1. Início
  2. NOVA Information Management School
  3. Licenciatura em Sistemas e Tecnologias de Informação
  4. Gestão de Risco

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. This process, known as the risk management process, has rapidly evolved in recent years to become an indispensable function in many institutions. 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. Risk management establishes standards for aggregating disparate information, gathering market data, calculating risk measures and creating timely reporting tools for management market, credit, and operational risks. This course covers quantitative methods, major financial products, as well as market, credit, operational, and integrated risk management. It also discusses investment risk management issues essential for risk professionals. The course is structured according to the Financial Risk Manager (FRM®) Program Manual of the Global Association of Risk Professionals (GARP).

Caracterização geral

Código

100064

Créditos

6.0

Professor responsável

Afshin Ashofteh

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

None.

Bibliografia

MAIN

  • Bodie, Z. Kane, A. and Marcus, A. (2014). Investments, 10/E. McGraw-Hill Education
  • Hull, J. (2014). Fundamentals of Futures and Options Markets, 8th Edition. Prentice Hall.
  • Jorion, F. (2011). Financial Risk Manager Handbook, 6/E, John Wiley & Sons.

AUXILIARY – Advance topics after the course.

  • Bessis, J. (2010). Risk Management in Banking, 3rd Edition. John Wiley & Sons.
  • 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.
  • Rejda, George (2011). Principles of Risk Management and Insurance, 11/E. Prentice Hall
  • Fabozzi, F. J. (2012), Bond Markets, Analysis and Strategies, 8th Edition, Pearson.
  • 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  ,
  • 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

Método de ensino

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

  • Students must be active involved directly into learning process.
  • Students must follow the support materials in order to adapt and learn.
    • Active contribution in activities:
      • delivering the small tasks and final project.
      • answering the questions in our course discussion group and exchanging the ideas (Link)
      • reviewing and commenting 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.

Exam 1

  • Quizzes, Exercises and Class activities: 40% of final grade
  • Individual final written exam: 60% of final grade, with a minimum grade of 10/20

Exam 2

  • Quizzes, Exercises and Class activities: 30% of final grade
  • Individual final written exam: 70% of final grade, with a minimum grade of 10/20

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

Conteúdo

LU1. 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

LU2. 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

LU3. 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

LU4. Market Risk Measurement and Management

Value-at-Risk (VaR); Expected shortfall (ES) and other coherent risk measures; Extreme value theory (EVT)

LU5. Credit Risk Measurement and Management

LU6. Risk management and Insurance

LU7. Valuation and risk models

LU8. Introduction to Operational and Integrated Risk Management