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Modelos de Taxa de Juro e Risco de Crédito
pt
en
Slides - Part III.5.
Anexos
IRCRM_PartIII_5_ISEG_2023.pdf
Página Inicial
Avaliação
Bibliografia
Horário
Métodos de Ensino e Avaliações
Objectivos
Planeamento
Programa
Turnos
Anúncios
Sumários
Syllabus
Slides - Part I
Presentation - Part I
Presentation - Part II.1
Slides - Part II.1
Duration
Duration Scenarios
Slides - Part II.2.1
Presentation - Part II.2.1
TSIR Static Models
GMB
Presentation - Part II.2.2
Slides - Part II.2.2
Presentation - Part II.2.3
Slides - Part II.2.3
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
Presentation - Part III.1
Slides - Part III.1
Exercise1
Exercise2
CDS Valuation
Merton Model
Density Functions with Correlations
Copula Credit-VaR
Presentation - Part III.2 to III.4
Slides - III.2 to III.4
Presentation - Part III.5
Slides - Part III.5
Presentation - Part III.6
Slides - Part III.6
Exam - Fev17
Exam - Jan18
Exam - Jan19
Exam - Feb.19
Exam - Jan.20
Exam - Feb.20
Exam - Jan.21
Exam - Feb.21
Exam - Jan.22
Exam - Mar.22
Exam - Jan.21 (excel)
Exam - Feb.21 (excel)
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 - Sep.23 (excel)
Exam - Feb.20 (excel)
Grades - Jan24
Exam Jan24 - correction criteria
Exercise 1 - correction criteria
Exercise 2 - correction criteria
Grades - 29.01.2024
Exam 29.01.2024 - Correction Criteria