Econmic Capital Modeling – Using accounting data With the arrival of fair value accounting, mark to market disclosures and Sarbanes Oxley (SOX) the quality of accounting data has improved over the last decade. It is not a perfect proxy for ground realities but it is represents
The post Economic Capital Modeling – The appeal of using accounting data appeared first on Finance Training Course.
Till November 30th, take $60 off the cover price when you order your electronic copy. The package include a 71 page study guide and 3 supplementary Excel Spreadsheets that focus on Monte Carlo Simulation of Dynamic Delta Hedging, Calculation of Cash PnL & Dissection of Option Price Sensitivities (Greeks).
Learn more about the title through the Delta Hedging & Greeks Book launch post.
Here is a list of free resources covering risk and treasury training available on FinanceTrainingCourse.com. They include:
Based on the RM-I & RM-II courses taught at the SP Jain campus in Dubai and Singapore.
Sample cases, exams, solved solutions & weekend quant challenges.
Two separate themes that focus on treasury pricing and risk management models in Excel
Welcome to the weekend and three spanking new courses live at Finance Training Course.com
In the Pitching Case Studies course (55 minutes) we review common challenges faced by startup and venture teams in making an impression, including:
The Pitching your business plan course (3 hours and change) was the original pre-requisite that led to Pitching Case Studies. While case studies dissected actual pitches, Pitching your business plans presented the framework that was used for dissection. Starting from the voice of the customer, we quickly waltz through business models, competition, competitive advantage and pitching.
In early September we ran Cross Selling Treasury Products (90 minutes) in Dubai for an audience of Corporate and Private Bankers. A market oriented video edition of our Treasury risk series, the Treasury product course focuses on the client exposure estimation question. Designed for Corporate RM’s and account managers, the video helps walk through the process and tools required to structure a solution for a client using a case study. Cross Selling Treasury Products goes live for purchase on Monday, 17th October.
Follow us on:
Three new posts at the Finance Training Course portal this week that broke the popularity graph.
Continuing Profession Education (CPE) online learning solutions for actuaries
Stress testing crash course for Board of Directors and Board Risk Committee members
Cross selling treasury products
Two new online video based courses – The Stress Testing, ALM and Capital Adequacy Crash Course and the shorter and more cost effective ALM and Capital Adequacy Crash Course are live and available for purchase.
In over six hours of video based instruction the two courses cover the following topics
The Stress Testing, ALM and Capital Adequacy Crash Course
Annexure and related topics
The ALM and Capital Adequacy Crash Course
Annexure and related topics
Across 200,000 pageviews and 90,000 visitors here is a list of our top 29 posts over the last 8 weeks at Finance Training Courses. The posts cover the impact of US credit rating downgrade, basics of derivative pricing, ICAAP, dissecting gold models, business plan pitches, credit derivatives, structured products, counterparty limits, correlations, a first course in corporate finance, stress testing and treasury operations. Enjoy
|
|
|
Here is the model we used last year to dissect the projected price behavior of oil. This was a fundamentals driven model that examined supply and demand gap, future supply sources and shocks, core demand growth drivers and relative value effects. The same approach was used later this year in building our fundamentals driven model for gold price forecast.
Our summarized outlook was simple. Oil demand growth is likely to remain stunted given high prices and a number of major issues structurally which will remove any impetus for an oil price shock similar to the one that we witnessed in 2008. With additional supply coming back to the market from Iraq and Libya, Europe struggling with the fallout of the PIGS crisis and the slowdown in China the demand situation was not likely to be rosy.
The original dated note is available on request. Please drop me a line if you would like to receive a complimentary electronic copy.
Short half day and full day format applied and corporate finance training courses coming soon to the Capital Club at DIFC in Dubai (UAE) and locations in Abu Dhabi and Al-Ain in collaboration with our DIFC Partners, Kinetrix Limited. Courses cover a range of hands on practical topics from treasury risk to project finance, from interest rate modeling to understanding commodities risk.
A joint venture managed by
.For our portfolio of financial services customers in the region and beyond.
While Alchemy Technologies offers a portfolio of more than 20 domain specific treasury, risk and derivative pricing topics, the outlines below represent our most popular course offering.
The rising volatility in precious metals, petrochemicals and agricultural products has created an unprecedented opportunity to profit from market price movements. On the risk front there is a need to understand the impact of this volatility on trades, transactions and desks. By the end of this two day workshop participants will be able to:
The workshop is aimed at account managers, bankers, risk managers, credit analysts and students interested in building a stronger understanding of the project finance space. At the end of this two day hands on workshop participants will be able to:
We achieve these goals by creating an opportunity for students to step into the shoes of all major stakeholders (sponsors, financiers, lenders, beneficiaries and managers), apply the primary principals of project finance, sensitivity analysis and risk mitigations on specific historical transaction and get comfortable with the concept of using project companies to align incentives. The course combines hands on model building, presentation, analysis and the application of creative thinking to structuring transactions and has a heavy case and workload.
The workshop is aimed at non-treasury customer facing team members who work as facilitators and relationship managers between Treasury customers and the Treasury function at a bank.
The primary objective of this workshop is to help relationship, risk and limit managers better understand transaction, limits and pricing mindset from a Treasury point of view. Armed with this awareness and knowledge they can help customers understand the rationale behind a treasury price quote, leading to a quicker close and a higher yield on customer treasury transactions.
By the end of this workshop participants will be able to
Kinetrix is one of the leading providers of Governance, Risk and Compliance (GRC) advisory services. It provides a front to back service offering including Strategy and Operational Formulation, built on robust GRC frameworks.
Kinetrix is recognized as a thought leader aligning in depth experience, expertise and business philosophy to create efficient, growing and sustainable businesses for its clients from start ups SMEs, Large Corporations, Family Businesses and Governments. Headquartered in the prestigious Dubai International Financial Centre (DIFC) we pride ourselves in our strong record of service delivery, client driven approach, professional excellence and understanding of local market needs. Our network of offices and affiliates spans the region and to complement our service offenng to our clients. Kinetrix has selected strategic partners (such as Complinet) to provide additional valued expertise, technology products and service excellence.
Founded in 2003, Alchemy has grown to be one of the leading Enterprise risk and Actuarial firms in the region with a portfolio of several blue chip customers. Alchemy’s enterprise, treasury and Basel II risk solutions have all been built over the last 6 years with feedback from International and local industry user groups.
The firm has won multiple product recognition awards including the MIT Business Acceleration Plan runners-up Award, the PASHA ICT Award for Best Financial Application as well as the Asia Pacific ICT Finalist for the Best Financial Application Category. Our products have now been show cased in Pakistan, Thailand, China, Malaysia, Singapore, Macau and the Middle East.
Alchemy’s product offerings include Risk Management and Treasury Management solutions, Obligor and Facility Risk Rating platforms, Financial Institution (FI) Limit Allocators, PD Calculators, custom financial model development and audits, interactive workshops, risk and actuarial advisory, Basel II compliant risk solutions for banks, insurance companies and portfolio managers.
The rising volatility in precious metals, petrochemicals and agricultural products has created an unprecedented opportunity to profit from market price movements. On the risk front there is a need to understand the impact of this volatility on trades, transactions and desks. By the end of this two day workshop participants will be able to:
|
Session |
Title |
Topics |
|
One |
Commodities – Context and Introduction |
Core concepts Volatilities Trailing volatilities Cycles Announcement, Events & News Interconnections & relationships Trends |
|
Two |
Products & Trades |
Futures, Forwards, Options The ETF Trade and issues Trading Strategies Deep Out products for rising volatilities Exotic Contracts Structured Exposures Nicholas Nassim Taleb on Markets, Trades and Risk |
|
Three
|
Trading Tools |
Analyzing the fundamentals of Oil, USD and Gold From Fundamentals to Technical Analysis Signals of strength and weakness Range bound behavior Shifting volatilities, trailing vols, vix and momentum Behavioral Finance and market panics Trading system or market analyst |
|
Four |
Treasury Limits & Portfolio Risk |
Determining Stop loss limits Optimizing Correlations and Nassim Taleb Calculating Value at Risk, Pre Settlement Risk (PSR) and Potential Future Exposure (PFE). Linking PFE and PSE to counterparty limits. Linking Stop loss and Value at Risk |
The workshop is aimed at account managers, bankers, risk managers, credit analysts and students interested in building a stronger understanding of the project finance space. At the end of this two day hands on workshop participants will be able to:
We achieve these goals by creating an opportunity for students to step into the shoes of all major stakeholders (sponsors, financiers, lenders, beneficiaries and managers), apply the primary principals of project finance, sensitivity analysis and risk mitigations on specific historical transaction and get comfortable with the concept of using project companies to align incentives. The course combines hands on model building, presentation, analysis and the application of creative thinking to structuring transactions and has a heavy case and workload.
