Modelos de Taxa de Juro e Risco de Crédito
(1
º Sem
2020/2021)
MF (Mathematical Finance)
,
Excel files
Link
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Duration
(Duration.xlsx, 31KB)
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Duration - Scenarios
(Duration_scenarios.xlsx, 1,1MB)
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Static Yield Curve Models
(TSIR_NS_Svensson_Polynomial.xlsx, 86KB)
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Geometric Brownian Motion
(GMB.xlsx, 257KB)
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CDS Valuation
(CDS.xlsx, 13KB)
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Merton Model
(KMV_Enron.xlsx, 531KB)
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Density Functions with Correlations
(Correlations.xlsx, 41KB)
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Copula - Credit VaR
(Copula_Credit_VaR.xlsx, 122KB)
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Risk-Neutral Density Estimation
(Euro3m_pdf_Sep05.xlsx, 291KB)
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Risk-Neutral Density Statistics
(Euro3m_statistics_Sep05.xlsx, 306KB)
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