# All ALM Posts

- Calculating EXCEL Duration Between Bond Coupon Payments
- CIR Interest Rate Model – Appropriate Time Step
- ILAAP ALM LCR Reports template validator
- Liquidity gap – Implementation.
- ALM training for board & ALCO members.
- Asset liability mismatch – NII, Earnings, gaps, asset & liability sensitivity
- Net Interest Income (NII) vs Economic Value (EVE)
- Asset Liability Management Training Guide. 3rd Edition.
- Asset Liability Management? Why do we need it, how do we use it?
- Bank Asset Liability Management (ALM) – A quick review of ALM strategies
- A visual history of US Treasury yield curve shifts from 1978 – 2014
- Fixed Income Risk: Calculating Value at Risk (VaR) for Bonds
- BDT Interest Rate Model – Limitations and Solutions in EXCEL
- Using US Treasuries to calibrate the Black Derman Toy (BDT) Model
- Chicago – Society of Actuaries, CAS, PRMIA Enterprise Risk Symposium
- Bond Duration Convexity calculations for US Treasuries
- Risk Models, Option pricing & Bank Regulation training – 2013 guide
- Asset Liability Management Banking Models – Assumptions, Convention & Hacks
- 16 free Risk Treasury Option pricing lessons
- Risk Frameworks & Applications – 2nd Edition – The text book for Risk, Treasury & Derivative pricing courses.
- Practice Test Exam Solution – Bootstrapping Forward Curve Case Study
- Fixed Income Portfolio Management & Optimization Case Study
- Calculating Value at Risk and Asset Liability Management Test bank now live on the Apple iTune store.
- Understanding ALM and Calculating Value at Risk iBooks featured on the Apple iTunes store
- Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
- Risk Exposure: Target account and ALM. Wrapping up the Banc One case
- FourQuants does iPad Risk books on ALM, Risk, VaR and Treasury Management
- Asset Liability Management case study
- Cox-Ingersoll-Ross. CIR model. Parameter calibration & simulation
- Addendum: How to conduct a Principal Component Analysis in EXCEL
- BASEL III Updates – November 2014
- ALM Glossary of Terms.
- Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
- Stress Testing, ALM, Capital Adequacy online courses
- Earnings at Risk – Asset Liability Management reporting
- Economic value of equity – Asset Liability Management reporting
- Liquidity Risk Management Case Study: American International Group (AIG): Timeline
- Liquidity Risk Management Case Study: American International Group (AIG)
- Liquidity Risk Management Case Study: Lehman Brothers Liquidity Run: Timeline
- Liquidity Risk Management Case Study: Lehman Brothers
- Liquidity Risk Training online video course – Episode one
- Liquidity Risk Management – A framework for estimating liquidity risk capital for a bank
- Liquidity Risk Management Case Study: The Bear Stearns Liquidity Run: Timelines
- Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
- Asset Liability Management (ALM): Measuring Liquidity Risk: Cost-to-Close Liquidity Gap
- Bank ALM: Liquidity Risk. Cost-to-Close Example
- ALM: Quantifying Liquidity Risk: Cost-to-Close Liquidity Gap Methodology
- The ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk Road Map
- Bond Convexity and Sensitivity for Fixed Income securities
- Duration Convexity Calculation Example: Working with Effective Duration
- Macaulay Duration Excel calculation example
- Interest Rate Risk: Convexity
- Building BDT model in EXCEL – How to utilize the results of a BDT interest rate model: Pricing Options
- Building BDT model in EXCEL – How to utilize the results of a BDT interest rate model: Pricing Bonds
- Building BDT model in EXCEL – How to utilize the results of a BDT interest rate model: Derivation of Short Rates
- Building BDT model in EXCEL – Define & Set Solver Function & Results
- Building BDT model in EXCEL – Define Calculation Cells: Calculate Yields & Yield volatility from Lattice
- Building BDT model in EXCEL – Define Calculation Cells: Calculate Prices from Lattice
- Building BDT model in EXCEL – Define Calculation Cells: Construct State Price Lattices
- Building BDT model in EXCEL – Define Calculation Cells: Construct short rate binomial tree
- Interest Rate Models – An introduction
- How to conduct a Principal Component Analysis in EXCEL – Solver Setup & Results
- How to conduct a Principal Component Analysis in EXCEL – Diagonal Matrix
- How to conduct a Principal Component Analysis in EXCEL – Eigenvectors
- How to conduct a Principal Component Analysis in EXCEL – Covariance Matrix
- How to conduct a Principal Component Analysis in EXCEL – Data
- Principal Component Analysis – Overview
- Building an HJM Model in EXCEL – Determine Prices
- Corporate Finance Training Course Guide Road Map
- Interest Rate Simulations: Pricing securities, forecasting monetary policy
- Building an HJM Model in EXCEL – Define calculation cells
- Building an HJM Model in EXCEL – Define input cells
- CIR Model – Simulating the term structure of interest rates
- CIR Model – Parameter estimation & model calibration
- Interest Rate Forecasting using CIR Model – Introduction
- A risk applications textbook with a difference: Risk Frameworks, 2nd Edition is here
- Building BDT model in EXCEL – Define Output Cells
- Building BDT model in EXCEL – Define Input Cells
- Black Derman Toy model Excel implementation
- Asset Liability Management – The ALM Crash course
- Interest Rate Risk: Duration, Macaulay Duration and Modified Duration
- Asset Liability Management – Other ALM Tools and Applications –
- Asset Liability Management – Introducing ALM
- ALM reports – Rate Sensitive Gaps, Earnings at Risk, Cost to Close, MVE Analysis
- Duration Convexity Asset Liability Management
- Interest Rate Risk: Convexity approximation