Archives for January, 2011

ICAAP Training Workshops – 3 days – Langkawi, Malaysia, March 2011

31st January 2011 by under Asset Liability Management, CPD, CPE, ICAAP, Middle Office and VaR, Training Course Outlines     

Two ICAAP training workshops, three days, one magical location. Our second set of workshops covering exotic financial topics in breathtaking tropical locations. Who says Risk and Regulatory Reporting training needs to be boring or dry?

A focus on ICAAP – Pillar II risks primarily ALM and Liquidity Risk Capital using Interest Rate Simulations. The two day main event is preceded by a single day foundation workshop on…

Premium Courses Asset Liability Management (ALM) Crash Course - Package$125.00Portfolio VaR – EXCEL Example$59.00Derivative Pricing – Binomial Trees – Efficient Approach$14.49Collateral Valuation in Credit Risk Management$21.49

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Internal Capital Adequacy Assessment and Treasury Risk Workshop – Langkawi, Malaysia, March 2011

31st January 2011 by Admin under ICAAP, Training Course Outlines     

Internal Capital Adequacy Assessment and Treasury Risk Workshop

This intermediate level workshop serves as a guide to Internal Capital Adequacy Assessment framework implementation with a special focus on treasury, market risk and counterparty limits.

Internal Capital Adequacy Assessment and Treasury Risk Workshop Learning objectives

At the end of this workshop, participants will be able to:

View trends from a much broader perspective, in general the practical as… Premium Courses Pricing IRS – Module I – Term Structures EXCEL Example$13.99Calculating Value at Risk (VaR) - Package$77.00Treasury Crash Course - Package$249.99Setting Counterparty Limits$69.00

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ICAAP Models: ALM & Interest Rate Simulations for ICAAP, Langkawi, Malaysia March 2011

31st January 2011 by Admin under Asset Liability Management, ICAAP, Training Course Outlines     

ICAAP Models: ALM & Interest Rate Simulations for ICAAP

This advanced ICAAP modules workshop focuses on issues related to modelling using Interest Rate simulations, Interest Rate Mismatch and Liquidity Risk for Internal Capital Adequacy Assessment.

Starting with a balance sheet model, we quickly introduce tools and traditional models including gap analysis and earnings at risk, stress testing, scenario planning, policy making and simulations, followed by structured analysis required for…

Premium Courses Option Pricing using Monte Carlo Simulation$199.00Introduction to Financial Modelling$49.00Value at Risk with Liquidity Premium$19.99Black-Derman-Toy (BDT) Interest Rate Model - Package$125.00

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ICAAP – Strategic Risk – Estimating ICAAP Capital reserve for Strategic Risk

22nd January 2011 by Admin under Featured, ICAAP, Middle Office and VaR     
ICAAP Strategic Risk Capital Charge Estimation

Estimating the ICAAP (Internal Capital Adequacy Assessment Process) capital charge for Strategic Risk has been possibly the most under covered topic since ICAAP submissions became a regulatory requirement under Pillar II disclosures. The only other topic also required for ICAAP submissions to receive similar disservice is capital integration across multiple risk categories (market, credit, op, liquidity, interest rate mismatch, strategic and other residual risks)….

Premium Courses Building Maturity & Liquidity Profiles for Deposits and Advances$149.00Derivative Pricing – Binomial Trees – Efficient Approach$14.49Sample Counterparty Limit Proposal$154.49ALM – Crash Course$59.00

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Asset Liability Management (ALM): Measuring Liquidity Risk: Cost-to-Close Liquidity Gap

21st January 2011 by Admin under Asset Liability Management     

Asset Liability Management (ALM) includes effective liquidity management. One way of assessing a bank’s exposure to liquidity risk is to consider the gaps that exist between its assets and liabilities for pre-defined time buckets, and then calculate the cost that would be incurred to close out those gaps. The course goes through the methodology of calculating this cost, i.e. the liquidity risk measure:

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Book review: The (Mis) Behavior of Markets: A Fractal View of Risk, Ruin and Reward

21st January 2011 by agnes under Misc.     
The (Mis) Behavior of Markets: A Fractal View of Risk, Ruin and Reward

by Benoit B. Mandelbrot and Richard L. Hudson

After reading Nassim Nicholas Taleb’s book “The Black Swan: The Impact of the Highly Improbable” I was really interested in reading more about Mandelbrot and the application of his invention of fractal geometry to financial markets. To find this book in my boss’ library therefore was like stumbling upon…

Premium Courses Monte Carlo Simulation – Commodity – Example$8.99Relative Gold Price model$139.00Calibration of CIR Model – EXCEL Example$39.99Crude Oil Mispricing model$199.00

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Finance Training Courses – Exotics Financial Topics, Exotic Tropical Locations

20th January 2011 by Admin under Misc.     

And now for something truly off the beaten track. Exotic Financial Courses run in exotic tropical locations with trainers dressed in even more exotic Batik and Hawaiian shirts.

The first in this series is the ALM and Liquidity Risk workshop in Subang, Malaysia in January, quickly followed by the ALM for ICAAP and Interest Rate Modeling Workshop in Langkavi and the Treasury Risk workshop in Nairobi.

All…

Premium Courses Pricing IRS – Module I – Term Structures$14.49How to construct a Black Derman Toy Model in EXCEL$29.00Forward Prices, Forward Rates and Forward Rate Agreements (FRA) - EXCEL Example$24.99Calculating VaR for Futures and Options - EXCEL Example$69.00

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The Asset Liability and Liquidity Management Training Workshop, Subang Holiday Resort, Kula Lumpur, Malaysia, January 2011.

18th January 2011 by Admin under Asset Liability Management, Middle Office and VaR, Training Course Outlines     
ALM and Liquidity Management Training Workshop

This advanced level ALM and Liquidity Training workshop serves as a refresher to liquidity management, with an emphasis on traditional models including gap analysis and earnings at risk, stress testing, scenario planning, policy making and simulations. Our first joint venture finance training workshop in Kula Lumpur with our Malaysian Partners LSW International scheduled for 27th and 28th January, 2011….

Premium Courses Pricing Interest Rate Swaps and Interest Rate Options - Package$60.00Value at Risk with Liquidity Premium$19.99Option Pricing using Monte Carlo Simulation$199.00Principal Component Analysis – PCA – US Treasury Yield Rates$54.49

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Solvency II: Capital Requirements

18th January 2011 by Admin under Actuarial Concepts     
Solvency II

Solvency II is an EU legislation that sets out the capital requirement rules for direct life and non-life insurance and reinsurance companies which are already established or wish to be established within the European Union. Companies that fall within the scope of the Solvency II Directive and which meet its requirements will benefit from a single license to operate within all EU member states. Enforcement and implementation…

Premium Courses Monte Carlo Simulation - Package$18.00Pricing Ladder Options using a Monte Carlo Simulator$22.00Pricing IRS – Module II – IRS and CCS$14.49Pitching for Startups$0.00

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Setting Limits: Interest Rate Risk Management

18th January 2011 by Admin under Middle Office and VaR     
Interest Rate Risk Repricing limits

Repricing limits are set for interest rate management. These limits control exposure by controlling the volume or amount of securities that are repriced in a given time period. By staggering the repricing of the securities the company can reduce the volatility as well as control the degrees of sensitivity in the asset and liability portfolios.

Limits are often expressed as the ratio of rate sensitive assets (RSA)…

Premium Courses Pitching for Startups$0.00ICAAP – Overview & Core Concepts$59.00ICAAP – Credit EXCEL Example$99.00Setting Counterparty Limits$69.00

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