Financial Risks Analysis and Management

Knowledge of Mathematics of Finance.

Theoretical/Practical classes.

The main goals of this subject are:

– To discuss the different types of risk in the context of financial companies and non-financial companies.

– To develop the fundamental methods and techniques of analysis and management of interest rate, exchange rate and credit risks.

Then, at the end of the course, the students must be able to:

– identify the main risk determinants in companies;

– build mechanisms that allow the management of financial risks in companies.

1.            Introduction

What is risk

                Kinds of risk

                Hedging

2.            Interest rate risk analysis and management

Bonds evaluation

Duration and convexity

Yield curves

Interest rate risk management strategies

3.            Exchange rate risk analysis and management

Main concepts

Kinds and measures of exchange rate risk

Exchange rate risk management strategies

4.            Interest rate risk management strategies

Scoring and rating

                Univariate and multivariate discriminant analysis

                Logit and Probit models

NAO

Main references:

• ·
  • · Fabozzi, F. J. (2016), Bond Markets, Analysis and Strategies, 9^th edition, Prentice Hall.
  • ·Pinho, C., Valente R., Madaleno, M. & Vieira, E. (2019). Risco financeiro – medida e gestão. Lisboa: Edições Sílabo.
  • · Quelhas, A. P. (2022). Mercado de Obrigações. Coimbra: Editora d’Ideias.
  • · Saunders, A. Cornett, M. M. (2017), Financial Institutions Management: A Risk Management

  Approach, 9^th edition, McGraw-Hill.

              · World Economic Forum (2022). The Global Risks Report, 17^th edition, WEF.

Additional references:

• · Altman, E. I., Hotchkiss, E. & Wang. W. (2019), Corporate Financial Distress and Bankruptcy, 4^th edition, Wiley.
• · Eiteman, D. K., Stonehill, A. I. & Moffett, M. H. (2015), Multinational Business Finance, 14^th

edition, Pearson Education.