Sumários

14 Dezembro 2017, 11:30 • João Guerra

Credit risk models: introduction. Credit events.

Structural models and reduced form models. Intensity models with deterministic intensity and with stochastic intensity.

The Merton model.

The Two-state model with deterministic intensity.

The Jarrow-Lando-Turnbull model.

Discussion of a exam problem about credit risk models.

11 Dezembro 2017, 11:30 • João Guerra

Interest rate models - multifactor models.

Limitations of one-factor models.

The Vasicek model with two factors.

Discussion of Exam problems and exercises on term structure models.

7 Dezembro 2017, 11:30 • João Guerra

Term structure models: different types of interest rates and forward rates.

Bonds prices, market price of risk and short rate of interest. Bond prices dynamics and short rate dynamics under the risk neutral measure,

4 Dezembro 2017, 11:30 • João Guerra

Discussion of a problem about the hedging portfolio and the delta neutral portfolio.

Interest rate models. Introduction.

Several types of interest rates. Bond prices, forward interest rate, instantaneous forward rate, spot rate, short rate.

Bond pricing and the risk-neutral valuation formula under the equivlent martingale measure Q.

The market price of risk and the dynamics of the bond prices under Q.

30 Novembro 2017, 11:30 • João Guerra

The greeks and portfólio risk management.

Discussion of problems and exercises.