Caracterização geral

Pré-requisitos

None

Bibliografia

MAIN

1. Bessis, J. (2015). Risk Management in Banking, 4th Edition. John Wiley & Sons.
2. Martellini, L., Priaulet, P. and Priaulet, S. (2003). Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies. John Wiley & Sons.
3. Rejda, George (2016). Principles of Risk Management and Insurance, 13/E. Prentice Hall

AUXILIARY

4. Ashofteh, A., & Bravo, J. M. (2021). A conservative approach for online credit scoring. Expert Systems with Applications, 176, 114835. https://doi.org/10.1016/j.eswa.2021.114835
5. Ashofteh, A., & Bravo, J. M. (2021). Life Table Forecasting in COVID-19 Times: An Ensemble Learning Approach. 2021 16th Iberian Conference on Information Systems and Technologies (CISTI), 2021, pp. 1-6,https://ieeexplore.ieee.org/document/9476583  
6. Ashofteh, A., Bravo, J. M., & Ayuso, M. (2022). An Ensemble Learning Strategy for Panel Time Series Forecasting of Excess Mortality During the COVID-19 Pandemic. Applied Soft Computing, 128(October), 1-17. Https://doi.org/10.1016/j.asoc.2022.109422
7. Ashofteh, Afshin; M. Bravo, Jorge (2021). Spark Code: A Novel Conservative Approach for Online Credit Scoring [Source Code]. Codeocean. https://doi.org/10.24433/CO.1963899.V1
8. Bowers, N., Gerber, H., Hickman, J., Jones, D. and Nesbitt, C. (1997). Actuarial Mathematics. 2nd edition Society of Actuaries.
9. Bravo, J. M. (2001). Interest Rate Risk Models: Coverage and Immunization Strategies. Master's thesis in Monetary and Financial Economics, ISEG-UTL.
10. Caiado, J. and Caiado, A. A. (2009). Management of Financial Institutions. 2nd Edition, Syllable Editions
11. Choudhry, M. (2012). The Principles of Banking. John Wiley & Sounds Singapore Pte.
12. Dermine, J. (2015). Bank Valuation and Value-Based Management: Deposit and Loan Pricing, Performance Evaluation. 2nd edition, McGraw-Hill.
13. Flavell, R. (2010). Swaps and other Derivatives. 2nd Edition, John Wiley & Sons.
14. Freixas, Xavier and Rochet, Jean-Charles (2008). Microeconomics of Banking. MIT Press, 2nd Edition, New York.
15. Garcia, J. and Simões, O. (2010). Actuarial Mathematics Life and Pensions. Almedina Editors.
16. Hardy, M., Dickson, D., and Waters, H. (2011). Actuarial mathematics for life contingent risks. Cambridge University Press, New York
17. Kaas, R., Goovaerts, M., Dhaene, J., Denuit, M. (2010). Modern Actuarial Risk Theory Using R. 2nd ed, Springer.
18. Mishkin, F., Matthews, K., Giuliodori, M. (2013). The Economics of Money Banking and Financial Markets, European Edition, Pearson, London.
19. Olivieri, A. and Pitacco, E. (2015). Introduction to Insurance Mathematics: Technical and Financial Features of Risk Transfers, 2NdEdition. Springer.
20. Saunders, Anthony and Marcia Millon Cornett (2006). Financial Institutions Management - A Risk Management Approach. McGraw-Hill International Edition.
21. Bowers, N., Gerber, H., Hickman, J., Jones, D. and Nesbitt, C. (1997). Actuarial Mathematics. Society of Actuaries.

Método de ensino

The course will have theoretical and applied lessons. In the theoretical lessons, the instructor introduces and presents the different topics of the program. In the practical lessons, the instructor will provide examples and applications of the topics and invites the students to solve the exercises using the information they get from the theoretical lessons. The teaching method includes:

• Expositional and Questioning Method, Active Methods, Problem-Based Learning, Learning-by-doing, hands-on approach, and Case Studies.
• Investigation projects and practical applications. Knowledge development and learning capability.
  • Students must be active involved directly into learning process.
  • Students must follow the support materials in order to adapt and learn.
• Active contribution to activities:
  • delivering small tasks, assignments, and a final project.
  • answering the questions in our course discussion group and exchanging ideas.
  • reviewing and commenting on the recommended YouTube videos.
  • participating in the In-Class Quizzes.

Método de avaliação

Exam 1

• Group Project, activities & problem sets: 65%
• Individual Exam: 35% (minimum score 8/20)

 

Exam 2 & All other Extraordinary Exams

• Group Project, activities & problem sets: 65%
• Individual Exam: 35% (minimum score 8/20)

Conteúdo

LU1. Overview of the Financial System: Function of financial markets and intermediaries; financial markets and instruments.

LU2. The banking and insurance business models: active/passive banking operations, life/non-life insurance contracts, financial goals, risk factors, profitability, financial equilibrium analysis, risk management, regulatory capital, and strategic management.

LU3. Credit risk: Foundations for credit risk modeling, Estimation of default probabilities, Loan Pricing, Rating and Scoring systems, Structural approach to credit risk, Portfolio models, securitisation.

LU4. Asset-Liability Management (ALM); Measuring and managing interest rate risk - Yield curve: definition, estimation methods, interest rate risk measures, FRA's: pricing and hedging, Hedging and Immunization strategies.

LU5. Liquidity Risk Management: Analytic Overview, Asset Liquidity and Funding Needs, Funding Strategy, Governance and Supervision.

LU6. Life insurance contracts: Analysis and risk management - market overview, types of contracts and risks covered, subscription, reinsurance co-insurance, premium, and mathematical reserves calculation. Profitability analysis, managing mortality/longevity risks.

LU7. Non-Life Insurance operations: types of contracts, risks covered, risk assessment principles, risk measures, pricing, and reserving methods.

Cursos

Cursos onde a unidade curricular é leccionada: