Lecture 10

11 Março 2022, 13:00 • Rita Sousa

---

Interest rate risk management

Lecture 9

9 Março 2022, 13:00 • Rita Sousa

---

Interest rate risk management

Lecture 8

25 Fevereiro 2022, 13:00 • Rita Sousa

---

Convexity

Lecture 7

23 Fevereiro 2022, 13:00 • Rita Sousa

---

Duration:

• Definition
• Duration of a ZCB
• Duration of a portfolio
• Duration of a fixed coupon bond

Lecture 6

18 Fevereiro 2022, 13:00 • Rita Sousa

---

Estimation of the TSIR:

Nelson-Siegel Model