How-to Tutorials

What would you like to learn today? Our computational finance and financial modeling How-to posts & tutorials that walk you through specific topics or questions you might have. Topics include Bank ALM, Treasury, Portfolio Optimization, ICAAP, Derivative Pricing, Monte Carlo Simulation, Credit Analysis and Oil Price modeling.

Below is a list of some of our more popular tutorials that you may find useful:

Asset Liability Management

1. How to calculate Earnings at Risk
A VaR based approach that takes into account non-parallel shifts in the term structure and its impact on the earnings portfolio of the bank.

2. How to calculate Economic value of equity (EVE) or Fall in Market Value of Equity (MVE).
EVE or MVE derived from changes in the market values of assets and liabilities based on the value at risk (VaR) approach.

3. How to calculate duration for bonds with settlement dates between coupon dates using EXCEL?
We demonstrate how to calculate duration from first principles and how the results tally with numbers generated using EXCEL DURATION (for Macaulay Duration), PRICE & MDURATION (for Modified Duration) functions.


Interest Rate Modelling

Option Pricing

Value at Risk