Risk Management

Code	15520
Year	1
Semester	S1
ECTS Credits	6
Workload	OT(15H)/TP(30H)
Scientific area	Finances
Entry requirements	-
Learning outcomes	The objective of the UC is to provide students with knowledge about the different types of financial risks that organizations face, with a special focus on market and liquidity risks. It is also intended to provide students with financial risk management methods, from a conceptual but also practical point of view, allowing them to acquire skills in order to understand, analyze and apply the methods that allow them to mitigate and properly manage the risks that organizations face.
Syllabus	1. Foundations of Financial Risk Management 2. Hedging Risks 3. Value at Risk (VaR) I 4. Value at Risk II 5. Liquidity risk 6. Asset and Liability Risk Management I 7. Asset and Liability Risk Management II
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
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.
Language	Portuguese. Tutorial support is available in English.