Module 1 – The Impact of Inflation on ALM

(No exercises listed)

Module 2 – Management of COVID-19 in ALM

(No exercises listed)

Module 3 – Measurement of Geopolitical Risk

• Exercise 1: Geopolitical index construction using artificial intelligence in Python and R

• Exercise 2: Analysis of main geopolitical risk indices

Module 4 – Liquidity Risk and Basel III

• Exercise 3: Estimation of the LCR and NSFR in a financial statement in Excel

Module 5 – Sources of Liquidity Risk

(No exercises listed)

Module 6 – Prepayment Modeling

• Exercise 4: Prepayment exercise in the mortgage portfolio using neural networks and SVR

• Exercise 5: Econometric and machine learning model of probability of prepayment in R

Module 7 – Models for the Use of Credit Lines

• Exercise 6: Credit line utilization model in R

• Exercise 7: Credit line utilization model with neural networks in Python

Module 8 – Modeling of Liabilities Without Defined Maturity

• Exercise 8: Econometric model and simulation of liabilities without maturity in Excel

• Exercise 9: Tranches of stable and unstable deposits in Excel

• Exercise 10: Modeling behavior with logistic regression, neural networks, and SVC in R

• Exercise 11: Portfolio Replication Approach in Excel

• Exercise 12: Advanced econometric NMD model with cointegration tests and portfolio replica methodology in R

• Exercise 14: Projection model with RNN and CNN neural networks

Module 9 – Liquidity Risk Measurement II

• Exercise 15: Liquidity gap analysis in R

• Exercise 16: Global exercise of liquidity risk and interest rate using Dynamic GAP, Basel III liquidity ratios, key liquidity metrics, simulation of Financial Margin and Economic Value through IRRBB in Excel

Module 10 – ILAAP Liquidity Self-Assessment

• Exercise 17: Fund rollover analysis in Excel

Module 11 – Management, Strategies and Mitigation of Liquidity Risk

(No exercises listed)

Module 12 – Funds Transfer Pricing (FTP & LFTP)

• Exercise 18: Transfer Prices and ordinary pool margin estimation in Excel

• Exercise 19: Transfer Pricing Matched Maturity approach

• Exercise 20: LFTP conditioned to Basel III liquidity risk

Module 14 – Macroeconomic Scenarios

• Exercise 21: Advanced model of BVaR and DSGE macroeconomic scenarios

• Exercise 22: Inflationary risk scenarios

• Exercise 23: Geopolitical risk scenarios

Module 15 – Stress Testing of Liquidity Risk

• Exercise 24: Stress Testing of liquidity risk in financial statements, simulation of macroeconomic scenarios, impact on behavioral and contractual flows and run-off rates in R

Module 16 – Reverse Liquidity Stress Testing

(No exercises listed)

Module 17 – Balance Sheet Optimization

• Exercise 25: Optimization of coverage ratios and stable financing with Excel Solver

• Exercise 26: Optimization of the financial margin subject to restrictions (leverage ratio, NSFR, LCR, capital) using multi-period stochastic programming

Module 18 – Risk Appetite in Liquidity Risk

(No exercises listed)

Module 19 – Risk Appetite Statement and Stress Testing

• Exercise 27: Stress Testing, Global Economic Capital and Risk Appetite in Excel (capital estimation, limits, KRIs/KPIs, CET1 impact, RWAs, P&L, balance sheet over 12 quarters)

Module 20 – Treatment of Cryptographic Exposures

(No exercises listed)

Module 21 – Contingency Funding Plans (CFP)

(No exercises listed)

Module 1 – Transition from LIBOR to Replacement Reference Rates (No exercises listed)

Module 2 – Interest Rate Risk in the Banking Book in Basel III

• Exercise 1: Interest rate risk measurement exercise Cash flow bucketing, treatment of deposits without a defined maturity date, treatment of optionalities and prepayment, standardized EVE, and comparison of standardized EVE versus internal IRRBB economic value model in Excel

Module 3 – Machine Learning Models in the IRRBB

• Exercise 2: Neural Networks – Multilayer Perceptron in R (data 1)

• Exercise 3: SVM in Python (data 2)

