Análise de Risco

Gestão e Administração Bancária (Pós-Laboral)
5 ECTS; 3º Ano, 2º Semestre, 30,0 T + 30,0 P

Lecturer

Prerequisites
Not applicable.

Objectives
The students should familiarise themselves with the essential tools for pricing and analysis and management of the risk resulting from market positioning as well as a set of rules to deal with uncertainty and risk.

Program
I - Financial Markets, II - Binomial trees, III - Tree models for stocks and options, IV - Black-Sholes model, V - The Greek Letters, VI - Credit Risk

Evaluation Methodology
Final Exam.

Bibliography
- Capinski, M. (2003). An Introduction to Financial Engineering. Springer: Springer
- Neftci, S. (2008). Principles of Financial Engineering. Academic Press: Academic Press
- Stampfli, J. e Goodman, V. (2009). The Matehmatics of Finance. AMS: American Mathematical Society

Method of interaction
Theoretical and laboratory classes.

Software used in class
MS-Excel