Join FourQuants Learning Network and get access to following EXCEL Templates
This file contains the following examples:
The EXCEL file illustrates how to build a one factor interest rate model. This includes:
A working example of that contains the following calculations:
The Asset Liability Management (ALM) EXCEL Examples includes 4 EXCEL files that present fully worked out procedures for the following ALM measurement tools:
The “Calculating VaR for Futures and Options” EXCEL file demonstrates a methodology for calculating the Value at Risk (VaR) measure for futures and options.
One of the most pertinent questions in risk management has been: How much do you stand to lose, over a certain period and with a certain probability? What is that number and what does it stand for? The number being referred to here is Value at Risk (VaR). VaR uses historical market trends and volatilities to estimate the likelihood that a given portfolio's losses will exceed a certain amount.
The file demonstrates the calculation of the VaR measure using the following approaches:
These approaches are used to calculate individual VaR measures for various instruments such as a commodity, currency pair, equity shares and fixed income product. They are also used to determine the VaR number for the portfolio as a whole. The calculation includes:
The file demonstrates an example of how a Pre-Settlement Risk (PSR) limit is set for an FX forward contract and a Futures contract on WTI (crude oil) respectively.
These Value-at-Risk (VaR) based counterparty limits are calculated by:
The excel file contains worked-out detailed examples for the following:
The Black-Derman-Toy term structure model was developed by Fischer Black, Emmanuel Derman and William Toy in 1990. It is an example of a No-Arbitrage model. It assumes that all security prices and rates depend on only one single factor- the short rate.
The excel file demonstrates how the results from the Black Derman Toy model may be used to price bonds and options.
Examples illustrating the calculation of the following example metrics:
Examples illustrating the pricing of the following options using an alternate more efficient methodology by Mark Broadie:
This file presents an example of Peer Group Ratio Analysis for a financial institution. It is a supporting file of the PDF course “Credit Analysis - Financial Institution” (not included in this purchase).
Course on pricing interest rate swaps and cross currency swaps divided into three separate sections that address basics of interest rate swaps, term structure modeling and boot strapping and mark to market and valuation.
In the third module of the course we look at the step by step methodology for calculating the value of interest rate options, in particular caps and floors. We also look at how the values of other derivative products may be calculated such as accrual swaps, commodity linked notes and range accrual notes.
The file illustrates the construction of a spot rate term structure and a forward rate term structure.
Course on pricing interest rate swaps and cross currency swaps divided into three separate sections that address basics of interest rate swaps, term structure modeling and boot strapping and mark to market and valuation.
Continuing from Module I, module II presents specific examples and a step by step procedure of how to determine the value or price of interest rate swaps in particular coupon and basis swaps and cross currency swaps in particular fixed-for-fixed , floating-for-floating and amortizing floating-for-floating currency swaps.
The file contains examples illustrating the pricing of options using the conventional or traditional Binomial Trees approach. In particular the following options are priced:
The file also illustrates how Greeks (i.e. sensitivity measures) for each of these options are calculated from the constructed binomial trees.
The Monte Carlo Simulation course contains:
The Monte Carlo Simulation course contains:
The Monte Carlo Simulation course contains:
This EXCEL file presents a variation of our Monte Carlo Simulation model for commodity prices. In the conventional model the random numbers used in the model are obtained by normally scaling EXCEL’s RAND() function. In this version however the random numbers are obtained from the commodity’s historical price series.
The Principal Component Analysis (PCA) excel file illustrates how PCA is used to determine the number of workable factors for the Heath-Jarrow-Merton (HJM) interest rate model. This includes: