Gestão de Risco

Código:

2MiF16

Sigla:

RMng

Áreas Científicas
Classificação	Área Científica
OFICIAL	Estudos de Gestão

Ocorrência: 2022/2023 - 1S

Ativa?	Sim
Curso/CE Responsável:	Mestrado em Finanças

Ciclos de Estudo/Cursos

Sigla	Nº de Estudantes	Plano de Estudos	Anos Curriculares	Créditos UCN	Créditos ECTS	Horas de Contacto	Horas Totais
MIF	38	Plano Oficial a partir de 2020-2021	2	-	3	21	81

Língua de trabalho

Inglês

Objetivos

The course aims to provide students with the knowledge needed to understand the usefulness of derivatives and other instruments of risk management both in the perspective of a firm and of a portfolio investor. Thus, the main required competences in this field are related to two themes: (i) the choice of the risk management tools that are more suitable to the objectives of the economic agents and (ii) the strategic choice to be made by the firms about their risk (hedging, letting the decision concerning the risk to the stakeholders or taking more risk).

The observation that risk management goes far beyond the hedging strategies is a key objective of the course of Risk Management.

Resultados de aprendizagem e competências

The risk management in the perspective both of the investor and of the companies require a deep understanding of its instruments and ways of measuring and managing risk.
We will be studying other instruments that can be used by investors and companies for risk management. The study of these instruments, particularly those that can be used in a business context, the so-called strategic risk taking, will help meet a key objective that the discipline set out to achieve.

Modo de trabalho

Presencial

Programa

 

1. Introduction to Risk

• Definition of risk
• Risk management
• Risk aversion vs. Risk loving

2. Risk-Adjusted Value

• Discounted cash flow approaches
• Post-valuation risk adjustment
• Relative valuation approaches

3. Other Risk Assessment Instruments

• Scenario analysis
• Decision trees
• Simulations
• Value-at-Risk (VaR)
• Real options

4. Risk and Value

• Hedging vs. risk taking
• Risk and firm value
• Firm characteristics and risk

5. Strategic Risk Management: Hedging

• Risk profile of the firm
• The impact of hedging
• Techniques and instruments for hedging
• Empirical evidence

6. Strategic Risk Management: Risk Taking

• How to explore risk
• Organizational factors in risk taking
• Empirical evidence
• Principles of risk management

Bibliografia Obrigatória

John Hull; Options, Futures, and Other Derivatives (10th Edition), Prentice Hall, 2018. ISBN: 978-0-13-447208-9
Damodaran Aswath; Strategic risk taking. ISBN: 978-0-13-704377-4

Métodos de ensino e atividades de aprendizagem

In addition to the exposure of the theoretical foundations of the field, the classes will be conducted in order to stimulate the debate of ideas and exchange experiences. Some topics will be illustrated with case studies. Work will be developed for practical application of the concepts of derivatives and risk management outside of scheduled contact hours.

Tipo de avaliação

Avaliação distribuída com exame final

Componentes de Avaliação

Designação	Peso (%)
Teste	70,00
Trabalho escrito	30,00
Total:	100,00

Componentes de Ocupação

Designação	Tempo (Horas)
Apresentação/discussão de um trabalho científico	8,50
Elaboração de projeto	26,00
Estudo autónomo	112,00
Frequência das aulas	56,00
Total:	202,50

Obtenção de frequência

 

Fórmula de cálculo da classificação final

The final grade will be computed with the following weights:

- Final exam: 70%

- Group project: 30% (groups of 4 students)

 

Minimum Grade for the final exam in continuous assessment: 60 points (out of 200 points).

Provas e trabalhos especiais

Group assignment: the subjects will be discussed in class.

There will be a presentation of the group assignment.

Avaliação especial (TE, DA, ...)

Final Exam.

Melhoria de classificação

Final Exam.