Risk Management
Code
2225
Academic unit
null
Department
null
Credits
null
Teacher in charge
Afonso Eça
Teaching language
Objectives
This course is designed to train the students in evaluating and managing financial risk. The course deals mainly with market risk.
Prerequisites
Subject matter
1. Definition of Value at Risk (Jorion Ch. 1, 2)
2. Estimating Value at Risk: historical and parametric distributions (Jorion Ch. 4, 5)
3. Backtesting and Basel regulatory capital (Jorion Ch. 3, 6)
4. Value at Risk of financial instruments: stocks, bonds and derivatives (Jorion Ch. 7, 8, 11)
5. RiskMetrics approach (Jorion Ch. 10)
6. Simulation methods: historical and Monte Carlo (Jorion Ch. 10, 12)
7. Beyond Var: stress testing, conditional Value at Risk (Jorion Ch. 4, 14)
8. Estimating volatility and correlations (Jorion Ch. 9)
Bibliography
Teaching method
Evaluation method