Riscos de Mercado e de Crédito


This course covers topics related to risk management for different types of financial risks and instruments, with a particular focus on market risk and credit risk. Topics such as regulatory capital and framework, minimum capital requirements, the computation of Value at Risk (VaR) for financial investments (equity, fixed income, derivatives) using parametric and non-parametric methods, historical simulation and Monte Carlo simulation techniques is pursued adopting a hands-on approach. Individual loan credit risk models (Credit-Scoring Models, Option based models, KMV, Ratings based models) and Credit Portfolio Models and Concentration Risk are discussed, including the computation of Default probability and rating migrations, the Recovery rate, Credit VaR. Regulatory models (Basel Committee) considering the Standard and Internal-ratings based approach are analyzed, together with the role of Credit Derivatives in credit risk management.

Caracterização geral





Professor responsável

Afshin Ashofteh


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




Método de ensino

Theory-practice lectures involving theory with applications, allowing for a deeper understanding of the concepts along with specific aspects of the data and methodological issues in Risk and Finance. A particularly important part of these lectures are the presentations, followed by respective discussion, of the students research works.

Método de avaliação

Exam 1

  • Group Work Assignments (50% of final grade)
  • Individual final written exam (50% of final grade, with a minimum grade of 8/20)


Exam 2

  • Group Work Assignments (35% of final grade)
  • Individual final written exam (65% of final grade, with a minimum grade of 8/20)


  1. Risk Management (Chapter 9 from Managing Investment Portfolios)
    1. Risk Management as a Process
    2. Risk Governance
    3. Identifying Risks
    4. Measuring Risk
    5. Managing Risk
  2. Introduction (Chapter 1 from Hull)
    1. Risk vs. Return for Investors
    2. The Efficient Frontier
    3. The Capital Asset Pricing Model
    4. Arbitrage Pricing Theory
    5. Risk vs. Return for Companies
    6. Risk Management for Financial Institutions
  3. Trading in Financial Markets
    1. Financial Markets
    2. Clearing Houses
    3. Short Selling
    4. Derivatives Markets
    5. Risks Facing Banks
    6. Risk Appetite
    7. Lines of Defense
    8. Risk managers challenges
  4. Volatility
    1. Volatility and Implied Volatility
    2. Are daily Changes in Financial Variables Normally distributed?
    3. Alternatives to Normal Distributions: The Power Law
    4. Standard Approach to Estimating Volatility
    5. Weighting Schemes
    6. Estimating the Parameters- Maximum likelihood Methods
    7. How good is the Model?
    8. Forecasting Future Volatility
  5. Value at Risk and Expected Shortfall
    1. Introduction
    2. VaR
    3. Expected Shortfall
    4. Normal Distribution Assumption
    5. Extensions
    6. Marginal, Incremental and Component Measures
    7. Back- Testing
    8. Bunching
  6. Market Risk VaR-Historical Simulation
    1. Introduction
    2. The Methodology of Historical Simulation
    3. Accuracy
    4. Extensions
    5. Computational Issues
    6. Extreme Value Theory
  7. Market Risk VaR- Model Building Approach
    1. The Basic Methodology
    2. Examples
    3. Generalization
    4. Handling Term Structures
    5. Extensions of the Basic Methodology
    6. Risk Weights and Weighted Sensitivities
    7. Handling non-Linearity
    8. Model Building vs. Historical simulation
  8. Managing Credit Risk
    1. Introduction of Credit Risk
    2. Managing Credit Risk
    3. Measuring Credit Risk
    4. Credit Crisis of 2008
  9. Estimating Default Probabilities
    1. Introduction
    2. Concepts
    3. Approaches to Estimating Default Probabilities (DP)
    4. Estimating DP Using Accounting Ratios
    5. Estimating DP Using Historical Data
    6. Estimating DP Using Credit Spreads
    7. Real Word vs Risk Neutral Probabilities
    8. Estimating DP using Equity Prices
  10. Credit Value at Risk
    1. Introduction
    2. Change
    3. Rating Transitions
    4. Credit VaR
    5. Credit Risk in the Trading Book. The Specific Risk Credit Risk in the Trading Book. Incremental Risk Change
    6. Constant Level of Risk Assumption
  11. Scenario Analysis and Stress Testing
    1. Introduction
    2. How to generate the Scenarios?
    3. What to do with the results?
    4. Subjective vs Objective Probability
  12. Prior market and credit risk cases
    1. Examples of market and credit risk cases that caused financial and nonfinancial losses to instituions.
  13. Financial Innovation
    1. Technical Advances
    2. Payment Systems
    3. Lending
    4. Wealth Management
    5. Insurance
    6. Regulation and Compliance
    7. How Should Financial Institutions Respond?
  14. Risk Management Mistakes to Avoid
    1. Introduction
    2. Mistakes to Avoid
    3. Lessons for non-financial Institutions
    4. A Final Point