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All ALM Posts

All ALM Posts

  1. Calculating EXCEL Duration Between Bond Coupon Payments
  2. CIR Interest Rate Model – Appropriate Time Step
  3. ILAAP ALM LCR Reports template validator
  4. Liquidity gap – Implementation.
  5. Society of Actuaries Asset Liability Management (ALM) Training Dubai December 2014
  6. ALM training for board & ALCO members.
  7. Asset liability mismatch – NII, Earnings, gaps, asset & liability sensitivity
  8. Net Interest Income (NII) vs Economic Value (EVE)
  9. Asset Liability Management Training Guide. 3rd Edition.
  10. Asset Liability Management? Why do we need it, how do we use it?
  11. Bank Asset Liability Management (ALM) – A quick review of ALM strategies
  12. A visual history of US Treasury yield curve shifts from 1978 – 2014
  13. Fixed Income Risk: Calculating Value at Risk (VaR) for Bonds
  14. BDT interest rate model – Limitations with EXCEL’s Solver Functionality and Workaround
  15. Using US Treasuries to calibrate the Black Derman Toy (BDT) Model
  16. Chicago – Society of Actuaries, CAS, PRMIA Enterprise Risk Symposium – Random snapshots
  17. Bond Duration Convexity calculations for US Treasuries
  18. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  19. Asset Liability Management Banking Models – Assumptions, Convention & Hacks
  20. 16 free Risk Treasury Option pricing lessons
  21. Risk Frameworks & Applications – 2nd Edition – The text book for Risk, Treasury & Derivative pricing courses.
  22. Practice Test Exam Solution – Bootstrapping Forward Curve Case Study
  23. Fixed Income Portfolio Management & Optimization Case Study
  24. Calculating Value at Risk and Asset Liability Management Test bank now live on the Apple iTune store.
  25. Understanding ALM and Calculating Value at Risk iBooks featured on the Apple iTunes store
  26. Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
  27. Risk Exposure: Target account and ALM. Wrapping up the Banc One case
  28. FourQuants does iPad Risk books on ALM, Risk, VaR and Treasury Management
  29. Asset Liability Management case study
  30. Cox-Ingersoll-Ross. CIR model. Parameter calibration & simulation
  31. Addendum: How to conduct a Principal Component Analysis in EXCEL
  32. BASEL III Updates – November 2014
  33. ALM Glossary of Terms.
  34. Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
  35. Stress Testing, ALM, Capital Adequacy online video courses
  36. Earnings at Risk – Asset Liability Management reporting
  37. Economic value of equity – Asset Liability Management reporting
  38. Liquidity Risk Management Case Study: American International Group (AIG): Timeline
  39. Liquidity Risk Management Case Study: American International Group (AIG)
  40. Liquidity Risk Management Case Study: Lehman Brothers Liquidity Run: Timeline
  41. Liquidity Risk Management Case Study: Lehman Brothers
  42. Liquidity Risk Training online video course – Episode one
  43. Finance Training Courses: ICAAP: Win a seat at the ICAAP Treasury Risk Workshop, Langkawi at your price!
  44. Liquidity Risk Management – A framework for estimating liquidity risk capital for a bank
  45. Liquidity Risk Management Case Study: The Bear Stearns Liquidity Run: Timelines
  46. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  47. ICAAP Training Workshops – 3 days – Langkawi, Malaysia, March 2011
  48. ICAAP Models, ALM, Interest Rate Simulations for ICAAP, Langkawi
  49. Asset Liability Management (ALM): Measuring Liquidity Risk: Cost-to-Close Liquidity Gap
  50. The Asset Liability and Liquidity Management Training Workshop, Subang Holiday Resort, Kula Lumpur, Malaysia, January 2011.
  51. Bank ALM: Liquidity Risk. Cost-to-Close Example
  52. ALM: Quantifying Liquidity Risk: Cost-to-Close Liquidity Gap Methodology
  53. The ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk Road Map
  54. Bond Convexity and Sensitivity for Fixed Income securities
  55. Duration Convexity Calculation Example: Working with Effective Duration
  56. Macaulay Duration Excel calculation example
  57. Interest Rate Risk: Convexity
  58. 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
  59. 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
  60. 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
  61. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define & Set Solver Function & Results
  62. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Yields & Yield volatility from Lattice
  63. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Calculate Prices from Lattice
  64. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct State Price Lattices
  65. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct short rate binomial tree
  66. Interest Rate Models. An introductions
  67. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Solver Setup & Results
  68. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Diagonal Matrix
  69. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Eigenvectors
  70. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Covariance Matrix
  71. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Data
  72. Interest Rate Modelling: Principal Component Analysis (PCA) : Overview
  73. Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Determine Prices
  74. Corporate Finance Training Course Guide Road Map
  75. Interest Rate Simulations: Pricing securities, forecasting monetary policy
  76. HJM (Heath Jarrow Merton) Model: Define calculation cells
  77. Interest Rate Modelling: HJM (Heath Jarrow Merton) Model: How to construct an Interest Rate Model in Excel – Define input cells
  78. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Simulating the term structure of interest rates
  79. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Estimating Parameters & Calibrating the CIR Model
  80. Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Introduction
  81. Forecasting Interest Rates and Applications workshop: December 28th, 29th
  82. A risk applications textbook with a difference: Risk Frameworks, 2nd Edition is here
  83. Interest Rate Models: Building Black, Derman and Toy (BDT) in Excel: Define Output Cells
  84. Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Input Cells
  85. Black Derman Toy model Excel implementation.
  86. Asset Liability Management – Crash Course
  87. Asset Liability Management – The ALM Crash course
  88. Interest Rate Risk: Duration, Macaulay Duration and Modified Duration
  89. Asset Liability Management – Other ALM Tools and Applications –
  90. Asset Liability Management – Introducing ALM
  91. ALM reports – Rate Sensitive Gaps, Earnings at Risk, Cost to Close, MVE Analysis
  92. Duration Convexity Asset Liability Management
  93. Interest Rate Risk: Convexity approximation