| Ementa/Descrição: |
Teoria do Risco, Atuarial Risk, Volatilidades, Transmissão de volatilidades e Contágio. Modelos de Previsão de Volatilidades, Value-at-risk, Averge VAR, Conditional VAR, Downside Risk, Expected Shortfall Risk, Expected Tail Loss, extreme Values, Density Forecast, Montearlo e ARCH/GARCH implementation. |
| Referências: |
1. JORION, Phillipe.Value at Risk– Nova fonte de referência para Gestão do Risco Financeiro. São Paulo: BM&F, 2004, Ed. 2, 487 p. 4-5
2. Crockford, Neil (1986). An Introduction to Risk Management (2nd ed.). Woodhead-Faulkner. ISBN 0-85941-332-2.
3. Charles, Tapiero (2004). Risk and Financial Management: Mathematical and Computational Methods. John Wiley & Son. ISBN 0-470-84908-8.
4. Klugman, S., Panjer, H. and Willmot, G. , Loss Models , Third Edition. John Wiley & Sons., 2008
5. McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul (2005), Quantitative Risk Management. Concepts, Techniques and Tools, Princeton Series in Finance, Princeton, NJ: Princeton University Press, ISBN 0-691-12255-5, MR 2175089, Zbl 1089.91037
6. Carlo Acerbi; Dirk Tasche (2002). "Expected Shortfall: a natural coherent alternative to Value at Risk" (pdf). Economic Notes 31: 379–388. doi:10.1111/1468-0300.00091. RetrievedApril 25, 2012.
7. Föllmer, H.; Schied, A. (2008). "Convex and coherent risk measures" Retrieved October 4, 2011.
8. Julia L. Wirch; Mary R. Hardy. "Distortion Risk Measures: Coherence and Stochastic Dominance" (pdf). Retrieved March 10, 2012.
9. Balbás, A.; Garrido, J.; Mayoral, S. (2008). "Properties of Distortion Risk Measures". Methodology and Computing in Applied Probability 11 (3): 385. doi:10.1007/s11009-008-9089-z.
10. Detlefsen, Kai; Scandolo, Giacomo (2005). "Conditional and dynamic convex risk measures" . Finance Stoch. 9 (4): 539–561. doi:10.1007/s00780-005-0159-6. Retrieved October 11, 2011
11. Acciaio, Beatrice; Penner, Irina (2011). "Dynamic convex risk measures" Retrieved October 11, 2011.
12. Cheridito, Patrick; Kupper, Michael (May 2010). "Composition of time-consistent dynamic monetary risk measures in discrete time" International Journal of Theoretical and Applied Finance. Retrieved February 4, 2011.
13. Embrechts P., Kluppelberg C. and Mikosch T., Modelling Extremal Events for Insurance and Finance. Springer (1997).
14. Jump up^ Novak S.Y., Extreme value methods with applications to finance. Chapman & Hall/CRC Press (2011). ISBN 978-1-4398-3574-6
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