Video Showcase

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    Duration: 73 mins

    Asset Liability Management

    The “Asset Liability Management (ALM) & Capital Adequacy” course looks at the overall ALM framework and various tools and reports that address the impact of interest rate changes to shareholder value and interest income sensitivity. A historical review of capital adequacy regulation is also presented from Regulation Q to Basel II to the liquidity risk extensions of Basel III.

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    Duration: 72 mins

    Value at Risk

    The “Calculating VaR” course walks through the various VaR methodologies; specific calculations for a multiple currency and commodity portfolio using an excel worksheet; questions that the measure can provide an answer to; a real-world case study; and the qualifications and limitations of using the VaR measure.

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    Duration: 180 mins

    Cross Selling Treasury Products

    The “Cross Selling Treasury Products” course presents a framework for empowering client facing treasury teams to go out and cross sell high value, high margin trading concepts to clients by educating customers about their exposures and presenting some of the solutions available to reduce the risk associated with those exposures.Our discussion revolves around 5 core themes: Price, Risk, Value, Products and Limits. We also present a case-study, relating to the Petrochemical industry, to illustrate the framework. We wrap up the course first with an overview of the core products typically used in a Treasury along with customer reactions to those solutions, and then with a review of vanilla and exotic derivative products.

  • alm-showcase

    Duration: 66 mins

    Derivative Pricing – Advanced

    The “Derivative Pricing – Advanced” course begins with a review of pricing using the traditional binomial tree method and then moves on to present how these instruments may be priced using the efficient Binomial tree approach. The Monte Carlo simulation approach is used to prices vanilla and exotic options and convergence and variance reduction techniques are presented for improving the accuracy and time to convergence of the results.

  • alm-showcase

    Duration: 123 mins

    Derivative Pricing – Basic

    The “Derivative Pricing – Basic” course begins with a discussion of the definition of a derivative instrument, the various types of derivative instruments, their similarities, differences and special features including their payoff profiles. Product variations within each derivative category are elaborated. Typical qualifications that are presented with a derivative instrument term sheet are reviewed. This is followed by an in depth look at the features and factors impacting the prices of derivative instruments.

  • alm-showcase

    Duration: 136 mins

    Monte Carlo Simulation

    The “Monte Carlo Simulation” course begins with an explanation of what a Monte Carlo simulator is and how it can be linked to a financial model. It is followed by a walkthrough of the construction of a basic simulator in EXCEL for stock prices and how the model may be extended for simulating currency rates and commodity prices. Why the model cannot be used for simulating interest rates is also discussed. The similarities between the Monte Carlo simulation model, the Black Scholes model and the Binomial Tree Approach are considered.

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    Duration: 117 mins

    Quant Crash Course

    The “Quant Crash Course” covers volatility, value at risk, capital and limit management frameworks for a treasury function. It explains the essential elements of a given distribution; considers volatility and correlation in relation to a valuation and risk management or control system; discusses the importance of duration and convexity to the risk management process; reviews Value at Risk (VaR) including its various applications and limitations; demonstrates how a risk framework may be built around capital and reviews an ICAAP model framework and a limits management process; and discusses various limits such as counterparty (including Pre-settlement risk), transaction, exposure and sensitivity limits.

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    Duration: 198 mins

    Stress Testing

    The “Stress Testing” course review the concepts of stress testing, risk capital, value at risk, asset liability management and capital adequacy applications for stress testing. The course covers the he need for stress testing, stress testing capital and stress testing methodology / framework for price risk, credit risk, interest rate mismatch & ALM as well looks at various ALM reports. Related topics, included as part of this course, are the Calculating Value at Risk Course, Understanding Capital, a review of the evolution of Capital Adequacy requirements and ICAAP, Basel II and Basel III’s liquidity extensions, and the linkage between optionality, volatility, duration and convexity.

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    Duration: 102 mins

    Understanding N(d1) and N(d2)

    The “Understanding N(d1) and N(d2)” course provides a theoretical overview of the interpretation of and an explanation for the difference between the risk-adjusted probabilities of the Black-Scholes option pricing formula as well as demonstrates the same practically with the aid of a Monte Carlo simulation model.

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