Final review

10 Dezembro 2013, 09:30 • João Guerra

Final review and discussion of some examination problems.

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Credit risk models

9 Dezembro 2013, 10:00 • João Guerra

Credit risk models. 

Structural models and reduced form models. Intensity-based models. 

The Merton model. The two-state intensity-based model. The n-state model. The Jarrow-Lando-Turnbull model. 

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Term Structure models - 2

3 Dezembro 2013, 09:30 • João Guerra

The CIR model.

The Hull-White model.

The 2-factor Vasicek model.

Limitations of one-factor models.

Examples and exercises.

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Term structure models

2 Dezembro 2013, 10:00 • João Guerra

Term structure models.

Desirable characteristics of term structure models.

Short rate, spot rate, forward rates and Bond prices.

Risk-neutral pricing of bonds.

The market price of risk and risk premium.

The Vasicek model.

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Portfolio risk management - the greeks.

25 Novembro 2013, 10:00 • João Guerra

Portfolio risk managements: the greeks.

Delta, Gamma, Vega, Rho, Theta, Lambda.

Delta hedging.

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