3 mins readAsset Liability ManagementAsset Liability Management – Introducing ALMAsset Liability Management – Other ALM Tools and ApplicationsAsset Liability Management – Rate Sensitive Gaps, Earnings at Risk, Cost to Close and MVE AnalysisInterest Rate Risk: Duration, Macaulay Duration and Modified DurationDuration, Convexity and Asset Liability Management – Calculation referenceInterest Rate Risk: Convexity approximationDuration & Convexity Calculation Example: Working with Convexity and SensitivityDuration & Convexity Calculation Example: Working with Effective DurationDuration & Convexity calculation example: Working with Macaulay & Modified DurationInterest Rate Risk: ConvexityALM: Liquidity Risk Measure: Cost-to-Close ExampleALM: Quantifying Liquidity Risk: Cost-to-Close Liquidity Gap MethodologySetting Limits: Interest Rate Risk ManagementCredit Risk and Counterparty Limits: Pre-settlement Risk and Settlement RiskLimits: Trading Limits – Duration, Convexity and PVBP LimitsSetting Limits: Value at Risk and Regulatory Approach LimitsLiquidity Risk Management – A framework for estimating liquidity risk capital for a bankLiquidity Risk Management Case Study: The Liquidity run cycle illustrated: Bear Stearns – June 2007 to 16th March 2008Liquidity Risk Management Case Study: The Bear Stearns Liquidity Run: TimelinesLiquidity Risk Management Case Study: Lehman BrothersLiquidity Risk Management Case Study: Lehman Brothers Liquidity Run: TimelineLiquidity Risk Management Case Study: American International Group (AIG)Liquidity Risk Management Case Study: American International Group (AIG): TimelineAsset Liability Management – Earnings at RiskAsset Liability Management – Fall in Market Value of EquityBack to topALM – Interest Rate ModellingInterest Rate Modelling: Introduction Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Introduction Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Estimating Parameters & Calibrating the CIR Model Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Simulating the term structure of interest rates Interest Rate Models: Black, Derman and Toy (BDT): Building BDT in Excel: IntroductionInterest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Input CellsInterest Rate Models: Building Black, Derman and Toy (BDT) in Excel: Define Output CellsInterest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct short rate binomial tree Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct State Price Lattices Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Prices from Lattice Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Yields & Yield volatility from Lattice Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define & Set Solver Function & Results Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Derivation of Short Rates Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Pricing Bonds Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: How to utilize the results of a BDT interest rate model: Pricing OptionsInterest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Define input cells Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Define calculation cells Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Determine PricesInterest Rate Modelling: Principal Component Analysis (PCA) : Overview Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Data Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Covariance Matrix Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Eigenvectors Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Diagonal Matrix Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Solver Setup & Results Back to topRelated Posts Interest Rate Modelling Posts Index The ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk Road Map Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Yields & Yield volatility from Lattice Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct short rate binomial tree Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Prices from Lattice