Market Risk and Credit Risk


Risk is closely related with profitability. This curricular unit presents risk measures, both in financial and in credit markets, along with the discussion of methodologies for their quantification, including scoring, rating and prediction of bankruptcy. Stress tests are also addressed and the analysis of pension funds is carried out resorting, in particular, to actuarial and risk assessment models.


  1. Risk measures
  2. Extreme values
  3. Volatility and Correlation
  4. VaR
  5. Credit risk: scoring, default, rating
  6. Interest rate risk
  7. Stress testing
  8. Basel II
  9. Pension Funds: Allocation and Capitalization Systems, Pension Plans and Funds Concepts, Actuarial Valuation - Projected Unit Credit Method, Functioning of the Pension Plan and Funds, ALM Risk Measurement


  • Duffie, D. and Singleton, K., Credit Risk: Pricing, Measurement, and Management, Princeton University Press, 2003.
  • Gourieroux, C. and Jasiak, J., The Econometrics of Individual Risk: Credit, Insurance, and Marketing, Princeton University Press, 2007.
  • Hull, J., Options, Futures, and Other Derivatives, Prentice Hall, 2015.
  • Hull, J., Risk Management and Financial Inst