Irakasgaiaren azalpena eta testuingurua

Se profundiza en el conocimiento de métodos avanzados de modelización en tiempo continuo de tipos de interés, valoración de activos de renta fija y su aplicación para la medición y gestión de riesgos.

La impartición de la asignatura Modelos de renta fija (ampliación) requiere conocimientos previos de las siguientes materias:

Instrumentales:

- Econometría financiera

- Procesos estocásticos

Teóricas:

- Valoración de activos

- Modelos de renta fija

Los conocimientos impartidos en esta materia son convenientes para otras disciplinas como medición

de riesgos financieros y gestión bancaria así como macroeconomía en finanzas.

Irakasgaia ikastean lortuko diren emaitzak

- Profundizar en el conocimiento de métodos avanzados de valoración de activos de renta fija y su aplicación para la medición y gestión de riesgos analizando qué modelos pueden utilizarse para resolver problemas concretos.

Ohiko deialdia: orientazioak eta uko egitea

Las ponderaciones para obtener la calificación final se aplicarán únicamente si el alumno/a obtiene una calificación global de 5 sobre 10 en las pruebas individuales. En caso contrario, la calificación final será la obtenida en las pruebas individuales.

No presentarse al examen de la asignatura supone una renuncia a la correspondiente convocatoria.

Irakasgai-zerrenda

Tema 1. Introducción

- Análisis de la ETTI: Objetivos y metodolog´ýa

- Posibles aplicaciones



Tema 2. Modelos en tiempo continuo

- Modelos endógenos

Modelos endógenos unifactoriales

Modelos endógenos multifactoriales

Modelos endógenos con saltos

- Modelos exógenos



Tema 3. Valoración de activos derivados

- Resultados obtenidos en la literatura

- Valoración con modelos unifactoriales

- Valoración con modelos multifactoriales



4. Tema 4. Resumen y conclusiones

Bibliografia

Oinarrizko bibliografia

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