Gestão de Risco

Caracterização geral

Pré-requisitos

1.         Derivatives and risk management

2.         Forward contracts

Currency and Forward interest rate contracts (FRA); Taxonomy and markets; Pricing, Risk management and speculation;

3.         Futures contracts

Characterization, participants and market organization; Pricing; Risk management and speculation

4.         Swaps

Interest rate swaps (IRS): Characterization; Pricing; Risk management; Rate management (fixed vs. floating); Cross-Currency Swaps: pricing and risk management;

5.         Financial Options

Option valuation models: Binomial trees, Black-Scholes-Merton model, numerical methods; Exotic options; Hedging and Speculative strategies; Structured Products; Asset Liability Management (ALM)

6.         Mortality/Longevity Risk Measurement and Management

Stochastic mortality models; Insurance & Capital Market Solutions for longevity and mortality risk; Longevity & Mortality Bonds; Q-Forwards, S-Forwards; Longevity Swaps & Longevity Options

7.         Credit Risk Measurement and Management

Credit derivatives, Credit Default Swaps (CDS): pricing and risk management Structured finance and securitization

Bibliografia

Jorion, F. (2011). Financial Risk Manager Handbook (6th Ed), John Wiley & Sons.

Hull, J. (2014). Options, Futures, and Other Derivatives (9th Edition). New York: Pearson Prentice Hall.

Dowd, K. (2005). Measuring Market Risk. 2nd Edition. Wiley.; Chan, N., Wong, H. (2013). Handbook of Financial Risk Management Simulations and Case Studies. John Wiley & Sons, New York.

Bessis, J. (2010). Risk Management in Banking, 3rd Edition. John Wiley & Sons.

DATA SCIENCE TOOLS

DataCamp: www.datacamp.com

Método de ensino

Exam #1

• Option 1: Individual written Exam (100% of final grade, with a minimum grade of 8/20)
• Option 2:
  • Individual written Exam (40% of final grade, with a minimum grade of 8/20)
  • Group Assignments (60% of final grade)

 

Exam # 2 & All Extraordinary Exams

• Option 1: Individual written Exam (100% of final grade, with a minimum grade of 8/20)
• Option 2:
  • Individual written Exam (60% of final grade, with a minimum grade of 8/20)
  • Group Assignments (40% of final grade)

 

WARNING: Students that deliver a group project for evaluation are automatically assumed to have selected Evaluation Option 2 in all evaluation seasons and will not be allowed to change afterwards.

Método de avaliação

N/A

Conteúdo

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

Cursos

Cursos onde a unidade curricular é leccionada: