Risk Management

Code: GES10956M

6 ECTS

Duration: 15 weeks/156 hours

Scientific Area: Management

Teaching languages: Portuguese

Languages of tutoring support: Portuguese

Presentation

In this UC, the main topics are related to financial risks: market risk, credit risk, liquidity risk and operational risk. VaR will be a key tool.

Sustainable Development Goals

Educação de qualidade - Assegurar a educação inclusiva, e equitativa e de qualidade, e promover oportunidades de aprendizagem ao longo da vida para todos.

Learning Goals

In the Risk Management discipline, the main topics related to financial risks are studied: market risk, credit risk, liquidity risk, and operational risk. It is intended to alert the student to the importance of investing in financial markets and analyzing portfolio management models. In this context, the focus is given to the study of Financial Risk. Market risk analysis is carried out mainly through the Value at Risk (VaR) and the CAPM and APT models.

1. Financial Risk: market, credit, liquidity and operational
2.Risk Management: Value at Risk (VaR), Estimation of VaR: delta-normal (RiskMetrics), Monte Carlo simulation
3. Credit Risk: Credit scoring models; Option-based models e KMV model; Credit Value at Risk: CreditMetrics
4. Contingencial Risk

Teaching Methods

This curricular unit will be used the following methodologies:
- Theoretical-practical lectures;
- Indication of the readings that the students will use for preparation of its study at the level of basic bibliography;
- Resolution and discussion of cases in room;
- Accomplishment of a work group, that consists in picks up of inform related with risk management themes to present in the class. This work has as objective take the students to read scientific papers and make research work;
Use of the platform of e-learning in way to establish a more significant contact and interactivity with the students.

Assessment

The evaluation includes a group project (maximum 4 students), of which the ponderation is 30%, and a written test to accomplish individually, it will cover the whole matter of the discipline, a ponderation of 70%. The student that opts for the final evaluation regime will have to accomplish
a written final test with all topics, with a ponderation of 100%.