Português
| Teaching Year | Semester | Course Name | Degree(s) | Coordinator |
|---|---|---|---|---|
| 2025/2026 | 2º | Risk Management | Master Degree in Finance; | Yes |
| 2025/2026 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2025/2026 | 1º | Investments and Financial Markets | Bachelor Degree in Computer Science and Business Management; | Yes |
| 2025/2026 | 1º | Financial Options | Master Degree in Finance; | Yes |
| 2024/2025 | 2º | Risk Management | Master Degree in Finance; | Yes |
| 2024/2025 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2024/2025 | 1º | Investments and Financial Markets | Bachelor Degree in Computer Science and Business Management; | Yes |
| 2024/2025 | 1º | Financial Options | Master Degree in Finance; | Yes |
| 2023/2024 | 2º | Risk Management | Master Degree in Finance; | Yes |
| 2023/2024 | 2º | Investments | Bachelor Degree in Management; | Yes |
| 2023/2024 | 1º | Investments and Financial Markets | Bachelor Degree in Computer Science and Business Management; | Yes |
| 2023/2024 | 1º | Financial Options | Master Degree in Finance; | Yes |
| 2022/2023 | 2º | Risk Management | Master Degree in Finance; | Yes |
| 2022/2023 | 2º | Investments | Bachelor Degree in Management; | No |
| 2022/2023 | 1º | Investments and Financial Markets | Bachelor Degree in Computer Science and Business Management; | Yes |
| 2022/2023 | 1º | Financial Options | Master Degree in Finance; | Yes |
| 2021/2022 | 2º | Risk Management | Master Degree in Finance; | Yes |
| 2021/2022 | 2º | Investments | Bachelor Degree in Management; | No |
| 2021/2022 | 1º | Investments and Financial Markets | -- | Yes |
| 2021/2022 | 1º | Financial Options | Master Degree in Finance; | Yes |
| 2020/2021 | 2º | Risk Management | -- | Yes |
| 2020/2021 | 2º | Investments | Bachelor Degree in Management; | No |
| 2020/2021 | 1º | Investments and Financial Markets | -- | Yes |
| 2020/2021 | 1º | Financial Options | Master Degree in Finance; | Yes |
| 2019/2020 | 2º | Risk Management | -- | Yes |
| 2019/2020 | 2º | Investments | Bachelor Degree in Management; | No |
| 2019/2020 | 1º | Financial Management II | -- | Yes |
| 2019/2020 | 1º | Financial Options | Master Degree in Finance; | Yes |
Teaching Activities
Supervisions
Ph.D. Thesis (1)
Concluded (1)
| Student Name | Title/Topic | Language | Institution | Initial Year | Concluding Year |
|---|---|---|---|---|---|
| Susana de Jesus Morais Queiroga Ferreira Amaral | Saúde, espiritualidade e sentido: produção de cuidados em contexto hospitalar | Portuguese | Iscte | 2009 | 2013 |
M.Sc. Dissertations (40)
Ongoing (13)
| Student Name | Title/Topic | Language | Status | Institution | Initial Year |
|---|---|---|---|---|---|
| Rodrigo Filipe Garcia Brás | How does the confidence level influence the performance of VaR models in large, diversified portfolios? | Developing | Iscte | 2025 | |
| Daniel Filipe Mano Augusto | What is the impact of Equity Mapping Choices on Portfolio VAR and Hedging Efficiency? A Comparative Backtesting Approach | Developing | Iscte | 2025 | |
| Amanpreet Singh | Implementation of a Trading Strategy Using Value at Risk for Portfolio Management | Developing | Iscte | 2025 | |
| Guilherme Martinho Luzio | Controlling Risk Concentration: A Strategy for Capping Marginal VaR Contributions in a Portfolio | Developing | Iscte | 2025 | |
| Rodrigo Filipe Raposo Mendes | Backtesting VaR Models in Cross-Asset Portfolios: A Comparative Analysis During Periods of Stress | Developing | Iscte | 2025 | |
| Manuel Falcão Hermenegildo Droguete Ferreira | Harnessing Volatility: The Mechanics of an Active VaR-Targeted Hedging Strategy | Developing | Iscte | 2025 | |
| Guilherme Pereira Ramos | An Empirical Evaluation of Adaptive Versus Static Value-atRisk Modeling | Developing | Iscte | 2025 | |
| Diogo Miguel Antunes José | Value-at-Risk in Practice: Risk Control and VaR-Target Hedging for Stock and Bonds Portfolios | Developing | Iscte | 2025 | |
| Henrique Jorge de Novais Coelho | A Comparative Study of VaR Models on a Static Portfolio: Exceedances and RORAC Analysis | Developing | Iscte | 2025 | |
| Diogo Alexandre Jerónimo Gordicho | Value-at-Risk Estimation and Risk Management: Evidence from a Multi-Asset Portfolio | Developing | Iscte | 2025 | |
| Tiago Loução Pinto Rocharte | Value-at-Risk Across Significance Levels: Backtesting Evidence from a Static Multi-Asset Portfolio | Developing | Iscte | 2025 | |
| Tomás Santamaria Medeiros Ribeiro de Oliveira | Emerging Markets in Portfolio Risk Management | Developing | Iscte | 2025 | |