Hand on Cases:
HBS Case: Calpine Power: From Project Finance to Corporate Finance
HBS Case: Asia Japan Cable
HBS Case: Chad Cameron Oil Field Development and Pipeline
|
Session |
Title |
Topics |
|
One |
A quick review of core concepts and techniques. Roles and incentives of key stakeholders. Using Monte Carlo simulation within models. |
Introductions and game plan Expectations Everything you ever wanted to know about project finance in less than 90 minutes but were afraid to ask? Using Monte Carlo simulation in financial models Testing core drivers and business model |
|
Two |
Dissecting a project. From Project Finance to Corporate Finance |
Calpine Power Case. Building the financial model for a power plant. Building a model for Calpine expansion strategy. Evaluating risk and capital structure. |
|
Three
|
Handling Uncertainty: The Asia Japan Cable Company |
Analyzing the business case for a submarine data cable and testing the model for uncertainty and price risk. Creating a framework for handling market risk. |
|
Four |
PPP: Politics in the developing world: The Chad Cameron Oil Pipeline |
Working with the developing world and IFI’s. Funding development for development. Oil field development and transmission pipeline. |
The workshop is aimed at non-treasury customer facing team members who work as facilitators and relationship managers between Treasury customers and the Treasury function at a bank.
The primary objective of this workshop is to help relationship, risk and limit managers better understand transaction, limits and pricing mindset from a Treasury point of view. Armed with this awareness and knowledge they can help customers understand the rationale behind a treasury price quote, leading to a quicker close and a higher yield on customer treasury transactions.
By the end of this workshop participants will be able to
|
Session |
Title |
Topics |
|
One |
The Treasury Function – Introduction |
The Treasury Function Trade Flows (FX desk) Trading, Investment & Portfolio Management Proprietary Trading Asset Liability Management Liquidity Management Treasury Markets Foreign Exchange Fixed Income /Money Market Capital Markets
Related Terminologies Four eyes Confirmation Settlement Dealing System Price discovery Rate reasonability Limit Management Middle Office function Risk Policies Counterparty Limits |
|
Two |
Treasury Products – Workflow |
The Treasury Function Operations Front Office Middle Office Back Office
Trading exercise – FX products Client – Relationship Manager RM – Treasury Dealer Treasury Dealer – Market Quote, Confirm, Execute, Settle Settlement exercise Paper work, Limits, Counterparty confirmation, Back office verification & Validation Customer quote Rate quote, spread and margins
Treasury Operations Treasury hierarchy (Chief Dealer, Inter Bank, ALM, FX, MM) Limit Breach, Exception processing Reserve Management (Cash, Liquidity) |
|
Three
|
Products and Risk Limits |
Product Families Conventional treasury products (MM, FX) Vanilla products (MM, FX) Forwards, Futures, Options (Calls and Puts), Swaps (Profit Rates, Cross Currency), Caps and Floors Exotics products and structured solutions for FX needs. |
|
Four |
Treasury Limits |
Calculating Value at Risk, Pre Settlement Risk (PSR) and Potential Future Exposure (PFE) for Profit Rate Swaps and Forward contracts. Linking PFE and PSE to counterparty limits |
Facilitator profile
Jawwad Ahmed Farid is a Fellow Society of Actuaries (Chicago), a MBA from Columbia Business School (New York City) and a computer science graduate. During the last 19 years, he has worked as a consultant in North America, Pakistan and the United Kingdom with a number of blue chip clients including Hartford Life, Aegon, American General, Goldman Sachs, ING, Manu Life, Merrill Lynch, Met Life, Sun America, Nationwide, Sumitomo Mitsui Bank, Sun Life of Canada, Pacific Life, AllState, Fidelity Investments, Transamerica, Skandia, GE Financial Assurance, AXA Equitable and Washington Mutual Bank.
Jawwad’s core areas of expertise include Asset/Risk Management, Investments, Product Development & the Financial Services Back Office. Jawwad blends a rare combination of risk management, information systems, international standards, business and product development skill set side by side with his actuarial expertise. He is the author of three books on Entrepreneurship (Reboot), Commodity Markets (Understanding Commodities Risk) and Risk Management (Risk Application and Frameworks).
As an investment advisor Jawwad has advised a 3 billion US$ dollar life insurance fund in Pakistan on allocation and bid patterns for 10, 20 and 30 year bonds, a 30 million dollar Middle East fund on their ALM mismatch and fixed income strategy, a 10 million dollar fund on asset allocation and equity market timing in Pakistan. He has also worked with the securities regulator on assessing the state of the corporate bond market as well as issued valuation opinions on cross currency swaps, interest rate swaps, caps, floors, participating forwards and contingent liabilities for Exchange Guarantee Funds in the region.
Jawwad has worked directly as a founder, founding team member, mentor and advisor at multiple startups including two green field life insurance companies, multiple technology product businesses, financial services consulting operations, risk and investment advisory businesses, product focused distribution as well as micro insurance, micro pensions and micro finance startups.
