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Course Contents

Peer Group Analysis For the Banking Industry – MCB
1.           Executive Summary
2.           Peer Group and Banking Sector Analysis

Excel Annexure – Peer Group and Banking Sector Analysis
1.           Balance Sheet
2.           Income Statement
3.           Ratios

No. of pages

12

File size

973 KB

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• Non Print version – $4.99
• Print version – $7.99

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Course Contents

1. Review

i. A second look at derivative contracts
ii. Standard Template for Evaluating Derivatives

2. Vanilla Products

i. Options

3. Pricing Basics

i. Option Price
ii. European Option Price

4. Greeks and Binomial Trees

i. American Option Price

5. Options on Shares, Stocks, Currencies And Equities

i. Stock Options
ii. Foreign Currency Options
iii. Index Options
iv. Futures Options
v. Warrants
vi. Employee Stock Options
vii. Convertibles

6. Options On Rates

i. Bond Options
ii. Interest Rate Caps/ Floors/ Collars
iii. European Swap Options

7. Exotic Options

i. Bermuda Option
ii. Quanto Option
iii. Composite Option
iv. Digital or Binary or “All or nothing” Options
v. Barrier Options
vi. Asian Options
vii. Average Strike Options
viii. Look back Options
ix. Compound Options
x. Chooser (As you like it) Options
xi. Exchange Options
xii. Forward Start Options
xiii. Basket Options
xiv. Shout Options

8. Forward Contracts
i. Forward Price
ii. Synthetic Forward Contract
iii. Forward Rate Agreement

9. Futures

i. Futures Price
ii. Stock Index Futures
iii. Futures Contracts on Currencies
iv. Futures Contracts on Commodities
v. Interest Rate Futures

10. Swaps

i. Interest Rate Swap
ii. Currency Swap
iii. Variations to Plain Vanilla Swaps

Number of pages

26

File Size

968 KB

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Master Class: Derivative products

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Price

• Non Print version – $6.99
• Print version – $9.99

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Derivative Pricing

1.           Relative Pricing, Risk Neutral Probabilities and the Risk Free Rate
2.           Binomial Option Pricing
3.           Spreadsheet Implementation of the Two-Dimensional Binomial Tree

i.            European Call Option
ii.           European Put Option
iii.          American Call Option
iv.          American Put Option
v.           Capped Calls with Automatic Exercise
vi.          Down-and-out call options
vii.         Down-and-in call options

Number of pages

14

File Size

848 KB

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Options pricing with Binomial trees in Excel spreadsheets

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Price

• Non Print version – $29.99
• Print version – $39.99

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Course Contents

Demo Bank Ltd. – Sample ICAAP Credit Report
1.          Methodology

i.            Overview
ii.           Approach – Credit Risk Capital Allocation
iii.          Approach – Market Risk Capital Allocation
iv.          Approach – Interest Rate Mismatch Capital Allocation
v.           Approach – Liquidity Risk Capital Allocation
vi.          Approach – Concentration Risk Capital Allocation
vii.         Approach – Operational Risk Capital Allocation
viii.        Approach – Reputational and Legal Risk Capital Allocation
ix.          Approach – Strategic Risk Capital Allocation
x.           Approach – Other Risk Factors

2.          Risk Aggregation

i.            Credit Risk
ii.           Market Risk
iii.          Operational Risk
iv.          Liquidity Risk
v.           Interest Rate Mismatch Risk
vi.          Concentration Risk
vii.         Aggregation

3.          Credit Portfolio Review

i.            Portfolio Composition
ii.           Customer Base
iii.          Maturity
iv.          Concentration

4.          Internal Capital Adequacy

i.            Summary of Results
ii.           Credit Risk Capital Adequacy – Baseline Capital
Iii.          Credit Risk Capital Adequacy – Internal Ratings and Rating Transitions
iv.          Putting It Together – Rating Transitions and Profitability Analysis
v.           Worst Case Provisioning
vi.          Infection Ratios
vii.         Using DPD Analysis for Projections
viii.        Additional Supporting Capital Required
ix.          Best Case Provisions
x.           Transition Matrices by Industry and Amount
xi.          Rating Grade Transitions

5.          ICAAP Assumptions

i.            Model Parameter Assumptions

6.          Data Sources
Table of Figures 

Number of pages

33

File Size

1.64 MB

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Price

• Non Print version – $3.49
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Course Contents

1. Introduction

i. What are the different types of derivative instruments?
ii. Forward Contracts
iii. Future Contracts
iv. Options

2. Payoff Profiles

i. The Payoff profile for a forward contract
ii. Payoff profiles for Calls and Puts

3. Building Blocks and Synthetic Configurations

i. Comparing a Call with a Forward contract
ii. Comparing a Call and a Put with a Forward contract
iii. Combining a long call with a short put to create a long forward

Number of pages

14

File Size

569 KB

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Master Class: Options and derivatives crash course: Session One: Terminology

Master Class: Options and Derivatives Crash Course: Session Two: Forward, Futures and Options

Master Class: Options and Derivatives Crash Course: Session Three: Payoff profiles – Forwards

Master Class: Options and Derivatives Crash Course: Session Four: Payoff profiles – Options, Calls and Puts

Master Class: Options and Derivatives Crash Course: Session Five: Synthetics

Course Details

Price

• Non Print version – $6.99
• Print version – $9.99
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Course Contents

1. Pre-requisites
2. Caps and Floors

a. Cap
b. Floor
c. Cap-Floor Parity

3. Accrual Swaps

a. Method 1
b. Method 2
c. A second look at Method 1
d. A second look at Method 2

4. Range Accrual Note
5. Commodity Linked Note

Number of pages

12

File Size

826 KB

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Interest Rate Options – Pricing Caps & Floors

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Price

• Non Print version – $6.99
• Print version – $9.99
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Pricing and Valuation

1. Pricing Interest Rate Swaps (IRS)

a.           Pre-requisites
b.           Pricing Coupon Swaps or Fixed for Floating Swaps
c.           Pricing Basis Swaps or Floating for Floating Swaps

2. Pricing Cross Currency Swaps

a.           Fixed for Fixed Currency Swap
b.           Floating for Floating Currency Swap
c.           Amortizing Floating for Floating Currency Swap

Number of pages

13

File Size

750 KB

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Pricing Interest Rate Swaps – The valuation and MTM course

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• Non Print version – $6.99
• Print version – $9.99
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Course Contents

Basics

1.           Definitions

a.      Cash flows

b.     Discounting Cash flows

c.      Spot Rates

d.     Forward Rates

e.     Short rates

f.      Yield to Maturity

g.      Term structure of interest rates

2.           Forward Rate Agreements

3.           Forward Contracts

4.           Swaps

a.      Interest Rate Swap

b.     Currency Swap

c.      Other Swaps

3.           Pricing Interest Rate Swaps – Process Defined

Modelling the Term Structure, Zero Curve and Forward Curve

1.           Defining the Par Term Structure

2.           Deriving the Zero Curve

3.           Deriving the Forward Curve

Number of pages

18

File Size

1.16 MB

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Pricing Interest Rate Swaps – The valuation and MTM course