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Modelos de Taxa de Juro e Risco de Crédito
1 Semestre 2024/2025
pt
en
Exam - Feb.22 (excel).
Anexos
IRCRM_Feb22_Correction_Criteria.xlsx
Página Inicial
Avaliação
Bibliografia
Horário
Métodos de Ensino e Avaliações
Objectivos
Planeamento
Programa
Turnos
Anúncios
Sumários
Syllabus
Slides - Part I
Presentation - Part I
Duration
Duration Scenarios
Presentation - Part II.1
Slides - Part II.1
Presentation - Part II.2.1
Slides - Part II.2.1
GMB
Presentation - Part II.2.2
Slides - Part II.2.2
TSIR Static Models
Presentation - Part II.2.3
Slides - Part II.2.3
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
Part III.1
Slides - Part III.1
CDS Valuation
Merton Model
Density Functions with Correlations
Copula Credit-VaR
Presentation - Part III.2 to III.4
Slides - Part III.2 to III.4
Presentation - Part III.5
Slides - Part III.5
Density Functions with Correlations
Presentation - Part III.6
Slides - Part III.6
Exam 29.01.2024 - Correction Criteria
Exam Jan24 - correction criteria
Exam Jan24 - correction criteria (spreadsheet)
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)
Exam Dec2024 - Grades
Exam Dec2024 - correction criteria
Grades - Exam Jan.25
Exam Jan.25 - correction criteria