All ALM Posts

< 1 min read

  1. EXCEL Duration Calculation between Coupon Payments
  2. CIR Model – Appropriate Time Step
  3. ILAAP ALM LCR Reports Template Validator
  4. Liquidity Gap Implementation Challenges
  5. ALM Training for Board & ALCO Members
  6. Asset Liability Mismatch
  7. NII in banking vs Economic Value
  8. Asset Liability Management Training Guide. 3rd Edition.
  9. ALM’s Purpose and Uses
  10. ALM Strategies – Scenarios & Responses
  11. Yield Curve History – US Treasuries
  12. Calculate value at risk for Bonds
  13. BDT Interest Rate Model – Limitations and Solutions in EXCEL
  14. Using US Treasuries to calibrate the Black Derman Toy (BDT) Model
  15. Chicago – Society of Actuaries, CAS, PRMIA Enterprise Risk Symposium
  16. Duration and Convexity for US Treasuries
  17. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  18. ALM Modeling – Assumptions, Conventions & Hacks
  19. 16 free Risk Treasury Option pricing lessons
  20. Bootstrap Forward Curve – Exam Solution
  21. Model Fixed Income Portfolio – Case Study
  22. Calculating Value at Risk and Asset Liability Management Test bank now live on the Apple iTune store.
  23. Understanding ALM and Calculating Value at Risk iBooks featured on the Apple iTunes store
  24. Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
  25. Risk Exposure: Target account and ALM. Wrapping up the Banc One case
  26. FourQuants does iPad Risk books on ALM, Risk, VaR and Treasury Management
  27. Asset Liability Management Case Study
  28. CIR Interest Rate Model
  29. Addendum: How to conduct a Principal Component Analysis in EXCEL
  30. BASEL III Updates – November 2014
  31. ALM Glossary of Terms
  32. Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
  33. Earnings at Risk – Asset Liability Management reporting
  34. How to calculate Economic value of Equity or market value of Equity at risk
  35. Liquidity Risk Management Case Study: American International Group (AIG): Timeline
  36. Liquidity Risk Management Case Study: American International Group (AIG)
  37. Lehman Brothers Liquidity Run
  38. Liquidity Risk Management Case Study: Lehman Brothers
  39. Liquidity Risk Training online video course – Episode one
  40. Liquidity Risk Management – Framework for Capital estimation
  41. Bear Stearns Liquidity Run
  42. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  43. Cost to Close Report – Liquidity Risk
  44. Liquidity Risk – Cost to Close Liquidity Gap
  45. The ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk Road Map
  46. Bond Convexity and Sensitivity for Fixed Income securities
  47. Duration Convexity Calculation Example: Working with Effective Duration
  48. Macaulay Duration – EXCEL Calculation
  49. Interest Rate Risk: Convexity
  50. Building BDT model in EXCEL – How to utilize the results of a BDT interest rate model: Pricing Options
  51. Building BDT model in EXCEL – How to utilize the results of a BDT interest rate model: Pricing Bonds
  52. Building BDT model in EXCEL – How to utilize the results of a BDT interest rate model: Derivation of Short Rates
  53. Building BDT model in EXCEL – Define & Set Solver Function & Results
  54. Building BDT model in EXCEL – Define Calculation Cells: Calculate Yields & Yield volatility from Lattice
  55. Building BDT model in EXCEL – Define Calculation Cells: Calculate Prices from Lattice
  56. Building BDT model in EXCEL – Define Calculation Cells: Construct State Price Lattices
  57. Building BDT model in EXCEL – Define Calculation Cells: Construct short rate binomial tree
  58. Interest Rate Models – An introduction
  59. How to conduct a Principal Component Analysis in EXCEL – Solver Setup & Results
  60. How to conduct a Principal Component Analysis in EXCEL – Diagonal Matrix
  61. How to conduct a Principal Component Analysis in EXCEL – Eigenvectors
  62. How to conduct a Principal Component Analysis in EXCEL – Covariance Matrix
  63. How to conduct a Principal Component Analysis in EXCEL – Data
  64. Principal Component Analysis – Overview
  65. Building an HJM Model in EXCEL – Determine Prices
  66. Corporate Finance Training Course Guide Road Map
  67. Building an HJM Model in EXCEL – Define calculation cells
  68. Building an HJM Model in EXCEL – Define input cells
  69. CIR Model – Simulating the term structure of interest rates
  70. CIR Model Parameter Estimation
  71. Interest Rate Forecasting using CIR Model – Introduction
  72. Building BDT model in EXCEL – Define Output Cells
  73. Building BDT model in EXCEL – Define Input Cells
  74. Black Derman Toy model EXCEL implementation
  75. Interest Rate Risk: Duration, Macaulay Duration and Modified Duration
  76. Asset Liability Management Tools
  77. Introduction to Asset Liability Management
  78. ALM reports – Rate Sensitive Gaps, Earnings at Risk, Cost to Close, MVE Analysis
  79. Duration Convexity Asset Liability Management
  80. Interest Rate Risk: Convexity approximation