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Modelos de Taxa de Juro e Risco de Crédito
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en
Presentation - Part III.6
Anexos
IRCRM_PartIII_6_ISEG_2022.pptx
Página Inicial
Avaliação
Bibliografia
Horário
Métodos de Ensino e Avaliações
Objectivos
Planeamento
Programa
Turnos
Anúncios
Sumários
Syllabus
Slides - Part I
Exercise 1
Exercise 2
Presentatation - Part I
Duration
Duration Scenarios
Slides - Part II.1
Presentation - Part II.1
Slides - Part II.2.1
Presentation - Part II.2.1
Slides - Part II.2.2
Presentation - Part II.2.2
TSIR Static Methods
Geometric Brownian Motion
Slides - Part II.3 and II.4
Presentation - Part II.3 and II.4
German Yield Curve - Gaussian Model
Kalman Filter - 3f non-identified model
Maximum Likelihood Estimation - 3-factor non-identified model
Kalman Filter - 2f non-identified model
Maximum Likelihood Estimation - 2-factor non-identified model
Kalman Filter - 2-factor identified model
Maximum Likelihood Estimation - 2-factor identified model
PhD Thesis - Jorge Barros Luís - Chapter 2
PhD Thesis - Jorge Barros Luís - Chapter 3
Slides - Part III.1
Presentation - Part III.1
Slides - Part III.2 to III.4
Presentation - Part III.2 to III.4
Slides - Part III.5
Presentation - Part III.5
Slides - Part III.6
Presentation - III.6
Density Functions with Correlations
CDS Valuation
Merton Model
Copula Credit-VaR
Exam - 1 Feb 2017
Exam - 10 Jan 2018
Exam . 18 Jan 2019
Exam - 4 Feb 2019
Exam - 10 Jan2020
Exam - 5 Feb 2020
Exam -19 Jan 2021
Exam - 5 Feb. 2021
Exam - 20 Jan 2022
Exam - 3 Feb 2022
Exam - 11 Mar22
Exam - 19 Jan.2021: Correction Criteria
Exam - 5 Feb. 2021: Correction Criteria
Exam - 3 Feb2022: Correction Criteria
Exam - 11 Mar.2022: Correction Criteria
Exam Jan23 - Correction Criteria
Grades - Details
Exam 30 Jan 2023 - correction criteria
Exam 30 jan 2023 - grades