Gestão de Risco

Objectivos

NA

Caracterização geral

Código

100064

Créditos

6.0

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

1.Foundations of risk management
The nature of risk; Basic risk types, measurement and management tools, Creating value with risk management, The role of risk management in corporate governance, Enterprise Risk Management (ERM), Financial disasters and risk management failures
2.Portfolio Theory
Risk Measurement and Metrics; Risk and return; Attitudes toward Risks; Portfolio theory and diversification; Efficient frontier; Choice under Uncertainty: Expected Utility Theory; The Capital Asset Pricing Model (CAPM); Risk-adjusted performance measurement; Multi-factor models
3.Financial Markets and Products
Structure and mechanics of OTC and exchange markets; Equity, Currency, and Commodity Markets; Bonds and other Fixed-Income Securities; Interest rate risk measuring and managing; Introduction to derivative securities: payoff structure, mechanics, and valuation of forwards, futures, swaps and options; Foreign exchange risk; Rating agencies
4.Market Risk Measurement and Management
Value-at-Risk (VaR); Expected shortfall (ES) and other coherent risk measures; Extreme value theory (EVT)
5.Credit Risk Measurement and Management
6.Risk management and Insurance
7.Valuation and risk models
8.Introduction to Operational and Integrated Risk Management

Bibliografia

Jorion, F. (2011). Financial Risk Manager Handbook (6th Ed), John Wiley & Sons; Bessis, J. (2010). Risk Management in Banking, 3rd Edition. John Wiley & Sons.; Rejda, George (2011). Principles of Risk Management and Insurance, 11/E. Prentice Hall; Hull, J. (2003). Fundamentals of Futures and Options Markets, 8th Edition. Prentice Hall.; Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, William N. Goetzmann (2014), Modern Portfolio Theory and Investment Analysis, 9th Edition, John Wiley & Sons, New York.

Método de ensino

1st Season
-Group Assignments (40% of final grade)
-Individual final written exam (60% of final grade, with a minimum grade of 9/20)

2nd Season
-Group Work Assignments (30% of final grade)
-Individual final exam (70% of final grade, with a minimum grade of 9/20)
 

Método de avaliação

N/A

Conteúdo

Métodos activos e dedutivos de exposição. Resolução de casos recorrendo frequentemente ao EXCEL.
Projecção de slides em Power Point/LaTex e demonstração de software específico.