Topic Guides

FourQuants offers prepackaged topic guides consisting of downloadable PDF notes with EXCEL examples and templates.

The following is a list of topic guides are available:

Asset Liability Management (ALM) Crash Course

PDF notes

  1. ALM Crash Course
  2. Value at Risk with Liquidity Premium

EXCEL Worksheets

  1. ALM Crash Course – Excel Examples [includes Cost of Close Liquidity Gaps, Cost of Close Interest Rate Risk, Earnings at Risk, Market Value of Equity]
  2. Duration Convexity Example 
  3. Value at Risk with Liquidity Premium – EXCEL Example

Basel & ICAAP

PDF notes

  1. ICAAP – Overview & Core Concepts
  2. ICAAP Sample Report Template & Executive Summary
  3. Basel III – Liquidity Framework

Black-Derman-Toy (BDT) Interest Rate Model

PDF notes

  1. How to construct a Black Derman Toy Model in EXCEL
  2. How to utilize results of a Black Derman Toy Model

EXCEL Worksheets

  1. Black-Derman-Toy Model Construction – EXCEL Example
  2. How to utilize results of a Black Derman Toy Model – EXCEL Example

Calculating Value at Risk (VaR)

PDF notes

  1. Calculating VaR – Includes case study
  2. Value at Risk with Liquidity Premium

EXCEL Worksheets

  1. Calculating VaR – EXCEL Example
  2. Portfolio VaR – EXCEL Example
  3. Value at Risk with Liquidity Premium – EXCEL Example

Constructing Volatility Surfaces in EXCEL

PDF notes

  1. Constructing Volatility Surfaces in EXCEL

EXCEL Worksheets

  1. Local Volatility Surface Model -NVIDIA

Credit Analysis & Credit Process

PDF notes

  1. Credit Analysis – First Course
  2. Credit Analysis – Financial Institution
  3. Credit Process

EXCEL Worksheets

  1. Credit Analysis – Financial Institution – EXCEL Example

Derivative Products

PDF notes

  1. Derivatives Terminology Crash Course
  2. Derivative Products

Forward Prices and Forward Rates – Calculation reference & detailed examples

PDF notes

  1. Calculating Forward Price and Forward Rates in EXCEL

EXCEL Worksheets

  1. Calculating Forward Prices, Rates, YTM & FRA Values

Heath Jarrow Merton (HJM) Interest Rate Model

EXCEL Worksheets

  1. Pricing IRS – Module I – Term Structures EXCEL Example
  2. Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model
  3. Principal Component Analysis – PCA – US Treasury Yield Rates

Interest Rate Simulation Crash Course

PDF notes

  1. Interest Rate Simulation Crash Course

EXCEL Worksheets

  1. Pricing IRS – Module I – Term Structures EXCEL Example
  2. Calibration of CIR Model Example
  3. Black-Derman-Toy Model Construction – EXCEL Example
  4. How to utilize results of a Black Derman Toy Model – EXCEL Example
  5. Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model
  6. Principal Component Analysis – PCA – US Treasury Yield Rates

Monte Carlo Simulation

EXCEL Worksheets

  1. Monte Carlo Simulation – Commodity – Example
  2. Monte Carlo Simulation – Currency – Example
  3. Monte Carlo Simulation – Equity – Example

Monte Carlo Simulation with Option Pricing

PDF Note

  1. Derivative Pricing
  2. Monte Carlo Simulation – Model and Applications

EXCEL Worksheets

  1. Valuing Options – Traditional Binomial Trees – Examples
  2. Valuing Options – Black Scholes – Examples
  3. Derivative Pricing – Binomial Trees – Example
  4. Derivatives Pricing using Monte Carlo Simlator
  5. Pricing Ladder Options using Monte Carlo Simlator

Pricing Interest Rate Swaps and Interest Rate Options

PDF notes

  1. Pricing IRS – Module I – Term Structures
  2. Pricing IRS – Module II – IRS and CCS
  3. Pricing Interest Rate Options – Module III

EXCEL Worksheets

  1. Pricing IRS – Module I – Term Structures EXCEL Example
  2. Pricing IRS – Module II – IRS and CCS EXCEL Example
  3. Pricing Interest Rate Options – Module III EXCEL Example

Setting Counterparty Limits

PDF notes

  1. Setting Counterparty Limits
  2. Sample Counterparty Limit Proposal

EXCEL Worksheets

  1. Setting Limits – EXCEL Example

Treasury Crash Course

PDF notes

  1. Treasury Crash Course
  2. Value at Risk with Liquidity Premium

EXCEL Worksheets

  1. ALM Crash Course – Excel Examples [includes Cost of Close Liquidity Gaps, Cost of Close Interest Rate Risk, Earnings at Risk, Market Value of Equity]
  2. Duration Convexity Example 
  3. Calculating VaR – EXCEL Example
  4. Value at Risk with Liquidity Premium – EXCEL Example

Understanding Delta Hedging and Greeks

PDF notes

  1. Understanding Delta Hedging and Greeks

EXCEL Worksheets

  1. Delta Hedging – Call Option
  2. Delta Hedging – Put Option
  3. Greeks

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