-requisitos

NA

Bibliografia

Bessis, J. (2015). Risk Management in Banking, 5th Edition. John Wiley & Sons.

Bhuyan, V. (2009). Life Markets Trading Mortality and Longevity Risk with Life Settlements and Linked Securities

McWilliam, E. (2011). Longevity Risk. Risk Books.

Olivieri, A. and Pitacco, E. (2015). Introduction to Insurance Mathematics: Technical and Financial Features of Risk Transfers, 2nd Edition. Springer.

Pitacco, E., Denuit, M., Haberman, S., Olivieri, A. (2009). Modelling Longevity Dynamics for Pensions and Annuity Business. Oxford University Press.

Handouts, articles and case studies provided by the instructor.

Método de ensino

  • Expositional and Questioning Method Active Methods and Case Studies
  • Investigation projects and practical applications.
  • Knowledge development and learning capability.

Método de avaliação

The final grade for exams 1 & 2 is computed as follows:

  • Final exam: 
    • The exam is closed-book and closed-notes. However, you may use a two-sided A4 formula sheet and a pocket calculator.
    • minimum grade of 8/20
  • Cases and Problem sets: 

Conteúdo

  1. Risk Management in Banking: Business model and balance sheet risks, Financial Statements, Profitability and efficiency analysis, ROE decomposition; Performance Analysis; Credit risk management in Banking: Credit Scoring & statistical learning methods; Option based models & KMV model; Ratings based models and Implied Default Probability
  2. Financial Management in Insurance companies; Insurance business model; Financial Statements, Profitability and solvency analysis
  3. Longevity-Linked Securities
  1. Identifying and quantifying mortality and longevity risks
  2. Determinist and stochastic mortality forecasting models; prospective life tables
  3. Longevity & mortality Indices: LifeMetrics (JP Morgan), XPECT ? CLUB VITA (Deutsche Bourse)
  4. Longevity & Mortality Bonds: contract structure, issuers, market structure; Valuation; Market price of longevity risk: Wang transform & Sharpe Ratio
  5. Mortality & Longevity Forwards: Q-Forwards, S-Forwards
  6. Longevity Swaps: Capital markets longevity swap; Insurance based longevity risk transfer (indemnification)
  7. Longevity Options: Floors & Caps; Survivors Swaptions; Pricing
  8. Structured contracts

Cursos

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