Profesor | Christian Gabriel Miranda Ruíz | lu mi vi | 20 a 21 |
Ayudante | Eduardo Torres Luna | ma ju | 20 a 21 |
4.1. Consulta de información de mercado en tiempo real para la valoración de Forwards y Swaps de Tasa y FX.
4.1.1.Tipología de Cotizaciones de Tasas de Interés (Yield, Swap, Spread, Basis Swap, Tasa Implícita – Outright) y Características (Tipos, Base, Market Convention, Denominación). 1.2.Derivados Lineales Mono/Multi Divisa Plain Vanilla sin Colateral.
4.2. Curvas FX y Tasa de Interés para la valoración de instrumentos financieros.
4.2.1.Tasas Cupón Cero.
4.2.2.Curvas Interbancarias Autocalibradas y Multi-Tenor con Colateral Homogéneo a Cotización.
4.2.3.Curvas Basis Swap Colateral USD. 2.4.Curvas Basis Swap Teóricas con Estrategias de Trading.
4.3. Curvas Interbancarias Libres de Riesgo.
4.3.1. CSA, Colateralización y Margen.
4.3.2.Curvas OIS.
4.3.3.Derivados Lineales Mono/Multi Divisa Plain Vanilla Colateral Multidivisa.
4.4. Gestión de Sensibilidades.
4.4.1.Definición.
4.4.2.Análisis de Sensibilidad por factor de riesgo.
4.4.3.Cálculo.
4.4.4.Estimación de P&L.
Modo de calificar: 30% exámenes (2 exámenes), 50% tareas (4 tareas) y 20% trabajo final (exposición de un artículo relacionado con riesgos).
Punto extra si las tareas y el trabajo final se entregan completos en LaTeX.
En caso de haber un retraso con sus tareas, su calificación máxima estará basada en la siguiente fórmula
$$C_{máx}=10-5*w[(1-\lambda^{h})/(1-\lambda)]$$
donde C_{máx}= es la calificación máxima,
w=0.00514254742081663,
\lambda=0.995338776349961,
y h= horas de retardo a partir de la fecha límite de entrega de las tareas.
La página del curso es https://sites.google.com/a/ciencias.unam.mx/admonrsgocm/
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