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Modelos de Taxa de Juro e Risco de Crédito
1 Semestre 2025/2026
pt
en
Copula Credit-VaR.
!label.attachments!
Copula_Credit_VaR.xlsx
Página Inicial
Avaliação
Bibliografia
Horário
Métodos de Ensino e Avaliações
Objectivos
Planeamento
Programa
Turnos
Anúncios
Sumários
Syllabus
Presentation
Slides - Part I
Duration
Duration Scenarios
TSIR Static Models
Slides - Part II.1
Slides - Part II.2.1 and II.2.2
GMB
Slides - Part II.3
German Yield Curve - Gaussian Model
PhD Thesis - Jorge Barros Luís - Chapter 2
PhD Thesis - Jorge Barros Luís - Chapter 3
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
Slides - Part III.1
CDS Valuation
Merton Model
Slides - Part III.2 and III.3
Credit-VaR
Slides - Part III.4
Exam - Fev17
Exam 29.01.2024 - Correction Criteria
Exam Jan24 - correction criteria
Exam - Jan18
Exam - Jan19
Exam - Feb.19
Exam - Jan.20
Exam - Feb.20
Exam - Jan.21
Exam - Feb.21
Exam - Jan.21 (excel)
Exam - Feb.21 (excel)
Exam - Jan.22
Exam - Mar.22
Exam - Feb.22 (excel)
Exam - Feb.22.
Exam - Mar.22 (excel)
Exam - Jan.23
Exam - Jan.23 (excel)
Exam - Jan.23 (retake)
Exam - Jan.23 (retake; excel)
Exam - Sep.23
Exam - Feb.20 (excel)
Exam - Dec24
Exam - Dec24: Correction Criteria
Exam - Jan25
Exam Jan.25 - Correction Criteria
Density Functions with Correlations
Copula Credit-VaR
Slides - Part III.5 and III.6
Jan.24 Exam (excel)
Exam - Mar22
Exam - Sep22 (correction criteria)
Exam - Grades