2016-10-05_00h34_15

Market Risk Modelling in Excel

Day 1 – Modelling Volatality using EWMA and GARCHE Model, Value at Risk for Linear & Non-Linear Instruments using Parametric (Local Valuation) or Non-Parametric ( Full Valuation-Monte Carlo Simulation & Historical Simulation)

Day 2 – VaR of Portfolio, Increamental VaR, Marginal VaR, Liquidity adjusted VaR, Back-testing VaR, Modelling Interest rate term structures (Vasicek Model, Cox-Ingersoll-Ross (CIR) Model, Black-Derman-Toy (BDT) Model, Heath-Jarrow-Morton (HJM) Model).