Asset Liability Management, Value at Risk and Capital Adequacy - EXCEL & PDF Library

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Download’s collection of Asset Liability Management, Value at Risk and Capital Adequacy courses. This rich collection of courses comes from our training practice where we have conducted over 150+ workshops with prestigious clients in the banking, regulatory and risk management industry in the region, as well as our risk advisory where we work with treasury and risk functions on a day-to-day basis on policy review, system implementations, gap analysis, model audits, valuation opinions and advise on risk settings and limit management processes.

The package includes PDF courses and EXCEL templates and examples ranging from basic topics to more advanced level courses such interest rate modelling and asset liability management.

The complete list is given below:

  1. Asset Liability Management (ALM) Crash Course - Package
  2. Basel & ICAAP - Package
  3. Basel III – Liquidity Framework
  4. Black Derman Toy (BDT) Interest Rate Model - Package
  5. Building Maturity & Liquidity Profiles for Deposits and Advances
  6. Calculating Value at Risk (VaR) - Package
  7. Calculating VaR for Futures and Options - EXCEL
  8. Calibration of Black Derman Toy (BDT) Interest Rate model to US Treasuries
  9. Calibration of CIR Model - EXCEL Example
  10. Collateral Valuation in Credit Risk Management - PDF Study Guide
  11. Comparing Value at Risk - Model, Methods and Metrics - EXCEL
  12. Cox Ingersoll Ross (CIR) Interest Rate model - EXCEL
  13. Duration and Convexity for US Treasury Bill, Note and Bond
  14. Heath Jarrow Merton (HJM) Interest Rate Model - Package
  15. Interest Rate Simulation Crash Course - Package
  16. Portfolio Risk Metrics – EXCEL
  17. Setting Counterparty Limits - Package
  18. Value at Risk using the Monte Carlo simulation with Historical Returns approach
  19. VaR for an illustrative portfolio of Interest Rate & Cross Currency Swaps - EXCEL Example
  20. ICAAP – Credit EXCEL Example
  21. Economic Capital - A Practitioner’s Guide
  22. Fixed Income Bond Duration – Monthly Coupon Payment Frequency - EXCEL
  23. Portfolio Optimization Models in EXCEL
  24. Value at Risk for Currency Forwards and Swaps

Please note: The ILAAP, ALM. LCR, NSFR Report Validator is not a part of this library and must be purchased separately.

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