• Introduction to Asset Liability Management
• Interest Rate mismatch & ALM
• ALM reports and extensions
• Evolution of Capital Adequacy requirements
• Review of ICAAP (Internal Capital Adequacy Assessment Process) & Basel II (III) – Liquidity risk adjustments
• Understanding Duration & Convexity

• Theoretical Overview
• VaR Qualifications
• Calculating VaR for a single security using VCV and Historical Simulation approaches
• Extending the VaR model to a portfolio. Calculating portfolio VaR without a VCV matrix
• Value at risk for Fixed income securities – Rate and Price VaR; Delta and Full Valuation approaches

• Cross Selling Treasury Product: 5 Core themes for our discussion
• Working through numbers – Introducing Value at Risk and PSR
• The Petrochemical Case Study: Estimating Client Exposure
• Core Treasury products and TMU customer reactions
• Derivative Crash Course: Vanilla and Exotics Derivative Contracts – A Quick walk through

• Theoretical Overview of Derivatives and their Payoffs
• Option Pricing using the Conventional Binomial Tree Approach
• Option Pricing using the Efficient Tree Approach
• Pricing American Options & Exotics using the Efficient Binomial Tree Approach
• Increasing time steps and improving result accuracy using the Efficient Binomial Trees Approach

• Black Scholes, N(d1) and N(d2), Monte Carlo Simulator – Theory and Model Review
• Monte Carlo Simulator – Basic Model Walkthrough
• Understanding N(d1) and N(d2) and Option Exercise using Monte Carlo
• Building a Monte Carlo simulator – Foundations
• Using data tables to store Monte Carlo simulation results
• Estimating errors and improving results accuracy
• Pricing Exotic Option using Monte Carlo

• Pitching for Entrepreneurs – the Pitching framework: Making it real
• Pitching Business Plans – The voice of your customer
• Pitching Business Plans: Business Models
• Pitching Business Plans: Competition and Competitive Advantage
• Pitching Business Plans: Integrating the lessons

• Risk & Context
• Value at Risk
• Capital – Learning to work with capital
• Limits

• Derivative Crash Course: Vanilla and Exotics Derivative Contracts – A Quick walk through

• Setting Limits

• Introduction
• Stress Testing Framework
• Stress Testing Capital
• Introduction to Asset Liability Management
• Interest Rate mismatch & ALM
• ALM reports and extensions
• Value at Risk
• Capital – Learning to work with capital
• Evolution of Capital Adequacy requirements
• Review of ICAAP (Internal Capital Adequacy Assessment Process) & Basel II (III) – Liquidity risk adjustments
• Understanding Duration & Convexity

• Black Scholes, N(d1) and N(d2), Monte Carlo Simulator – Theory and Model Review
• Monte Carlo Simulator – Basic Model Walkthrough
• Understanding N(d1) and N(d2) and Option Exercise using Monte Carlo

1. ALM Crash Course

EXCEL Worksheets

1. ALM Crash Course – Excel Examples [includes Cost of Close Liquidity Gaps, Cost of Close Interest Rate Risk, Earnings at Risk, Market Value of Equity]
2. Duration Convexity Example 

1. How to construct a Black Derman Toy Model in EXCEL

2. How to utilize results of a Black Derman Toy Model

EXCEL Worksheets

1. Black-Derman-Toy Model Construction – EXCEL Example
2. How to utilize results of a Black Derman Toy Model – EXCEL Example

1. ICAAP – Overview & Core Concepts
2. ICAAP Sample Report Template & Executive Summary
3. Basel III – Liquidity Framework

1. Calculating VaR – Includes case study

EXCEL Worksheets

1. Calculating VaR – EXCEL Example
2. Portfolio VaR – EXCEL Example

1. Credit Analysis – First Course
2. Credit Analysis – Financial Institution
3. Credit Process

EXCEL Worksheets

1. Credit Analysis – Financial Institution – EXCEL Example

1. Derivative Pricing – Binomial Trees – Efficient Approach

EXCEL Worksheets

1. Valuing Options – Black Scholes Example
2. Valuing Options – Binomial Tree Example – Traditional Approach
3. Derivative Pricing – Binomial Trees – EXCEL Example

1. Derivatives Terminology Crash Course
2. Derivative Products

1. Pricing IRS – Module I – Term Structures EXCEL Example
2. Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model
3. Principal Component Analysis – PCA – US Treasury Yield Rates

1. Interest Rate Simulation Crash Course

EXCEL Worksheets

1. Pricing IRS – Module I – Term Structures EXCEL Example
2. Calibration of CIR Model Example
3. Black-Derman-Toy Model Construction – EXCEL Example
4. How to utilize results of a Black Derman Toy Model – EXCEL Example
5. Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model
6. Principal Component Analysis – PCA – US Treasury Yield Rates

1. Monte Carlo Simulation – Commodity – Example
2. Monte Carlo Simulation – Currency – Example
3. Monte Carlo Simulation – Equity – Example

1. Pricing IRS – Module I – Term Structures
2. Pricing IRS – Module II – IRS and CCS
3. Pricing Interest Rate Options – Module III

EXCEL Worksheets

1. Pricing IRS – Module I – Term Structures EXCEL Example
2. Pricing IRS – Module II – IRS and CCS EXCEL Example
3. Pricing Interest Rate Options – Module III EXCEL Example

1. Setting Counterparty Limits
2. Sample Counterparty Limit Proposal

EXCEL Worksheets

1. Setting Limits – EXCEL Example

1. Treasury Crash Course

EXCEL Worksheets

1. ALM Crash Course – Excel Examples [includes Cost of Close Liquidity Gaps, Cost of Close Interest Rate Risk, Earnings at Risk, Market Value of Equity]
2. Duration Convexity Example 
3. Calculating VaR – EXCEL Example