Quantitative Finance EXCEL models

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Our Courses

 

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.

ASSET LIABILITY MANAGEMENT

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.

OPTION PRICING

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.

BASEL INTERNAL CAPITAL ADEQUACY ASSESSMENT (ICAAP)

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.

TREASURY RISK

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.

INTEREST RATE SIMULATION

Simulating interest rates has always been a more challenging exercise than simulating equity securities and FX prices. We cover the universe of modeling approach from the simpler Cox Ingersoll and Ross (CIR) model to the mildly complicated Black Derman and Toy (BDT) to the complex Heath Jarrow and Merton (HJM) Excel implementation.

PORTFOLIO OPTIMIZATION

Going beyond CAPM, the course lays the foundation by dissecting a real market multi asset class (equities, money market and foreign exchange) portfolio dataset. We define holding period returns, alpha, beta and solver based optimization models. We use the framework to solve index matching, institutional portfolio allocation, alpha stability and cyclicality challenges.

About FinanceTrainingCourse

Created by a team of risk professionals with the objective of helping people learn, understand and apply quantitative and computational finance tools. For many years, we looked for a resource that we could use for training our new team members within the domain of risk management. This site is the public face of that internal tool used to train clients and employees on advance topics in computational and quantitative finance.

From Asset Liability Management to Portfolio Optimization, from Option pricing to interest rate simulations, from treasury risk to Basel internal capital adequacy assessment (ICAAP), from economic capital to conditional value at risk, from Level 3 asset valuation to disclosures to IFRS 9, we have helped customers and clients decode and use hand on Excel modeling skills. The challenges have always been interesting. So have been the models.

Courses and study guides are written from a practitioner’s point-of-view, providing bite-sized concepts and topics with detailed application-oriented cases. Materials are tested as part of our instructor led training practice that trains participants on cross selling treasury products and applied financial modeling in the MENA region. Advance Excel models come directly from our sixteen year old risk and actuarial consulting practice – Alchemy Technologies.

Walk away from deriving equations and formulas … Understand by building your own working Excel models

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