Homogeneous and Inhomogeneous Poisson Processes. The prices of Defaultable Bonds from the prices of risk-free bonds. Credit Derivatives: CDS - the main features.

11 Novembro 2025, 12:00 • Jorge Barros Luis

Homogeneous and Inhomogeneous Poisson Processes. The prices of Defaultable Bonds from the prices of risk-free bonds. Credit Derivatives: CDS - the main features.

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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.

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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.

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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.).

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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).

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