0.ALM - Introduction2.pdf2.ALM - Interest Rate Risk Management 2026.pdf

!label.attachments!

• 0.ALM - Introduction2.pdf
• S1.Yield curve examples.r
• 1.ALM - Basic Interest Rate Theory 2026.pdf
• interestRateData2026.xlsx
• S2.Example spot rates, forward rates and bond valuation.r
• S3.Estimating the market yield curve by replication.r
• S4a.Estimating Present Value Sentitivity to Yield Changes.r
• S3.Estimating the market yield curve by replication.r
• market.yield.curve.rdata
• S5a.Matching portfolio of bonds and immunization.r
• S5.Matching portfolio of bonds and immunization.r
• S4.Estimating Present Value Sentitivity to Yield Changes.r
• r4ds05.r
• S6a.Fitting a model to the yield curve - CIR and Vasicek models.r
• r4ds19.r
• 2.ALM - Interest Rate Risk Management 2026.pdf
• 3ALM - Stochastic Interest Rate Models.pdf
• S7a.Half year-ahead simulations using Vasicek and CIR models.r
• r4ds26.r
• 4.ALM - Risk Measurement 2026.pdf