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Modelos de Taxa de Juro e Risco de Crédito
1 Semestre 2023/2024
pt
en
Exercise 2 - correction criteria.
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Exercise2_Merton_Model_2023_2024_correction_criteria.docx
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TSIR Static Models
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German Yield Curve - Gaussian Model
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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
Presentation - Part III.1
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Exercise1
Exercise2
CDS Valuation
Merton Model
Density Functions with Correlations
Copula Credit-VaR
Presentation - Part III.2 to III.4
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Slides - Part III.5
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Grades - Jan24
Exam Jan24 - correction criteria
Exercise 1 - correction criteria
Exercise 2 - correction criteria
Grades - 29.01.2024
Exam 29.01.2024 - Correction Criteria