Sumários

Risk measures. Introduction to reinsurance.

30 Outubro 2025, 08:00 • TIAGO MARQUES FARDILHA

Value at Risk and Tail Value at Risk: Characterization, advantages and disadvantages. Example using R.

Coherent risk measures. Spectral risk measures.

Introduction to reinsurance: Definition and examples. Motivation. Different types of reinsurance. 

Stochastic Term Structure Models and Risk Measures

23 Outubro 2025, 08:00 • TIAGO MARQUES FARDILHA

Discrete approximation of the stochastic term structure models: Vasicek and CIR. Six-month ahead simulation for the yield curve.
Risk measures: VaR and TailVaR Advantages and disadvantages to 

Stochastic Term Structure Models - Vasicek and Cox-Ingersoll-Ross models

16 Outubro 2025, 08:00 • TIAGO MARQUES FARDILHA

Approximating the market yield using Vasicek and CIR models. Practical example using R. Examples on data tidying, data manipulation and table joins in R.

Interest rate management: Immunization. Introduction to Stochastic Term Structure Models

9 Outubro 2025, 08:00 • TIAGO MARQUES FARDILHA

Example using R on duration-immunization and convexity-immunization of an asset-liability cashflow using a portfolio of 3 bonds. Checking the resilience against parallel shifts in the bond yields. Comparison with cash-flow matching.

R code examples on data transformation and data tidying.

Theoretical introduction to stochastic interest rate models. Vasicek and Cox-Ingersoll-Ross models.

Interest Rate Risk Management

2 Outubro 2025, 08:00 • TIAGO MARQUES FARDILHA

Asset and liability matching. Practical problems of this method. Introduction of cash flow immunization as a viable alternative. Notion of convexity exposure. Examples using R.