Module 4 – Deep Learning for the IRRBB

• Exercise 4: Deep Learning calibration of interest rate model

• Exercise 5: Deep Learning interest rate projection

Module 5 – Term Structure of Interest Rates (Yield Curve)

• Exercise 6: Construction of the Term Structure Curve of Euribor and Eonia interest rates in Python

• Exercise 7: Construction of the Term Structure Curve of Interest Rates – practical case with deposits, FRAs, Interest Rate Swaps and PCA principal components

• Exercise 8: Main PCA components and Deep Learning Autoencoder

• Exercise 9: Term structure using cubic splines and basis splines in Excel

• Exercise 10: Libor Market Model with machine learning

• Exercise 11: Calibration and simulation of CIR and Vasicek in R

• Exercise 12: Ornstein–Uhlenbeck calibration in R

• Exercise 14: Hull–White calibration using deep learning

Module 6 – Term Structure of Interest Rates for SOFR (Yield Curve)

• Exercise 15: Multicurve estimation and optimization with Jacobian matrices in Python

• Exercise 16: Optimization with Jacobians using Multi-dimensional Newton–Raphson solver

• Exercise 17: Singular curve estimation

• Exercise 18: Multicurve estimation with Jacobian matrices

• Exercise 19: SOFR curve estimation

Module 7 – Structural Interest Risk Measurement I

• Exercise 15: Estimating duration and convexity effect in Excel

• Exercise 16: Bond portfolio immunization in Excel

• Exercise 17: Negative convexity and decision tree valuation of convertible bonds in Excel and VBA

Module 8 – Measuring IRRBB and Capital Adequacy

• Exercise 18: Repricing gap analysis in R

• Exercise 19: Estimation of EVE and EaR adjusted to IRRBB criteria of Basel III and IV

• Exercise 20: Estimating EVE using yield curve stress, basis risk stress, and customer behavior

Module 9 – Measuring VaR by Structural Interest Risk

• Exercise 21: Volatility smile and volatility surface in R

• Exercise 22: VaR estimation using Monte Carlo Simulation with optionality valuation in R

Module 10 – Interest Rate Options and Futures

• Exercise 23: Pricing of caps and floors using Black’s model in Python

• Exercise 24: Swaption pricing in Python

• Exercise 25: Caplet and swaption Libor Market Model in Python

• Exercise 27: Pricing of swaption and one-factor Hull–White in Python

Module 11 – IFRS 9: Hedge Accounting

• Example 28: Application and impact analysis of hedge accounting for interest rate risk using IRS

Module 12 – Measuring VaR Credit Spread

• Exercise 29: Estimation of the credit spread VaR of a bond portfolio using Monte Carlo Simulation with multivariate normal distribution, multivariate t-Student distribution, and t-Student copula in R

Module 14 – Prepayment Modeling

• Exercise 30: Prepayment exercise in mortgage portfolio using neural networks and SVR

• Exercise 31: Econometric and machine learning model of prepayment probability in R

Module 15 – Credit Line Utilization Models

• Exercise 32: Credit line utilization model in R

• Exercise 33: Credit line utilization model with neural networks in Python

Module 16 – Modeling Liabilities Non Maturity Deposits NMD

• Exercise 34: Econometric model and simulation of NMD in Excel

• Exercise 35: Stable and unstable NMD layers in Excel

• Exercise 36: Behavioral model with logistic regression, neural networks and SVC in R

• Exercise 37: Portfolio replication approach in Excel

• Exercise 38: Advanced econometric NMD model with cointegration tests and portfolio replication methodology in R

• Exercise 39: Projection model with RNN and CNN neural networks

Module 17 – Funds Transfer Pricing FTP and LFTP

• Exercise 40: Transfer pricing and estimation of ordinary pool margin in Excel

• Exercise 41: Transfer Pricing – Matched Maturity approach

Module 18 – Stress Testing of IRRBB

• Exercise 42: Monte Carlo simulation, macroeconomic scenarios, impact on EVE and financial margin, adverse yield curve scenarios and adverse macroeconomic changes

Module 19 – Risk Appetite in IRRBB

• Global Exercise 43: Stress Testing, Global Economic Capital and Risk Appetite in Excel – capital estimation for credit, market, counterparty, IRRBB, operational, business and concentration risk; limits exercise in IRRBB; dashboard with leverage ratio, regulatory liquidity ratios, KRIs, KPIs; impact of stress testing on CET1, RWAs, P&L and financial balance over 12 quarters

