Riscos de Mercado e de Crédito

Objectivos

NA

Caracterização geral

Código

400064

Créditos

7.5

Professor responsável

José Carlos Gonçalves Dias

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

  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

Bibliografia

  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

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Método de avaliação

Português. Em caso de existirem alunos ou professores estrangeiros, as aulas serão dadas em Inglês. 

Conteúdo

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.

Cursos

Cursos onde a unidade curricular é leccionada: