Basel Credit Risk Models and Economic Capital

Name: Real Options Valuation, Inc.
Address: 4101-F Dublin Blvd., Suite 425, Dublin, CA, 94568, US
Telephone: +1.925.999.9397
Price range: $$$$

The CMOL software applies Basel III/IV and Basel III/IV requirements and definitions on regulatory capital. For instance, Economic Capital is defined as Value at Risk (i.e., the Total Risk Amount) less any Expected Losses. There are 4 categories of equations based on the type of credit and loans: 3 types of Retail Loans plus a category for Corporate Loans.

DETAILED LIST OF ALL TOPICS

DESCRIPTIVE STATISTICS
- MEASURING THE CENTER OF THE DISTRIBUTION–THE FIRST MOMENT
- MEASURING THE SPREAD OF THE DISTRIBUTION–THE SECOND MOMENT
- MEASURING THE SKEW OF THE DISTRIBUTION–THE THIRD MOMENT
- MEASURING THE CATASTROPHIC TAIL EVENTS IN A DISTRIBUTION–THE FOURTH MOMENT
- THE BASICS OF INTERPRETING PDF, CDF (S-CURVE), ICDF CHARTS
BAYES’ THEOREM
- HAWAIIAN CARD TRICK
- MONTY HALL GAME SHOW
- COVID-19 TESTING EFFICACY AND FALSE POSITIVES
DISCRETE DISTRIBUTIONS
- BINOMIAL DISTRIBUTION
- HYPERGEOMETRIC DISTRIBUTION
- POISSON DISTRIBUTION
- RELATIONSHIPS AMONG PROBABILITY DISTRIBUTIONS
GETTING STARTED WITH ROV BIZSTATS
QUANTITATIVE STATISTICAL METHODS AND DATA SCIENCE
- TWO-SAMPLE EQUAL VARIANCE T-TEST
- TWO-SAMPLE UNEQUAL VARIANCE T-TEST
- TWO-SAMPLE T-TEST WITH DEPENDENT MEANS
- F-TEST OF VARIANCES FROM INDEPENDENT SAMPLES
- Z-TEST OF PROPORTIONS
- Z-TEST OF PROPORTIONS AND MEANS
- SINGLE ANOVA WITH MULTIPLE TREATMENTS
- ANOVA WITH RANDOMIZED BLOCK TEST
- TWO-WAY ANOVA
- ANCOVA, MANOVA, AND TWO-WAY MANOVA
- CHI-SQUARE TESTS
- LINEAR AND NONLINEAR CORRELATIONS
  - Relationships Among Variables: Auto Correlation, Time Correlation, and Factor-Related Methods
- NORMALITY TESTS AND DISTRIBUTIONAL FITTING
  - Kolmogorov–Smirnov Test
  - Chi-Square Test
  - Akaike Information Criterion, Anderson–Darling, Kuiper’s Statistic, and Schwarz/Bayes Criterion
  - Box–Cox Transformation
- NONPARAMETRIC TESTS
  - Runs Test for Randomness
  - Wilcoxon Signed-Rank Test and Mann–Whitney Test
  - Lilliefors, Q-Q Chart, D’Agostino–Pearson, and Shapiro–Wilk–Royston Tests
  - Kruskal–Wallis, Mood’s Multivariate Medians, and Cochran’s Q Tests
  - Friedman’s Test
- INTER-RATER RELIABILITY, INTRA-RATER RELIABILITY, CONSISTENCY, CREDIBILITY, DIVERSITY, INTERNAL VALIDITY, EXTERNAL VALIDITY, AND PREDICTABILITY
  - Inter-Rater Reliability with Pairwise Cohen’s Kappa
  - Internal Consistency and Reliability with Cronbach’s Alpha for Binary Data
  - Internal Consistency and Reliability with Guttman’s Lambda
  - Inter-Rater Reliability Using Inter-Class Correlation (ICC) Measures
  - Kendall’s W Measure of Concordance Inter-Rater Reliability Test (With or Without Ties)
