Gestão de Risco
Objetivos
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
Hull, J. (2018). Options, Futures, and Other Derivatives (10th Edition). New York: Pearson Prentice Hall.
Jorion, F. (2011). Financial Risk Manager Handbook (6th Ed), John Wiley & Sons.
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
- Group Assignement (100% of final grade)
Exam # 2 & All Extraordinary Exams
- Individual written Exam (100% of final grade)
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
Cursos
Cursos onde a unidade curricular é leccionada:
- Análise e Gestão de Informação
- Análise e Gestão de Risco
- Especialização em Gestão do Conhecimento e Business Intelligence (Inteligência de Negócio)
- Especialização em Gestão dos Sistemas e Tecnologias de Informação
- Especialização em Marketing Intelligence
- Especialização em Marketing Research e CRM
- Laboral - Especialização em Gestão do Conhecimento e Business Intelligence
- Laboral - Especialização em Gestão dos Sistemas e Tecnologias de Informação
- Laboral - Especialização em Marketing Intelligence
- Pós-Graduação em Análise e Gestão de Informação
- Pós-Graduação em Análise e Gestão de Risco
- Pós-Graduação em Cidades Inteligentes (Smart Cities)
- Pós-Graduação em Digital Enterprise Management
- Pós-Graduação em Gestão de Informação e Business Intelligence na Saúde
- Pós-Graduação em Gestão do Conhecimento e Business Intelligence (Inteligência de Negócio)
- Pós-Graduação em Gestão dos Sistemas e Tecnologias de Informação
- Pós-Graduação em Sistemas de Informação Empresariais