Sumários
Credit risk models
15 Dezembro 2014, 10:00 • João Guerra
Credit risk models.
Structural models, reduced form models and intensity based models.
The Merton model.
The 2-state intensity based model with deterministic intensity.
The Jarrow-Lando-Turnbull model.
Interest rate models
11 Dezembro 2014, 11:30 • João Guerra
The Cox-Ingersoll-Ross (CIR) model.
The Hull & White (HW) model.
Limitations of one-factor models.
The 2-factor Vasicek model.
Term structure models
4 Dezembro 2014, 11:30 • João Guerra
Term structure models: the 8 desirable characteristics of term structure models.
Risk-neutral pricing.
The market price of risk.
The Vasicek model.
The Greeks, portfolio risk management and introduction to interest rate models
1 Dezembro 2014, 10:00 • João Guerra
The greeks: Delta, Gamma, Vega, Rho, Lambda and Theta. Portfolio risk management.
Exercise.
Interest rate (term structure) modelling.
Bond prices, Forward rates, intantaneous forward rate curve, Spot rate curve and short rate.