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Modelos de Taxa de Juro e Risco de Crédito
1 Semestre 2021/2022
pt
en
Part II.2.3. and II.2.4.
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IRCRM_PartII_2_3_and_2_4_ISEG_2021.pdf
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
Slides - Part II.1
Presentation - Part II.1
Slides - II.2.1
Presentation - Part II.2.1
Slides - II.2.2
Presentation - Part II.2.2
Presentation - Part II.2.3 and II.2.4
Slides - Part II.2.3. and II.2.4.
Deterministic Interest Rate Models
Geometric Brownian Motion
Exercise 1
Exercise 2
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
PhD Thesis - Jorge Barros Luís - Chapter 2
PhD Thesis - Jorge Barros Luís - Chapter 3
Slides - Part III.1
Presentation - Part III.1
Density Functions with Correlations
CDS Valuation
Merton Model
Slides - Part III.2 to III.4
Presentation - Part III.2 to 4
Slides - Part III.5
Presentation - Part III.5
Slides - Part III.6
Presentation - Part III.6
Copula Credit-VaR
Correlations
Previous Exams
Exam-Jan22
Exam Grades - Jan22
Retake Exam - Grades
Retake Exam - Correction Criteria