Riscos de Mercado e de Crédito


This course has two main parts. The first covers the main concepts and techniques required to manage the risk of portfolios of credit-sensitive assets, such as corporate bonds or loans. We will also learn how to use credit derivatives to manage credit risk, focusing particularly on Credit Default Swaps. Finally, we will study more complex structures, such as Collateralized Debt Obligations, which were at the forefront of the financial crisis of 2008.

The second part consists on the study market and financial risk measurement. We will focus mainly on techniques for estimating Value at Risk (VaR) for a different set of financial instruments such as assets, bonds and some linear derivatives. Different approaches for estimating VaR will be studied, in particular Parametric and Non-Parametric VaR as well as Simulation. Stress Testing will also be evaluated.

The course is structured along the lines of the Financial Risk Manager (FRM®) Program Manual of the Global Association of Risk Professionals (GARP).

Caracterização geral





Professor responsável

Gracinda Rita Diogo Guerreiro


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




  1. Lando, D. (2004). Credit Risk Modeling: Theory and Applications, Princeton University Press.
  2. Smithson, C. (2003). Credit Portfolio Management, Wiley.
  3. CreditMetrics - Technical Document, JP Morgan, 1997.
  4. Chaplin (2010). Credit Derivatives, Wiley.
  5. Schönbucher, P.J. (2003). Credit Derivatives Pricing Models: Models, Pricing and Implementation, Wiley.
  6. Dowd, K. (2002). An Introduction to Market Risk Measurement. John Wiley & Sons.
  7. Dowd, K. (2007). Measuring Market Risk, 2nd Ed., John Wiley & Sons.
  8. Alexander, C. (2001). Market Models: A Guide to Financial Data Analysis. John Wiley & Sons.
  9. Alexander, C. (2009). Market Risk Analysis, Value at Risk Models. John Wiley & Sons.

Método de ensino

The course will be based on 15 lectures, 2 per week. During classes, real-life examples based on traded products and on financial data collected from the Bloomberg system will be presented. A wide variety of teaching methodologies will be employed, including theoretical expositions, problem solving activities, and open class discussions.

Método de avaliação



  1. Credit risk
    1. Foundations for credit risk modelling
    2. Estimation of default probabilities
      1. Agency credit ratings
      2. Credit scoring and internal rating models
    3. Structural approach to credit risk
      1. Merton’s model
      2. Moody’s-KMV model
    4. Portfolio models
      1. Credit migration approach (CreditMetrics)
    5. Valuing defaultable bonds
      1. Credit spreads
      2. Risk-neutral pricing
    6. Credit derivatives
      1. Credit default swaps
      2. Credit spread options
      3. Total return swaps
      4. Credit-linked notes
    7.  Collateralized Debt Obligations
    8. First passage time approach to credit risk
      1. Hitting times
      2. The Black and Cox model and its generalizations
      3. CreditGrades model
  2. Market risk
    1. Risk and Risks
      1. Definition of Risk
      2. Types of Risk
      3. Regulatory Framework
      4. Financial Risk and Market Risk
      5. Capital Requirements
    2. Value at Risk (VaR)
      1. VaR for general distributions
      2. VaR for parametric distributions
    3. Methods for estimating VaR
      1. Local Valuation (Delta-Normal)
      2. Full Valuation (Historical Simulation and Monte Carlo Simulation)
      3. Examples
    4. Stress Testing


Cursos onde a unidade curricular é leccionada: