Gestão de Risco

Objectivos

This course focuses on the process by which risks are identified, assessed, measured, and managed in order to create economic value for businesses and society. Mastering the concepts underlying risk management in today's dynamic market environment gives you a holistic view of risk management. In today's world of rapid information flows, rising volatility, regulatory concerns and oversight, prudent management increasingly requires understanding, measuring and managing risk. Merged or individual banks, securities dealers, insurance companies and industrial firms with significant financing operations, all require enterprise-wide risk management that may span many operations across currencies and locations in real time. This course is designed to cover a wide range of fundamental risk management topics and to prepare you to think about and handle risk in an integrated and coherent manner. The course covers the fundamental tools and techniques used in risk management and the theories underlying their use, including the foundations of risk management, quantitative analysis, spot and derivative financial markets and products and valuation Models. It also discusses market, credit, and operational risk management and investment risk management issues. 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

Código

200069

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

Banking and Insurance Operations (recommended)
Financial Management (recommended)

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

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

Método de avaliação

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.

Conteúdo

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