Assess impact of changes in yield curve on Net Interest Income at risk for a bank.
Build performance linked economic capital engine for financial institutions.
Calculate holding period return for portfolios.
Price a derivative security with Monte Carlo Simulations using Excel Models.
Build Excel Models for conditional Value at Risk.
Estimate FAS 157 fair value for Level 3 assets and liabilities.
Our signature courses include standalone PDF based study guides combined with Excel data sets and templates. We call them value packs. Look up the concept in the PDF, follow through with its implementation in the Excel file. Extend your learning to your own version of the model.
Building upon the foundation of gap management and interest rate mismatch we cover duration, convexity, impact of interest rate changes on net interest income and economic value of shareholder equity. For historical context we review key movements in treasury rates from 1980 to 2014 as well suitable mismatch strategies for shifts in the yield curve.
A review of the Black Scholes model beginning with understanding the difference between N(d1) and N(d2). Application of trees, close form solutions and Montecarlo simulation to pricing exotic options, structured products, interest rate derivatives and exotic options.
A history of bank regulation and evolution of bank stress testing framework followed by a step by step break down of reach risk type covered by the ICAAP and ILAAP framework. Includes sample reports and a simple report validator.
Beginning with simple value at risk (VaR) models, we dig into expected shortfall models, marginal and incremental value at risk, counter party credit risk exposures, pre-settlement risk (PSR) limits and potential future exposure (PFE) limits.
