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Advisor(s)
Abstract(s)
O presente trabalho foi elaborado através da modalidade de projeto final de conclusão do Mestrado de
Matemática Aplicada à Economia e Gestão da Faculdade de Ciências da Universidade de Lisboa, em
contexto empresarial através do estágio profissional do programa de trainees “Geração Caixa” desenvolvido pelo grupo financeiro português “Caixa Geral de Depósitos”, concretamente na sua Sociedade
Gestora de Ativos, “Caixa Gestão de Ativos”.
Este projeto tem como propósito dar a conhecer algumas secções da legislação, nomeadamente, as de
respeito ao risco dos produtos financeiros. Pretende-se com isso dissecar o indicador de risco exigido
pela presente legislação que serve de abrigo aos Package Retail and Insurance-based Investment Products, de acordo com o Regulamento delegado (UE) 2017/653 da Comissão Europeia que serve de
complemento ao Regulamento (UE) nº 1286/2014 do Parlamento Europeu e do Conselho sobre os documentos de informação fundamental (DIF, em inglês KID) para Pacotes de Produtos de Investimento
de Retalho e de Produtos de Investimento com base em Seguros.
Adicionalmente, pretende-se ainda analisar as semelhanças e diferenças dos indicadores de risco: Índice Sintético de Risco (ISR) e Indicador Sumário de Risco e Remuneração (ISRR). Desta análise pretende aferir-se o poder explicativo do risco associado aos pacotes de investimento em retalho e com
base em seguros, perceber qual o impacto da implementação do novo instrumento de avaliação de
risco e de que forma qual dos indicadores de risco assenta melhor na explicação e comparabilidades
dos mais diversos PRIIP.
The present project was developed for the Master’s degree in Applied Mathematics for Economics and Management at the Faculty of Sciences of the University of Lisbon, during a professional internship within the "Geração Caixa" trainee program by the Portuguese financial group "Caixa Geral de Depósitos" more specifically at its asset management company, "Caixa Gestão de Ativos". This project aims to familiarize readers with certain sections of legislation, particularly those concerning the risk associated with financial products. The intention is to dissect the risk indicator required by the current legislation, which provides shelter for Package Retail and Insurance-based Investment Products, under the Commission Delegated Regulation (EU) 2017/653, supplementing Regulation (EU) No 1286/2014 of the European Parliament and of the Council on Key Information Documents (KID) for Packaged Retail and Insurance-based Investment Products. Additionally, it seeks to analyze the similarities and differences between risk indicators: the Synthetic Risk Indicator (SRI) and the Summary Risk and Reward Indicator (SRRI). Through this analysis, the aim is to assess the explanatory power of the risk associated with retail investment packages and insurance-based investment products, to understand the impact of implementing the new risk assessment instrument, and to determine which risk indicator better explains and compares various PRIIPs.
The present project was developed for the Master’s degree in Applied Mathematics for Economics and Management at the Faculty of Sciences of the University of Lisbon, during a professional internship within the "Geração Caixa" trainee program by the Portuguese financial group "Caixa Geral de Depósitos" more specifically at its asset management company, "Caixa Gestão de Ativos". This project aims to familiarize readers with certain sections of legislation, particularly those concerning the risk associated with financial products. The intention is to dissect the risk indicator required by the current legislation, which provides shelter for Package Retail and Insurance-based Investment Products, under the Commission Delegated Regulation (EU) 2017/653, supplementing Regulation (EU) No 1286/2014 of the European Parliament and of the Council on Key Information Documents (KID) for Packaged Retail and Insurance-based Investment Products. Additionally, it seeks to analyze the similarities and differences between risk indicators: the Synthetic Risk Indicator (SRI) and the Summary Risk and Reward Indicator (SRRI). Through this analysis, the aim is to assess the explanatory power of the risk associated with retail investment packages and insurance-based investment products, to understand the impact of implementing the new risk assessment instrument, and to determine which risk indicator better explains and compares various PRIIPs.
Description
Trabalho de Projeto de Mestrado, Matemática Aplicada à Economia e Gestão, 2024, Universidade de Lisboa, Faculdade de Ciências
Keywords
Package Retail and Insurance-based Investment Products Regulamento delegado (UE) 2017/653 Índice Sumário de Risco Indicador Sintético de Risco e Remuneração Teses de mestrado - 2024