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Teaching Methodologies and Assessment Criteria |
The lectures of this UC are theoretical and practical. In each chapter, in the first phase, the theoretical contents are taught with the support of various materials available on the Moodle platform. Then, in each chapter, the various risk measures and the corresponding calculation methodologies are presented and applied empirically to real data using Excel, or other calculation software considered appropriate. Additionally, students are asked to solve various tasks in Excel through which they will have to calculate some risk measures of a portfolio of assets (VaR and expected shortfall) using real data. Classes are planned so that the student has to do a search for scientific articles related to the application of the various methods of calculating risk measures, after which the student can do a final written work.
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Main Bibliography |
Bessis, Joel (2015), Risk Management in Banking, 4th edition, Wiley
Crouhy, Michel; Galai, Dan e Robert Mark (2014), The Essentials of Risk Management, McGraw-Hill, 2nd Editions
Hull, John C. (2012), Options, futures, and other derivatives, Prentice Hall
Hull, John C. (2018), Risk Management and Financial Institutions, 5th edition, Wiley
Jorion, Philippe (2011), Financial Risk Manager Handbook, Wiley Finance
Jorion, Philippe (2007), Value at Risk. The New Benchmark for Managing Financial Risk, McGraw-Hill
Pinho, Carlos; Ricardo Valente; Mara Madaleno e Elisabete Vieira (2019), Risco Financeiro – medida e gestão, 2ª edição, Edições Sílabo
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