In the summer of 1987, Lotus Symphony was the category killer in the integrated spreadsheet market. It was also my first introduction to the animals called spreadsheets and financial models. While other 16 year olds were doing things that 16 year olds are supposed to do in the summer, yours truly was digging through Symphony help to figure how to link a financial model together. A side lane…
Premium Courses Derivative Pricing – Binomial Trees – Efficient Approach$14.49Setting & Linking VaR, Stop loss & PSR Limits$199.00Individual subscription$699.00Basel & ICAAP - Package$125.00Archives for February, 2011
Finance Training Course: Online Quant Crash Course: Video One
The Free Trial period of the online Quant Crash Course expired at 1 pm Eastern time, 28th February 2011.
However you can still see select video snippets from all four parts of the Quant Training Crash course at the Finance Training Videos post.
The Quant Crash Course is based on the first half day of Jawwad Farid’s risk training courses and covers volatility, value at risk, capital and…
Premium Courses Treasury Crash Course$219.00Credit Analysis - Financial Institution - EXCEL Example$29.00How to utilize results of a Black Derman Toy Model$14.49Value at Risk with Liquidity Premium$19.99Liquidity Risk Management Case Study: American International Group (AIG): Timeline
August 2007 – October 2007: Goldman Sachs asks AIG to post additional collateral in view of the falling market value of CDO assets. The insurer posted around $2 billion in collateral up to end-October 2007.
November 2007: AIG reports $352 million in unrealized losses on its CDS portfolio. It also reports that there are differences between AIG and counterparties valuations of CDO portfolio. AIG’s external auditor PricewaterhouseCoopers privately warns of…
Premium Courses Derivatives Pricing - Package$40.00Corporate Finance – First Course – Includes case study$17.49Credit Analysis – First Course$11.99Derivative Products - Package$15.00Liquidity Risk Management Case Study: American International Group (AIG)
AIG Financial Productions Corporation (AIG FP) a subsidiary of AIG issued and traded credit default swaps. These non-traditional insurance instruments insured the counterparty in the event of default on collateralized debt obligation payments. The company believed that the risk was very small because they primarily insured AAA- rate tranches which they presumed would be close to risk-free. However what they failed to factor was the significant risk factor that…
Premium Courses ALM and Capital Adequacy$199.00Credit Analysis - Financial Institution$25.59Corporate Finance – First Course – Includes case study$17.49Derivative Pricing – Binomial Trees EXCEL Example$12.99Liquidity Risk Management Case Study: Lehman Brothers Liquidity Run: Timeline
February 2007: Lehman share price reaches all-time high of $86.
13th March 2007: Stock market suffers largest one-day drop in 5 years on reports that Lehman’s profitability would be significantly impacted because of rising subprime mortgage delinquencies.
14th March 2007: Lehman reports record revenues and profits for its first fiscal quarter.
August 2007: Announces closing of subprime mortgage originator BNC Mortgage cutting 1200 jobs. Also closes down offices of Alt-A originator offices…
Premium Courses Introduction to Financial Modelling$49.00Credit Analysis - Financial Institution$25.59Calculating VaR for Futures and Options - EXCEL Example$69.00Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model$99.00Liquidity Risk Management Case Study: Lehman Brothers
Between 2003 and 2004 Lehman Brothers acquired five mortgage lenders including the subprime originator BNC Mortgage LLC and Alt- A mortgage originator Aurora Loan Services. During the house price bubble these acquisitions contributed to Lehman achieving record revenues and becoming the fastest growing investment bank or asset management company by revenue. In 2007 it surpassed Bear Stearns in becoming the largest underwriter for mortgage-backed securities. It retained a significant…
Premium Courses Credit Analysis - Financial Institution$25.59ALM and Capital Adequacy$199.00Calculating VaR – EXCEL Example$13.99Basel III – Liquidity Framework$41.49Book Review: The End of Wall Street – Roger Lowenstein
Roger Lowenstein’s book “The End of Wall Street” is a font of information regarding the recent financial crisis. Beautifully written in clear and simple language, it explores the environment that created the house price bubble and the impact on the mortgage market particularly with regard to subprime and Alt –A mortgages. Each chapter elaborates on the layers of riskiness added to financial systems, first by mortgage originators, then by…
Premium Courses Monte Carlo Simulation – Currency – Example$8.99Pricing IRS – Module I – Term Structures EXCEL Example$13.99Credit Process$11.99Monte Carlo Simulation – Equity – Example$8.99ICAAP: Aggregating Risk: Copulas
Copulas are functions that link univariate marginal distributions to a multivariate distribution. Stated in another way a multivariate distribution can be decomposed into two contributions, the marginal distributions and the dependence structure as given by the copula model. This allows for the separate specification and examination of marginal distributions and the dependence structure. Marginal distributions may be chosen without constraint and independently of the chosen copula function. The marginal…
Premium Courses Pricing Ladder Options using a Monte Carlo Simulator$22.00Principal Component Analysis – PCA – US Treasury Yield Rates$54.49Credit Process$11.99Treasury Crash Course - Package$249.99Online Quant Crash Course: Finance Training Courses: Pre-course announcement
What is the Quant Crash Course?
The Quant Crash Course is a 200 minute series of 4 videos that cover the basics of quant and computational finance. The course material and series has evolved over the last 8 years as part of the training practice run by Jawwad Farid in the areas of derivative pricing and risk management. As part of this practice Jawwad has delivered over a hundred courses…
Premium Courses ALM and Capital Adequacy$199.00Asset Liability Management (ALM) Crash Course - Package$125.00Pricing IRS – Module I – Term Structures EXCEL Example$13.99Pricing Ladder Options using a Monte Carlo Simulator$22.00The Quant Crash Course: Finance Training Course introduces the Quant Crash Course online video training series
It took two students, over a hundred training engagements in 6 markets and a life working with risk and finance to change my mind.
2007 was a good year in many ways. It was also the year when Abbas Qureshi at SP Jain, Dubai and Adnan Iqbal at Deloitte Consulting, DC asked me the same thing. “Can you please start putting up your training materials online? There are tons of…
Premium Courses Portfolio VaR – EXCEL Example$59.00ICAAP – Credit EXCEL Example$99.00Duration Convexity – EXCEL Example$11.49Sample Counterparty Limit Proposal$154.49
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