Interest Rate and Credit Risk Models
(1
º Sem
2018/2019)
MF (Mathematical Finance)
,
Excel files
Link
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Duration
(Duration.xlsx, 104KB)
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Duration Convexity
(DurationConvexity.xlsx, 31KB)
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Nelson-Siegel, Svensson
(TSIR_NS_Svensson.xlsx, 76KB)
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Duration Convexity Scenarios
(Duration_scenarios.xlsx, 1,1MB)
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Nelson-Siegel, Svensson, Polynomial
(TSIR_NS_Svensson_Polynomial.xlsx, 89KB)
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Merton Model
(KMV_Enron.xlsx, 529KB)
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