Riscos de Mercado e de Crédito

Caracterização geral

Pré-requisitos

None.

Bibliografia

Método de ensino

Problem-Based Learning, Learning-by-doing, and hands-on approach. Meaning

• Students must be actively involved directly in the learning process.
• Students must follow the support materials in order to adapt and learn.
  • Active contribution to activities:
    • delivering the small tasks and final project.
    • answering the questions in our course discussion group and exchanging ideas (Link)
    • reviewing and commenting on the recommended YouTube videos (Link)
  • Investigation projects and practical applications. Knowledge development and learning capability.

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.

Método de avaliação

The final grade will be a weighted average. Students can choose from the following three options:

Option A

• Term Project (if applicable), class activities, quizzes, exercises 50%
• Final exam  50%

Option B

• Final Exam   100%

The final exam will happen on the dates established by the school exams calendar.

The final grade will correspond to the highest of the two options mentioned above. A minimum grade of 10 points (from 20) in the final exam is required to pass the course. On the other hand, a grade equal to or higher than 18 points (from 20) has to be confirmed on an oral exam. Students are invited to actively participate in the theoretical and applied lessons. 

Conteúdo

• LU1: The instruments that financial institutions trade, how they trade, and the ways they are used; Financial Markets; Clearing Houses; Short Selling; Derivatives Markets: Risk manager's challenges
• LU2: Back Office Credit Aggregates and MFI interest rates (MIR)
  • Definition of credit in Balance Sheet Items (BSI)
  • Common credit aggregates
  • The scope and importance of MIR statistics
  • Historical developments
  • Relevant concepts
  • Calculation of average rates
  • Financial instruments and breakdowns
  • Changes in rates: “rate” and “structure” effects
  • Analysis of some MIR indicators
• LU3: Middle Office - Important concepts in risk management
  • Derivatives and the Crisis
  • Risks Faced by Financial Institutions
  • Model-Building Approach 
  • Risk-Return Trade-Offs
  • Volatility
  • Value at Risk (VaR)
• LU4: How to manage market risk, namely:
  • The procedures that can be used to monitor the volatility and the correlation of the market variables;
  • The main risk measures that summarize the total market risk in a portfolio;
  • The approaches for calculating the metrics for market risk
• LU5: Standards and Regulatory Requirements and Oversight Mechanisms (Basel Accords and MiFID-II)
  • Standards and Regulatory Requirements and Oversight Mechanisms
  • Financial Supervision and Regulation
  • Prudential regulations:
  • Basel I & II & III
  • European Financial Supervisory Structure
  • Behavior regulations:
  • Market Risk Management: Markets in Financial Instruments Directive (MiFID II)
  • Market Risk Management: Markets in Financial Instruments Regulation (MiFIR)
• LU6: Credit Risk Value at Risk – Credit Risk VaR 
  • Counterparty Credit Risk
  • Credit Default Swaps
  • Credit Spreads
  • External rating and Internal rating
  • Credit Risk Value at Risk – Credit Risk VaR
• LU7: Three topics closely related to market and credit risk:
  • Different approaches can be used to generate scenarios for stress testing;
  • How financial institutions are likely to be deeply impacted by rapid technological changes;
  • Mistakes to avoid when we deal with risk management.

Cursos

Cursos onde a unidade curricular é leccionada: