Asset-Liability Management

24 Setembro 2014, 11:30 • Walther Neuhaus

Interest rate risk management

Stochastic term structure models

Simukation of CIR and Vasicek models

 

Risk measures

VaR, TailVaR etc.

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Asset-Liability Management

24 Setembro 2014, 09:30 • Walther Neuhaus

Interest rate risk management

Stochastic term structure models

Simukation of CIR and Vasicek models

 

Risk measures

VaR, TailVaR etc.

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Asset-Liability Management

23 Setembro 2014, 08:00 • Walther Neuhaus

Interest rate risk management

Matching

Immunisation

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Asset-Liability Management

22 Setembro 2014, 11:30 • Walther Neuhaus

Basic interest rate theory

Yield curves

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