In addition to being a PASHA CEC member and Treasurer he has also served as a judge at the Asia Pacific ICT Awards in Macau, Singapore, Kula Lumpur and Jakarta as well as at PASHA ICT Award in 2006, 2007, 2008, 2009, 2010. He currently serves as member of the oversight board for the PASHA Social Innovation Fund.
His regional client list includes First Gulf Bank, Riyad Bank, Ministry of Finance Malaysia, May Bank, Dubai Islamic Bank, Noor Islamic Bank, Dubai Bonds, Deutsche Bank, SP Jain, Marcus Evans, LSW International, State Bank of Pakistan, National Bank of Pakistan, Muslim Commercial Bank, Crescent Commercial, MyBank, Dawood Islamic Bank, KASB Bank, United Bank Limited, Pak-Kuwait Investment, Saudi Pak Commercial Bank, ABN AMRO, State Life Insurance, Dawood Family Takaful, Asia Health Care, Adamjee Insurance, Shell Pakistan, and International General Insurance.
The Capital Club is Dubai’s premier private business club offering an elegant and welcoming ambience in which to mix and meet, to exchange ideas and to entertain guests. The Club is committed to the highest levels of comfort and cuisine, exceptional events and an unmatched level of personal service, at home and abroad.
Short half day, full day and two day formats starting end of October till early December covering Derivative Pricing, Interest Rate Modeling, Montecarlo Simulations, FX Derivatives, Quant Crash Course, Treasury Risk, Project Finance and Commodities Risk Models.
Mr. Faheem Aziz, Kinetrix Limited, DIFC, Dubai – faheem.aziz@kinetrix.com
Mr. Jawwad Farid, Alchemy Technologies Pvt. Ltd, Karachi – jawwad@alchemya.com
Risk and Treasury Online Training Courses at Finance Training Courses Portal
Risk and Treasury Training Courses at DIFC, Dubai and the Capital Club
Please see our previous two posts on the US credit rating downgrade posted earlier on Finance Training Course. The first post is an initial announcement and gut check, while the second reviews analysis published over the last 48 hours in global media supplemented by our opinions and outlook.
US Credit Rating Downgrade Day One – Commodities Outlook for Monday
US Credit Rating Downgrade End of Day One – Impact on Commodities and Financial Markets – Analysis
All eyes on Tokyo and Singapore open to get a sense on trading direction for the US$, precious metals and crude oil. Somewhere over the next six hours we will get a sense of how investors have digested the rating downgrade news from New York and DC over the weekend.
For now according to the Wall Street Journal, DTCC, OCC and ICE have all indicated that there Treasury valuation models, collateral rules and hair cut requirements will not change when it comes to AA+ rated US treasury securities. Post the ECB and G7 conference Sunday evening, similar re-assuring statements are expected from ECB and G7 member countries. The ECB plan to buy European bonds this week should also fuel weakness in Euro which should counterbalance any depreciation of the US dollar against the Euro.
No spike in treasury sales is expected given reassuring noises made by all major sovereign investors in Europe, Middle East and Asia.
It will be interesting to see how LIBOR rates on dollar deposits move when market opens in Europe on Monday morning.
If equity market action in the Middle East (Dubai, Abu Dhabi, Saudi Arabia and Israel) is any indication, markets should drop anywhere from 3% – 7% today starting from Tokyo and ending in New York as speculative trades and unwound and investors move to safer assets (US Treasuries).
Some analysts are forecasting a $10 – $25 spike in the price of crude oil if the US dollar heads south.
Agnes recently did a lot of work in putting together a short course on correlations from a risk and trading point of view. Unlike the boring text book stuff, there are some interesting lessons and applications here if you want to track correlations over a period of time as a trader or risk manager. This is the same methodology we use to track crude oil, precious metals (gold, silver) and currencies as part of our own internal analysis. Given the number of queries we get on our methodology I thought this post should put a lot of questions to rest.
Enjoy the course.
Next raw data time series line graphs such as price trends and derived data graphs such as volatility trend lines including the methodology for constructing line graphs in EXCEL.
Correlation – Times series data graphs –Prices & More
Scatter plots, a visual representation of the correlation coefficient tackled a little bit later on the course.
An example of the calculation of the correlation coefficient method is given in our available-for-sale Computational Finance – EXCEL examples course “Portfolio Risk Metrics Example“.
Correlation – Correlation coefficient, r
The trailing correlations graph, a graphical representation of how correlations have changed over a period of time.
Correlation – Trailing correlations
Finally, we look at an additional way of viewing the time series data of two factors- the relative price graph and its various uses: