Day I
- Leptokurtic distribution and its implications (tail risk)
- Yield curve dynamics through a statistical approach (Principal Component Analysis);
- Quantification of interest rate and credit risk sensitivities
Day II
- Simulation of index credit risk
- Derivatives instruments: swaps and options
Day III
- Modelling stock market volatility using a GARCH model
- Modelling correlation risk through Gaussian Copula.
Day IV
- ESG on-going discuss in terms of regulatory requirements and taxonomy
Corpo Docente:
EXECUTIVE EDUCATION - OPEN PROGRAMS
Patrícia Rodrigues