  - Data Diversity with Shannon, Brillouin, and Simpson Diversity and Homogeneity Test
  - Grubbs Test for Outliers and Mahalanobis Distance
  - Linear and Quadratic Discriminant Analysis
  - Internal Validity
  - External Validity
  - Predictability and Accuracy: Akaike, Bayes, Hannan–Quinn, Diebold–Mariano, Pesaran–Timmermann
  - Precision and Error Control
- LINEAR AND NONLINEAR MULTIVARIATE REGRESSION
- TESTS FOR MULTICOLLINEARITY AND HETEROSKEDASTICITY
- BEYOND MULTIPLE REGRESSION: STRUCTURAL EQUATION MODELING (SEM) WITH PARTIAL LEAST SQUARES (PLS) ON PATH ESTIMATION
- BEYOND MULTIPLE REGRESSION: ENDOGENEITY AND SIMULTANEOUS EQUATIONS METHODS AND TWO-STAGE LEAST SQUARES
- BEYOND MULTIPLE REGRESSION: GRANGER CAUSALITY AND ENGLE–GRANGER METHODS
- BEYOND MULTIPLE REGRESSION: POISSON REGRESSION, DEMING REGRESSION, ORDINAL LOGISTIC REGRESSION, RIDGE REGRESSION, AND WEIGHTED REGRESSION
  - Multiple Poisson Regression (Population and Frequency)
  - Multiple Regression (Deming Regression with Known Variance)
  - Multiple Regression (Ordinal Logistic Regression)
  - Multiple Ridge Regression (Low Variance, High Bias, High VIF)
  - Multiple Weighted Regression (Fixing Heteroskedasticity)
ARTIFICIAL INTELLIGENCE MACHINE LEARNING METHODS
- AI MACHINE LEARNING: BAGGING LINEAR FIT BOOTSTRAP (SUPERVISED)
- AI MACHINE LEARNING: BAGGING NONLINEAR FIT BOOTSTRAP (SUPERVISED)
- AI MACHINE LEARNING: CLASSIFICATION AND REGRESSION TREES CART (SUPERVISED)
- AI MACHINE LEARNING: CLASSIFICATION WITH GAUSSIAN MIX & K-MEANS SEGMENTATION (UNSUPERVISED)
- AI MACHINE LEARNING: CLASSIFICATION WITH K-NEAREST NEIGHBORS (SUPERVISED)
- AI MACHINE LEARNING: CLASSIFICATION WITH PHYLOGENETIC TREES & HIERARCHICAL CLUSTERING (UNSUPERVISED)
- AI MACHINE LEARNING: CLASSIFICATION WITH SUPPORT VECTOR MACHINES (SUPERVISED)
- AI MACHINE LEARNING: CUSTOM FIT MODEL (SUPERVISED)
- AI MACHINE LEARNING: DIMENSION REDUCTION PCA (UNSUPERVISED)
- AI MACHINE LEARNING: DIMENSION REDUCTION FACTOR ANALYSIS (UNSUPERVISED)
- AI MACHINE LEARNING: ENSEMBLE COMMON FIT (NONLINEAR) (SUPERVISED)
- AI MACHINE LEARNING: ENSEMBLE COMPLEX FIT (NONLINEAR) (SUPERVISED)
- AI MACHINE LEARNING: ENSEMBLE TIME-SERIES (SUPERVISED)
- AI MACHINE LEARNING: LINEAR FIT MODEL (SUPERVISED)
- AI MACHINE LEARNING: MULTIVARIATE DISCRIMINANT ANALYSIS (LINEAR) (SUPERVISED)
- AI MACHINE LEARNING: MULTIVARIATE DISCRIMINANT ANALYSIS (QUADRATIC) (SUPERVISED)
- AI MACHINE LEARNING: NEURAL NETWORK (SUPERVISED)
- AI MACHINE LEARNING: LOGISTIC BINARY CLASSIFICATION (SUPERVISED)
- AI MACHINE LEARNING: NORMIT PROBIT BINARY CLASSIFICATION (SUPERVISED)
- AI MACHINE LEARNING: RANDOM FOREST (SUPERVISED)
- AI MACHINE LEARNING: SEGMENTATION CLUSTERING (UNSUPERVISED)
ROV BIZSTATS QUICK REFERENCE GUIDE: ANALYTICS SUMMARY
- NONPARAMETRIC HYPOTHESIS TESTS
