Financial Modelling in EXCEL™

Overview of Calculation Methods using EXCEL™
  • Standard and specialised EXCEL™libraries
  • Using functions: tables/matrices, financial mathematics
  • Tools: statistical modules, solvers
  • Simulation functions
  • Tips and shortcuts for EXCEL™
Advanced VaR calculation models
  • Decomposition of parametric VaR into component VaR and Marginal VaR
  • (analytical and by simulation)
Monte Carlo simulations
  • Generating random and pseudo-random numbers
  • Choleski decomposition done by solver
  • Correlated simulations and VaR calculations
  • Practical workshop
  • Calculate the VaR of an FX position
Models PCA (Principal Components Analysis)
  • PCA models on interest rates
  • Searching for eigenvalues and eigenvectors
  • Projection of the portfolio on the main axis
  • Decomposition of the parametric VaR on the main axis
  • Practical workshop
  • Calculate VaR with the PCA method
Calculating Volatility
  • Calculating statistics from chronological series
  • Ewma model with 1 parameter, calculating gamma with solver
  • 2&3-parameter models: Garch(1,1) on volatility curve
  • Practical workshop
  • Estimate Garch(1.1) parameters on FX
Book Management - Markowitz Model
  • Risk and return calculation)
  • Calculation of the efficient frontier equation
  • Finding particular points
  • Graphic presentation
  • Research by simulation of contrained portfolios
  • Practical workshop
  • Calculate the frontier of various shares
  • Graphic illustration of the frontier and remarkable points
  • Extension to the Black - Litterman model

  • Learn to create and manage all kinds of repayment schedules and calculate interests
  • Learn to use tables and matrices and apply linking functions
  • Apply the various VaR calculation models
  • Master the statistical calculation functions applied to financial markets
  • Calculate efficient frontiers
  • Construct variance/covariance matrix and calculate portfolio risks
  • Develop efficient spreadsheets
  • Numerous software applications used
  • during the seminar
  • Middle office, audit
  • Structurers
  • Financial market IT specialists
  • Fund managers
  • Internal controls, audit
  • IT
  • Corporate treasurers
  • Financial directors of local authorities
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