Sumários

Class #4

2 Junho 2025, 18:30 José Carlos Dias


Case studies.

Class #3

29 Maio 2025, 18:30 José Carlos Dias


Option based models and KMV model.

VaR and its limitations, unexpected loss, Rating agencies, Merton (1974) model, univariate and multivariate analysis

8 Maio 2025, 18:30 Carlos Miguel Aguiar da Glória


- Resume from the last class (Value at Risk, unexpected loss, expected shortfall)

- Rating agencies
- Univariate analysis
- Multivariate analysis
- Merton (1974) model

Apresentação, introdução ao credit risk

5 Maio 2025, 20:30 Carlos Miguel Aguiar da Glória


- Conceito de risco de crédito

- Value at risk
- Conditional value at risk or expected loss