| José Paulo Gil Pinto | Testing Portfolio Robustness in Adverse Environments: A Value at Risk Study of Aerospace & Defense versus Diversified Equity Portfolios | Developing | Iscte | 2025 |
Concluded (27)
| Student Name | Title/Topic | Language | Institution | Initial Year | Concluding Year |
|---|---|---|---|---|---|
| Iara Nuno Silva | Measuring and managing the Value-at-Risk of a stocks and bonds portfolio | English | Iscte | 2024 | 2025 |
| Filipa Daniela Ferragatão Branco | Assessing and managing Value-at-Risk in a diversified portfolio | English | Iscte | 2024 | 2025 |
| João Rodrigues do Rosário | Risk Assessment and Management of a portfolio Value-at-Risk | English | Iscte | 2024 | 2025 |
| João Pedro Gomes Bispo | Measuring and managing Value-at-Risk in stock and bond portfolios: a comparative analysis of VaR models | English | Iscte | 2024 | 2025 |
| Ricardo Filipe Marques Gomes da Silva | Portfolio Risk Dynamics: Managing Value-at-Risk Across Stocks and Bonds | English | Iscte | 2024 | 2025 |
| Pedro Afonso Lage Teixeira | Analysis and management of a portfolio risk and performance using Value-at-Risk | English | Iscte | 2025 | 2025 |
| Obiora Celestine Chikodili | Measuring and managing the Value-at-Risk of a stocks and bonds portfolio | English | Iscte | 2024 | 2025 |
| Mariana da Cunha Barreira | Dynamic hedging and risk management: a Value-at-Risk analysis in a diversified portfolio | English | Iscte | 2025 | 2025 |
| Daniela Marly Gonçalves | Portfolio Risk Management through Value at Risk: An empirical study of Stocks and Bonds | English | Iscte | 2024 | 2025 |
| Margarida Silva Fialho | Portfolio Risk Management Through Value-at-Risk (VaR) Measurement | English | Iscte | 2024 | 2025 |
| Beatriz de Jesus Mendes Martins | Analyzing and managing portfolio risk and performance using Value-at-Risk | English | Iscte | 2024 | 2024 |
| Henrique Manuel Gonçalves Barbeito Costa | Can we improve the accuracy of Value-at-risk models by taking into account liquidity risk? | English | Iscte | 2024 | 2024 |
| Radu Cebotari | Measuring and managing the Value-at-Risk of a stocks and bonds portfolio | English | Iscte | 2023 | 2023 |
| Daniel Filipe Miguel Soares | Impact of a Pandemic and Its Management on Market Risk: Value-at-Risk Analysis | English | Iscte | 2022 | 2022 |
| Lúcia Gonçalves Nunes | Impact of cash flow mapping on VaR calculation of bond portfolios | English | Iscte | 2022 | 2022 |
| Rafael Manuel Vaz Lima | Can we improve the accuracy of the Value-at-Risk with asymmetric and long memory GARCH models? | English | Iscte | 2021 | 2021 |
| Diogo Filipe Meireles Gomes | A comparative evaluation of VaR models using Monte Carlo simulations | English | Iscte | 2019 | 2020 |
| Bárbara Mendes Ferreira | The effects of systemic risk in Portugal: a CoVaR approach | English | Iscte | 2017 | 2020 |
| Teresa Silva Galhardo Dutra Jónatas | Measuring Systemic Risk in the Southeast Asian Banking System: A CoVaR Approach | English | Iscte | 2019 | 2020 |
| Guilherme Sousa Falcão Duarte Banhudo | Adaptive Value-at-Risk Policy Optimization: A Reinforcement Learning Approach for Minimizing the Capital Charge | English | Iscte | 2018 | 2019 |
| Vladimir Krecmer | Implied volatility: Can we improve VaR models? | English | Iscte | 2017 | 2018 |
| Tomé Domingos Gomes | Speculation-hedging activity in Futures Markets, relation with volatility and cause effects. | English | Iscte | 2018 | 2018 |
| Ricardo João da Silva Gouveia | Saddle-point approach: backtesting VaR models in the presence of extreme losses | English | Iscte | 2017 | 2018 |
| Mário Rui dos Santos Seixas | Optimal Value-at-Risk Policy: A model for minimizing the daily capital charge | English | Iscte | 2015 | 2016 |
| Telma Catarina Martins Gonçalves | A Liquidez do Mercado Acionista Antecipa o Ciclo Económico na Europa? | Portuguese | Iscte | 2011 | 2015 |
| Li Zongyuan | Does Contagion Really Matter? Real role of Greece in the sovereign bond crisis. | English | Iscte | 2014 | 2015 |
| Ricardo Noutel de Matos Correia | Can Reversal be Explained by Post-Earnings Announcement Drift or Momentum? | English | Iscte | 2011 | 2012 |
M.Sc. Final Projects (3)
Concluded (3)
| Student Name | Title/Topic | Language | Institution | Initial Year | Concluding Year |
|---|---|---|---|---|---|
| Joana da Silva Espinheira | Value-at-Risk: measure and manage VaR in a portfolio composed of bonds and stocks | English | Iscte | 2024 | 2024 |
| André Rodrigues Seatra Camelo | Stochastic Evaluation of Deepwater Oil Prospects in Portugal using Monte Carlo Simulation | English | Iscte | 2012 | 2013 |
| Raquel Costa Carvalho Ruivo | Backtesting VaR Models - An application to Caixa Geral de Depósitos | English | Iscte | 2011 | 2012 |
