Financial Simulation using EXCEL

Theme

Key Topics

Introduction

Definition, Characteristics, Important EXCEL Functions

Random Numbers & Distributions

Seed variables, Random number generation, Distribution, Pseudo Random, Pre-built EXCEL Functions, Normal distribution, Brownian Motion, Wiener Process, Simulation results, Errors

Correlation

Financial Correlation, Matrix Mathematics, Cholesky Decomposition

Option Pricing

Binomial Trees, Pricing, Hull White Interest rate models, Trinomial Tree, Term structure, Black Scholes, Errors

Corporate Default

Merton Model, Short term and Long term liabilities, Model tuning, Develop default probabilities, Loss probabilities from Bond Prices or CDS, Bond Term Structure, Bootstrapping, Recovery

Simulating Pool of Assets

Default projection vs. Price movement, Value at Risk, Structured Products, CDO, Transition Matrices

Data Deficiencies

Inconsistent data format, Illiquid Products, Lack of Data

Note - Course content and topics to be covered in the training can be customized as per requirement for Corporates.

Faculty profile

FEES for Corporates

Based on the syllabus, contents and other requirements for the corporate training, scope with detailed inclusions and exclusions along with the fee will be shared.