Browse By

ALM Posts Index

Asset Liability Management
  1. Asset Liability Management – Introducing ALM
  2. Asset Liability Management – Other ALM Tools and Applications
  3. Asset Liability Management – Rate Sensitive Gaps, Earnings at Risk, Cost to Close and MVE Analysis
  4. Interest Rate Risk: Duration, Macaulay Duration and Modified Duration
  5. Duration, Convexity and Asset Liability Management – Calculation reference
  6. Interest Rate Risk: Convexity approximation
  7. Duration & Convexity Calculation Example: Working with Convexity and Sensitivity
  8. Duration & Convexity Calculation Example: Working with Effective Duration
  9. Duration & Convexity calculation example: Working with Macaulay & Modified Duration
  10. Interest Rate Risk: Convexity
  11. ALM: Liquidity Risk Measure: Cost-to-Close Example
  12. ALM: Quantifying Liquidity Risk: Cost-to-Close Liquidity Gap Methodology
  13. Setting Limits: Interest Rate Risk Management
  14. Credit Risk and Counterparty Limits: Pre-settlement Risk and Settlement Risk
  15. Limits: Trading Limits – Duration, Convexity and PVBP Limits
  16. Setting Limits: Value at Risk and Regulatory Approach Limits
  17. Liquidity Risk Management – A framework for estimating liquidity risk capital for a bank
  18. Liquidity Risk Management Case Study: The Liquidity run cycle illustrated: Bear Stearns – June 2007 to 16th March 2008
  19. Liquidity Risk Management Case Study: The Bear Stearns Liquidity Run: Timelines
  20. Liquidity Risk Management Case Study: Lehman Brothers
  21. Liquidity Risk Management Case Study: Lehman Brothers Liquidity Run: Timeline
  22. Liquidity Risk Management Case Study: American International Group (AIG)
  23. Liquidity Risk Management Case Study: American International Group (AIG): Timeline
  24. Asset Liability Management – Earnings at Risk
  25. Asset Liability Management – Fall in Market Value of Equity
Back to top
ALM – Interest Rate Modelling
  1. Interest Rate Modelling: Introduction
  2. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Introduction
  3. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Estimating Parameters & Calibrating the CIR Model
  4. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Simulating the term structure of interest rates
  5. Interest Rate Models: Black, Derman and Toy (BDT): Building BDT in Excel: Introduction
  6. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Input Cells
  7. Interest Rate Models: Building Black, Derman and Toy (BDT) in Excel: Define Output Cells
  8. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct short rate binomial tree
  9. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct State Price Lattices
  10. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Prices from Lattice
  11. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Yields & Yield volatility from Lattice
  12. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define & Set Solver Function & Results
  13. 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
  14. 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
  15. 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 Options
  16. Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Define input cells
  17. Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Define calculation cells
  18. Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Determine Prices
  19. Interest Rate Modelling: Principal Component Analysis (PCA) : Overview
  20. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Data
  21. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Covariance Matrix
  22. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Eigenvectors
  23. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Diagonal Matrix
  24. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Solver Setup & Results
Back to top
Comodo SSL