All ALM Posts

  1. EXCEL Duration Calculation between Coupon Payments
  2. FAS 157 Fair value liabilities disclosure
  3. FAS 157 Term B syndicated loans fair value disclosure
  4. Fair value disclosure FAS 157 Revolving credit facilities
  5. CIR Model – Appropriate Time Step
  6. ILAAP ALM LCR Reports Template Validator
  7. Liquidity Gap Implementation Challenges
  8. ALM Training for Board & ALCO Members
  9. Asset Liability Mismatch
  10. NII in banking vs Economic Value
  11. Asset Liability Management Training Guide. 3rd Edition.
  12. ALM’s Purpose and Uses
  13. ALM Strategies – Scenarios & Responses
  14. Yield Curve History – US Treasuries
  15. Calculate value at risk for Bonds
  16. BDT Interest Rate Model – Limitations and Solutions in EXCEL
  17. Using US Treasuries to calibrate the Black Derman Toy (BDT) Model
  18. Chicago – Society of Actuaries, CAS, PRMIA Enterprise Risk Symposium
  19. Duration and Convexity for US Treasuries
  20. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  21. ALM Modeling – Assumptions, Conventions & Hacks
  22. 16 free Risk Treasury Option pricing lessons
  23. Bootstrap Forward Curve – Exam Solution
  24. Model Fixed Income Portfolio – Case Study
  25. Calculating Value at Risk and Asset Liability Management Test bank now live on the Apple iTune store.
  26. Understanding ALM and Calculating Value at Risk iBooks featured on the Apple iTunes store
  27. Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
  28. Risk Exposure: Target account and ALM. Wrapping up the Banc One case
  29. FourQuants does iPad Risk books on ALM, Risk, VaR and Treasury Management
  30. Asset Liability Management Case Study
  31. CIR Interest Rate Model
  32. Addendum: How to conduct a Principal Component Analysis in EXCEL
  33. BASEL III Updates – November 2014
  34. ALM Glossary of Terms
  35. Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
  36. Earnings at Risk – Asset Liability Management reporting
  37. How to calculate Economic value of Equity or market value of Equity at risk
  38. Liquidity Risk Management Case Study: American International Group (AIG): Timeline
  39. Liquidity Risk Management Case Study: American International Group (AIG)
  40. Lehman Brothers Liquidity Run
  41. Liquidity Risk Management Case Study: Lehman Brothers
  42. Liquidity Risk Training online video course – Episode one
  43. Liquidity Risk Management – Framework for Capital estimation
  44. Bear Stearns Liquidity Run
  45. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  46. Cost to Close Report – Liquidity Risk
  47. Liquidity Risk – Cost to Close Liquidity Gap
  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
  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. Building an HJM Model in EXCEL – Define calculation cells
  71. Building an HJM Model in EXCEL – Define input cells
  72. CIR Model – Simulating the term structure of interest rates
  73. CIR Model Parameter Estimation
  74. Interest Rate Forecasting using CIR Model – Introduction
  75. Building BDT model in EXCEL – Define Output Cells
  76. Building BDT model in EXCEL – Define Input Cells
  77. Black Derman Toy model EXCEL implementation
  78. Interest Rate Risk: Duration, Macaulay Duration and Modified Duration
  79. Asset Liability Management Tools
  80. Introduction to Asset Liability Management
  81. ALM reports – Rate Sensitive Gaps, Earnings at Risk, Cost to Close, MVE Analysis
  82. Duration Convexity Asset Liability Management
  83. Interest Rate Risk: Convexity approximation