Credit Risk: External Ratings, marginal, cumulative, unconditional and conditional probabilities of default. The default intensity (hazard rate and Poisson Processes.

5 Novembro 2025, 11:00 • Jorge Barros Luis

Credit Risk: External Ratings, marginal, cumulative, unconditional and conditional probabilities of default. The default intensity (hazard rate and Poisson Processes.

---

Affine models: the Kalman Filter for different model specifications. Credit Risk - Introduction.

4 Novembro 2025, 12:00 • Jorge Barros Luis

Affine models: the Kalman Filter for different model specifications. Credit Risk - Introduction.

---

Affine models: the term premium, the volatility curve and how to make the identification of unobservable factors.

29 Outubro 2025, 11:00 • Jorge Barros Luis

Affine models: the term premium, the volatility curve and how to make the identification of unobservable factors (make-up lecture on the 3rd Nov.).

---

Short-term Interest Rate Models. Risk and Return with stochastic discount factors.

28 Outubro 2025, 12:00 • Jorge Barros Luis

Short-term Interest Rate Models. Risk and Return with stochastic discount factors (make-up lecture on the 20th October).

---

CCAPM. Affine models: how to estimate the yield curve.

22 Outubro 2025, 11:00 • Jorge Barros Luis

CCAPM. Affine models: how to estimate the yield curve.

---