Sumários
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