Module 20 – XVA Estimation and New Indices

• Exercise 44: FVA estimation and risk-adjusted value

• Exercise 45: Estimation of CVA, DVA, FVA, CollVA, HVA, KVA, LVA and XVA

Module 1 – Financial Crisis and Advanced Asset and Liability Management

(No exercises listed)

Module 2 – Modeling the Term Structure of Interest Rates (Yield Curve)

• Exercise 1: Exercise using Principal Components in SAS

• Exercise 2: Real case – Bank of Spain Nelson–Siegel exercise in SAS and Excel

• Exercise 3: Term structure with cubic splines and basis splines in Excel

• Exercise 4: CIR and Vasicek simulation calculator in Excel and VBA

• Exercise 5: Caplet and swaption using the Libor Market Model in Excel and VBA

Module 3 – Interest Rate Risk Measurement I

• Exercise 6: Estimation of duration and convexity effect in Excel

• Exercise 7: Bond portfolio immunization in Excel

• Exercise 8: Negative convexity and convertible bond valuation using decision trees in Excel and VBA

Module 4 – Interest Rate Risk Measurement II

• Exercise 9: Estimation of Economic Value and impact on ICAAP in Excel

• Exercise 10: Estimation of parametric t-Student VaR and t-Student copulas for interest rate risk in Excel

Module 5 – Hedging in Asset and Liability Management

• Exercise 11: Asset hedging using IRS in Excel

• Exercise 12: NII hedging in deposits and loans using caps and floors in Excel

• Exercise 13: Credit exposure hedging with CDS in Excel

Module 6 – Liquidity Risk Measurement I

• Exercise 14: Estimation of LCR and NSFR from a financial statement in Excel

• Exercise 15: Optimization of coverage and stable funding ratios with Excel Solver

Module 7 – Liquidity Risk Measurement II

• Exercise 16: Global liquidity and interest rate risk exercise using Dynamic GAP, Basel III liquidity ratios, key liquidity metrics, and simulation of Net Interest Margin and Economic Value in Excel

Module 8 – Prepayment Modeling

• Exercise 17: Prepayment exercise on a mortgage portfolio in Excel

• Exercise 18: Econometric model of prepayment probability in SAS

Module 9 – Modeling Non-Maturity Liabilities

• Exercise 19: Econometric model and simulation of non-maturity liabilities in Excel

• Exercise 20: Tranching stable and unstable deposits in Excel

Module 10 – Scenario Analysis and Stress Testing

• Exercise 21: Cash flow forecast under combined scenarios in Excel

• Exercise 22: Extreme Value Theory and Stress Testing in SAS

Module 11 – Advanced Decision Models in ALM

• Exercise 23: Creation of a scenario tree in SAS

• Exercise 24: Optimization of Net Interest Margin subject to leverage ratio, NSFR, LCR and capital constraints using multi-period stochastic programming

• Exercise 25: Optimization of bond and equity portfolios using stochastic dynamic programming in AMPL and Matlab

Module 12 – Liquidity Risk Management, Strategies and Control

(No exercises listed)

Module 13 – Market Risk Modeling in the Banking Book

• Exercise 26: Historical simulation with volatility adjustment and bootstrapping in Excel

• Exercise 27: Monte Carlo simulation with regression factors in Excel and Matlab

• Exercise 28: Incremental Risk Charge (IRC) in Excel

Module 14 – Measurement of Market Liquidity Risk

• Exercise 29: Estimation of Liquidity-Adjusted VaR in Excel

Module 15 – Funds Transfer Pricing (FTP)

• Exercise 30: Transfer Pricing and estimation of ordinary pool margin in Excel

• Exercise 31: Transfer Pricing – Matched Maturity approach

Module 16 – Credit Risk Management in ALM

• Exercise 32: Construction of probability of default curves and hazard rate in Excel and SAS

• Exercise 33: Bond and CDS valuation in Excel with VBA

Module 17 – Stress Testing under Basel III

(No exercises listed)

Module 18 – Wide Stress Test

• Exercise 34: Stress test methodology in ALM in Excel