1. A simplified guide for reverse stress testing
  2. ICAAP and ILAAP guidelines for European Banks.
  3. Asset Liability Management Training Guide. 3rd Edition.
  4. Bank Asset Liability Management (ALM) – A quick review of ALM strategies
  5. A visual history of US Treasury yield curve shifts from 1978 – 2014
  6. Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
  7. Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
  8. Building Maturity Liquidity profiles for Deposits and Advances book for ALCO (ALM), ICAAP IAS 30 reporting
  9. Stress Testing, ALM, Capital Adequacy online courses
  10. Understanding Stress Testing: A guide to stress testing for board members
  11. Market Risk Metrics – Volatility Trend Analysis
  12. Market Risk Metrics – Put Premium
  13. Market Risk Metrics – Sharpe and Treynor Ratios
  14. Market Risk Metrics – Jensen’s Alpha
  15. Market Risk Metrics – Holding Period Return
  16. Basel III Enhancement – Linking liquidity crisis with Liquidity Coverage Ratio and Stable Funding Ratios
  17. Basel III – Liquidity Framework – Metrics for monitoring liquidity risk
  18. Basel III – Liquidity Framework- Net Stable Funding Ratio (NSFR)
  19. Basel III – Liquidity Coverage Ratio (LCR) – The Denominator: Total Net Cash Outflows
  20. Basel III – Liquidity Framework – Liquidity Coverage Ratio (LCR) – The Numerator: Value of Stock of High Quality Liquid Assets
  21. Basel III – Liquidity framework – Introducing the supervisory approach global liquidity ratio standards
  22. Setting Risk Limits: Worst Case Loss versus Most likely loss
  23. ICAAP: Aggregating Risk: Copulas
  24. Liquidity Risk Training online video course – Episode one
  25. ICAAP: Internal Capital Adequacy Assessment: Strategic and Liquidity Risk: The missing links
  26. Liquidity Risk Management – A framework for estimating liquidity risk capital for a bank
  27. Liquidity Risk Management Case Study: The Bear Stearns Liquidity Run: Timelines
  28. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  29. ICAAP Strategic Risk – Estimating ICAAP Capital reserve for Strategic Risk
  30. ICAAP: Stress Test: Liquidity Risk
  31. ICAAP: Stress Test: Market Risk
  32. ICAAP: Credit Risk: Stress Test: Profitability Analysis Stress Test
  33. ICAAP: Credit Risk: Stress Test: Transition Matrix Stress Test
  34. ICAAP: Credit Risk: Stress Test: Profitability Analysis of a bank’s loan portfolio
  35. ICAAP: Credit Risk: Stress Test: How to Determine Expected Classification Rates
  36. ICAAP: Credit Risk: Stress Test: How to construct a Transition Matrix
  37. ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Fall in Forced Sale Value (FSV) of mortgaged collateral
  38. ICAAP Compliance: Credit Risk: Stress Test: Simple Sensitivity Analysis – Increase & Shift in NPL
  39. ICAAP Submission: Credit Risk: Stress Test: Non – Performing Loan (NPL) Stress Test
  40. ICAAP Submissions: Probability of Default (PD) Calculation
  41. Internal Capital Adequacy Assessment Process (ICAAP): Prevention and Limitation of Model Risks
  42. Internal Capital Adequacy Assessment Process (ICAAP): Model Risks
  43. Internal Capital Adequacy Assessment Process (ICAAP): Modeling Building Process
  44. Internal Capital Adequacy and Assessment Process (ICAAP): Report – main elements
  45. ICAAP: Assessment Requirements: Approach, Nature , Comparative View to MCR and Review Process
  46. ICAAP: Process Requirements: Purpose, Pre-requisites, Board of Director Responsibilities and Documentation
  47. Internal Capital Adequacy Assessment Process – Basel II
  48. Internal Capital Adequacy Assessment Process: Basel II – Background
  49. Collateral Valuation: Credit Risk: Approaches for other assets
  50. Collateral Valuation: Credit Risk: Cost Approach for real estate
  51. Collateral Valuation: Credit Risk: Income Capitalization Approach for real estate
  52. Collateral Valuation – Sales Comparison Approach for real estate
  53. Collateral Valuation: Credit Risk: Real Estate Valuation Approaches
  54. Collateral Valuation – General principles
  55. Collateral Valuation: Credit Risk: Importance of collateral valuation to credit risk management
  56. Collateral Valuation: Pledged assets and collateral law
  57. Collateral Valuation: Credit Risk: Role of collateral in Financial Intermediation
  58. Collateral Valuation – Extent of collateral & Performance indicators
  59. Collateral Valuation: Credit Risk: Definition and Types
  60. ICAAP (Internal Adequacy Assessment Process) Reporting Excel Template now available for download
  61. ICAAP: Internal Capital Adequacy Assessment – Sample ICAAP report format and table of content