Asset Liability Management (ALM) Crash Course
PDF notes
 ALM Crash Course
 Value at Risk with Liquidity Premium
EXCEL Worksheets
 ALM Crash Course – Excel Examples [includes Cost of Close Liquidity Gaps, Cost of Close Interest Rate Risk, Earnings at Risk, Market Value of Equity]
 Duration Convexity Example
 Value at Risk with Liquidity Premium – EXCEL Example


Basel & ICAAP
PDF notes
 ICAAP – Overview & Core Concepts
 ICAAP Sample Report Template & Executive Summary
 Basel III – Liquidity Framework


BlackDermanToy (BDT) Interest Rate Model
PDF notes
 How to construct a Black Derman Toy Model in EXCEL
 How to utilize results of a Black Derman Toy Model
EXCEL Worksheets
 BlackDermanToy Model Construction – EXCEL Example
 How to utilize results of a Black Derman Toy Model – EXCEL Example


Calculating Value at Risk (VaR)
PDF notes
 Calculating VaR – Includes case study
 Value at Risk with Liquidity Premium
EXCEL Worksheets
 Calculating VaR – EXCEL Example
 Portfolio VaR – EXCEL Example
 Value at Risk with Liquidity Premium – EXCEL Example


Constructing Volatility Surfaces in EXCEL
PDF notes
 Constructing Volatility Surfaces in EXCEL
EXCEL Worksheets
 Local Volatility Surface Model NVIDIA


Credit Analysis & Credit Process
PDF notes
 Credit Analysis – First Course
 Credit Analysis – Financial Institution
 Credit Process
EXCEL Worksheets
 Credit Analysis – Financial Institution – EXCEL Example


Derivative Products
PDF notes
 Derivatives Terminology Crash Course
 Derivative Products


Forward Prices and Forward Rates – Calculation reference & detailed examples
PDF notes
 Calculating Forward Price and Forward Rates in EXCEL
EXCEL Worksheets
 Calculating Forward Prices, Rates, YTM & FRA Values


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


Interest Rate Simulation Crash Course
PDF notes
 Interest Rate Simulation Crash Course
EXCEL Worksheets
 Pricing IRS – Module I – Term Structures EXCEL Example
 Calibration of CIR Model Example
 BlackDermanToy Model Construction – EXCEL Example
 How to utilize results of a Black Derman Toy Model – EXCEL Example
 Heath Jarrow Merton – HJM 3 – Factor Interest Rate Model
 Principal Component Analysis – PCA – US Treasury Yield Rates


Monte Carlo Simulation
EXCEL Worksheets
 Monte Carlo Simulation – Commodity – Example
 Monte Carlo Simulation – Currency – Example
 Monte Carlo Simulation – Equity – Example


Monte Carlo Simulation with Option Pricing
PDF Note
 Derivative Pricing
 Monte Carlo Simulation – Model and Applications
EXCEL Worksheets
 Valuing Options – Traditional Binomial Trees – Examples
 Valuing Options – Black Scholes – Examples
 Derivative Pricing – Binomial Trees – Example
 Derivatives Pricing using Monte Carlo Simlator
 Pricing Ladder Options using Monte Carlo Simlator


Pricing Interest Rate Swaps and Interest Rate Options
PDF notes
 Pricing IRS – Module I – Term Structures
 Pricing IRS – Module II – IRS and CCS
 Pricing Interest Rate Options – Module III
EXCEL Worksheets
 Pricing IRS – Module I – Term Structures EXCEL Example
 Pricing IRS – Module II – IRS and CCS EXCEL Example
 Pricing Interest Rate Options – Module III EXCEL Example


Setting Counterparty Limits
PDF notes
 Setting Counterparty Limits
 Sample Counterparty Limit Proposal
EXCEL Worksheets
 Setting Limits – EXCEL Example


Treasury Crash Course
PDF notes
 Treasury Crash Course
 Value at Risk with Liquidity Premium
EXCEL Worksheets
 ALM Crash Course – Excel Examples [includes Cost of Close Liquidity Gaps, Cost of Close Interest Rate Risk, Earnings at Risk, Market Value of Equity]
 Duration Convexity Example
 Calculating VaR – EXCEL Example
 Value at Risk with Liquidity Premium – EXCEL Example


Understanding Delta Hedging and Greeks
PDF notes
 Understanding Delta Hedging and Greeks
EXCEL Worksheets
 Delta Hedging – Call Option
 Delta Hedging – Put Option
 Greeks

