Quantitative Finance EXCEL Models

Decode | Build | Deploy


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 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.

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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.

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BASEL INTERNAL CAPITAL ADEQUACY ASSESSMENT

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.

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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.

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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.

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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

Our History

Whether you are trying to comprehend asset liability management, simulate interest rates, build volatility surfaces, apply value at risk or optimize portfolio allocation across multiple asset classes, the traditional road to comprehension is littered with obtuse references. A large majority of textbook and academic courses in the computational finance field focus on deriving theoretical foundations. That works great if you are walking in with a PhD in Physics, Stochastic Calculus or Finance. But what if you are not? What if you have no idea how to translate the last 200 pages you have read into an Excel model that you can put to work tomorrow morning?
Welcome to FinanceTrainingCourse.com. We spent the last twenty-five years building financial models. We spent the last fifteen building bridges between practitioners in the field 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) we have helped customers and clients put real models at work to solve real life challenges. We use a unique market focused hands on model building approach that assumes very little prior advance quantitative background.

We assume some familiarity with finance, with statistical distribution, with Excel, and with financial modeling but that is it. You don’t need to be intimately familiar with the Black Scholes derivation, with Monte Carlo simulations or with Ito’s lemma. The approach evolved from teaching short two day to week long courses to corporate banking and treasury teams and executive MBA students across the Far East and MENA region. It was further refined by helping client board members navigate the challenges of interpreting risk numbers and models and putting them to work in the real world.

Books by our Team

Based on two decades of teaching notes and Q&A sessions, working with back office, treasury, risk and regulatory reporting platforms in the MENA region, this book provides a comprehensive practitioners’ understanding of risk management and frameworks applied in the financial services industry.

Provides a hands-on, practical guide to derivatives pricing. Aimed at the less quantitative practitioner, it gives a balanced account of options, Greeks and hedging techniques avoiding the complicated mathematics inherent to many texts, and with a focus on modelling, market practice and intuition.

Have you ever wondered what it’s like to fail as a founder? Could failure be the best thing that ever happened to you? If you crashed and burned, would you do it again? This book takes you through Jawwad Ahmed Farid’s ten year adventure with startup failure starting in New York and finishing in Karachi.

Our Team

Agnes Paul FSA – Risk & Treasury, Subject Matter Expert

Agnes Paul is a Fellow Society of Actuaries (FSA), a diehard Broadway musical fan, a wannabe archeologist and the goto person when it comes to building models at FourQuants. She has the touch that takes a complex differential equation and turns it into a readable excel spreadsheet. She is the co-author of Risk Frameworks & Applications and an avid reader of everything we purchase for our library.

Fawzia Salahuddin PMP – Technology & Infrastructure

When it comes to technology, why things break, what we need to do to keep them running, we look to Fawzia. A Masters in Computer Science from FAST, Fawzia built and ran the team that wrote more than 6 products in the risk, treasury and portfolio management space at Alchemy Technologies. Fawzia is a PMP certified project manager and a member of the adjunct faculty team at the FAST NUCES City Campus.

Jawwad Farid, FSA – Risk & Treasury, Subject Matter Expert

Jawwad is the reason why the rest of us don’t have regular, normal, relaxing, career enhancing, bonuses with six figures, jobs. He enjoys teaching, trekking, reading, writing and corrupting young minds. When he is not doing any of the above you can generally find him at your nearest airport rushing to catch the flight before they close the counter. Click here to read more about Jawwad.

Uzma Salahuddin – Production, Content & Design

Everything you like about our site’s design and our publication is because of Uzma Salahuddin. Everything you hate is because of the few instances when we didn’t listen to her or she was travelling. While Agnes and Jawwad focus on producing hundreds of words an hour, Uzma ensures that they go out in the world in a readable form. With a first degree in Architecture followed by a second in Media Development, Uzma has edited everything we have produced. She is a perfectionist who has ensured that we put our best foot forward for the last seven years.

Meet the Trainer

Jawwad Farid has been building, implementing risk models and back office systems since 1993. Working with clients on four continents he helps bankers, board members and regulators take a market relevant approach to risk management. He is essentially a numbers guy who gets business, technology and context across a range of regional and international markets.

Jawwad is a Fellow Society of Actuaries, (FSA, Schaumburg, IL), holds an MBA from Columbia Business School and is a computer science graduate from FAST NUCES. During the last twenty seven years, he has worked as an advisor and a consultant in North America, Middle East, Africa, Far East, United Kingdom and Pakistan. His previous employers and clients include Goldman Sachs, Andersen Worldwide, Merrill Lynch, Asian Development Bank, State Life, Wealth Management, Gabriel Partners, BMF-CPA, Security and Exchange Commission Pakistan, Adamjee Insurance, Dubai Islamic Bank, Mashreq Bank, May Bank and First Gulf Bank now (FAB).

Jawwad’s expertise include investment management, product development and risk models. He has advised multiple due diligence teams on risk assessment and valuation in banking, treasury and insurance sectors, set up FX and commodity hedging desks, built fair value models for illiquid securities for FAS 157 disclosures, estimated contingent liability reserves for banking and insurance products, implemented treasury and enterprise risk platforms, designed Economic Capital allocation strategies across business lines and helped a US$ 3 billion life insurance investment fund on allocation and bid patterns for 10, 20 and 30 year bonds, ALM mismatch and fixed income portfolio gap reduction in Pakistan as well as Middle East.
Jawwad has been engaged by the Central Bank, the Securities regulators, the local bankers and treasury association to put together and run nationwide capacity building programs specifically in the areas of treasury, enterprise risk, investment management and credit risk modeling. Since 2003 he has run and delivered over 200+ training workshop and courses for banking and financial services clients in MENA, the Subcontinent and Far East.
Jawwad is the author of four books of which the latest two are Option Greeks Primer and Models at Work, both published by Palgrave Macmillan. His current book project is a textbook on Portfolio Optimization Models that came out of his work as an investment advisor and as an instructor to Executive MBA students and bankers in Dubai, Singapore and Karachi. Jawwad is an adjunct faculty member at the SP Jain Global School of Management in Dubai and Singapore, at Institute of Business Administration (IBA), Karachi and Habib University, where he teaches Entrepreneurship, Risk Management, Derivative Pricing, Treasury and Advance Portfolio Optimization Models. His experiential learning approach to teaching computational and quantitative finance translates into an average participant feedback score of 4.6/5 in his courses.

Our Customers Love Us

Don’t Just Take Our Word For It.

Hands down the best, most useful and most relevant.

SAM
First Gulf Bank, Abu Dhabi

Learnt more in two days working with Jawwad than two years at graduate school.


ALICIA
Masters in Financial Engineering Student, New York City

Outstanding senior trainer with deep domain expertise. Uncanny ability to keep participants engaged.


NASR
Consultnomics, Riyadh

The truth is, it is difficult, if not impossible to find this much practical, applied financial education anywhere in one place.


ALEX
Independent Consultant, New York City

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