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