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Detalhe da Disciplina
Curso: Pós-Graduação em Mercados e Riscos Financeiros
Unidade curricular: Riscos de Mercado e de Crédito
Semestre: Primavera
Número de créditos: 7,5
Docentes: 
Número de horas de aula por semana: 2.10
Objetivos da unidade curricular:

This course has two main parts. The first covers the main concepts and techniques required to manage the risk of portfolios of credit-sensitive assets, such as corporate bonds or loans. We will also learn how to use credit derivatives to manage credit risk, focusing particularly on Credit Default Swaps. Finally, we will study more complex structures, such as Collateralized Debt Obligations, which were at the forefront of the financial crisis of 2008.

The second part consists on the study market and financial risk measurement. We will focus mainly on techniques for estimating Value at Risk (VaR) for a different set of financial instruments such as assets, bonds and some linear derivatives. Different approaches for estimating VaR will be studied, in particular Parametric and Non-Parametric VaR as well as Simulation. Stress Testing will also be evaluated.

The course is structured along the lines of the Financial Risk Manager (FRM®) Program Manual of the Global Association of Risk Professionals (GARP).

Requisitos de frequência:

NA

Língua de ensino: Português/Inglês

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