Data Analysis, Data Tables & Excel.
This is our third post in our Data Analysis series using Excel spreadsheets. The series covers correlations, trailing correlations, histograms, pivot charts and data tables. See the following prior posts for data analysis context.

Correlations basics
Data Analysis. 5 tools in twenty minutes
Data Tables introduction

There are many questions that Excel can help [...]

Data Analysis. Using Excel Data Tables for Sensitivity Testing
You have built your financial model, now is the time to test it.
The objective of stress testing or sensitivity testing is to evaluate your financial model across a range of values. Sometimes we do this to test the model, more often the objective is to present a [...]

Risk management. Risk systems for Central Banks.
If you were tasked to build an ideal risk management system for a central bank, what would you look for? To answer this question you have to ask a different question first.

Figure 1 Risk Management. Risk Software – Central Banks

If you are a central bank in Europe, Middle East, [...]

Setting Stop Loss Limits – limit review triggers and back testing.
In our case study on setting stop loss limits we reviewed stop loss limit estimates for Oil, Gold and Silver futures trading. In this post we will take a look at market based triggers that should lead to a review of stop loss limits.

Changing Volatility
Frequency [...]

Convexity & Duration calculator for US Treasury Bills, Notes and Bonds.
To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity & Duration) at issue. We will calculate Macaulay, Modified and Effective Duration [...]

Risk Models, Option Pricing & Bank Regulation training for practitioners

A typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on product market, applications or pricing, but not all three. These leaves [...]

Option pricing using Monte Carlo Simulation
In our post on Option Pricing using Monte Carlo Simulation, we walk through a simple modeling framework used for pricing vanilla as well as exotic options in Excel. After the framework is introduced we drop a few hints on how to price Asian, Barrier, Ladder & Chooser options using Monte [...]

Calculating Conditional Value at Risk (CVaR) or Expected Short fall using Historical returns.
Imagine a board meeting where you have just presented your Value at Risk (VaR) analysis and a board member asks a simple question. “So what are we talking about here? What is the expectation? What is the most that we can drop if [...]

Monte Carlo Simulation – Linking financial model to the simulation
Since we have a model for simulating oil prices, we are now ready to link our oil price model to projected financial statements for the airline.
To do this we need to figure out how to link simulated crude oil prices to jet fuel expense on the [...]

Risk Training Singapore 2013 – Resource page is now live
The Risk Training Course Page & Resource Guide is now up and live. You can review the first two days of lecture notes and supporting materials covering risk management, value at risk and the fuel hedging case study. More materials will be added over the next [...]