- PARAMETRIC HYPOTHESIS TESTS
- CONTINUED LIST OF ANALYTICAL METHODS
FORECASTING AND PREDICTIVE MODELING
- DIFFERENT TYPES OF FORECASTING TECHNIQUES
- RUNNING THE FORECASTING TOOL IN RISK SIMULATOR
- TIME-SERIES ANALYSIS
- MULTIVARIATE REGRESSION
- STEPWISE REGRESSION
- STOCHASTIC FORECASTING
- NONLINEAR EXTRAPOLATION
- BOX–JENKINS ARIMA ADVANCED TIME-SERIES FORECASTS
- AUTO ARIMA (BOX–JENKINS ARIMA TIME-SERIES) FORECASTS
- BASIC ECONOMETRICS
- J-CURVE AND S-CURVE FORECASTS
- GARCH VOLATILITY FORECASTS
- MARKOV CHAINS
- GENERALIZED LINEAR MODELS & MAXIMUM LIKELIHOOD MODELS ON LOGIT, PROBIT, AND TOBIT
- SPLINE (CUBIC SPLINE INTERPOLATION AND EXTRAPOLATION)
- NEURAL NETWORK AND COMBINATORIAL FUZZY LOGIC FORECASTING METHODOLOGIES
- TRENDLINE FORECASTS
- TIME-SERIES FORECASTING METHODOLOGY
- NO TREND AND NO SEASONALITY
- WITH TREND BUT NO SEASONALITY
- NO TREND BUT WITH SEASONALITY
- WITH SEASONALITY AND WITH TREND
- REGRESSION ANALYSIS
- THE PITFALLS OF FORECASTING: OUTLIERS, NONLINEARITY, MULTICOLLINEARITY, HETEROSKEDASTICITY, AUTOCORRELATION, AND STRUCTURAL BREAKS
- OTHER TECHNICAL ISSUES IN REGRESSION ANALYSIS
- FUNCTIONAL FORMS OF BIVARIATE REGRESSION
- ADVANCED REGRESSION METHODS, REGRESSION-RELATED METHODS, AND THEIR VARIATIONS
- REGRESSION AND FORECASTING DIAGNOSTIC TOOL
- STATISTICAL ANALYSIS TOOL
MONTE CARLO SIMULATION BASICS
- WHAT IS MONTE CARLO SIMULATION?
- WHY ARE SIMULATIONS IMPORTANT?
- COMPARING SIMULATION WITH TRADITIONAL ANALYSES
- USING RISK SIMULATOR AND EXCEL TO PERFORM SIMULATIONS
RISK SIMULATOR: RUNNING MONTE CARLO SIMULATION
- GETTING STARTED WITH RISK SIMULATOR
- RUNNING A MONTE CARLO SIMULATION
- USING FORECAST CHARTS AND CONFIDENCE INTERVALS
- CORRELATIONS AND PRECISION CONTROL
- PRECISION AND ERROR CONTROL
- TROUBLESHOOTING AND RISK SIMULATOR TIPS
- HELPFUL TIPS AND TECHNIQUES IN RISK SIMULATOR
RISK SIMULATOR: ADVANCED DATA ANALYTICS
- TORNADO AND SENSITIVITY TOOLS IN SIMULATION
- SENSITIVITY ANALYSIS
- DISTRIBUTIONAL FITTING: SINGLE VARIABLE AND MULTIPLE VARIABLES
- FITTING MULTIPLE VARIABLES
- DISTRIBUTIONAL FITTING ALGORITHMS
- PERCENTILE DISTRIBUTIONAL FITTING TOOL
- BOOTSTRAP SIMULATION
- HYPOTHESIS TESTING
- DATA EXTRACTION, SAVING SIMULATION RESULTS, AND GENERATING REPORTS
- DISTRIBUTIONAL ANALYSIS TOOL
- SCENARIO ANALYSIS TOOL
- SEGMENTATION CLUSTERING TOOL
- STRUCTURAL BREAK ANALYSIS
- DETRENDING AND DESEASONALIZING
- PRINCIPAL COMPONENT ANALYSIS
RISK SIMULATOR: OPTIMIZATION (THE SEARCH FOR THE OPTIMAL DECISION)
- WHAT IS AN OPTIMIZATION MODEL?
- THE TRAVELING FINANCIAL PLANNER
- THE LINGO OF OPTIMIZATION
- OPTIMIZATION ALGORITHMS
- CONTINUOUS OPTIMIZATION
- DISCRETE INTEGER OPTIMIZATION
- EFFICIENT FRONTIER AND ADVANCED OPTIMIZATION SETTINGS
- STOCHASTIC OPTIMIZATION
- OPTIMIZATION APPLICATION EXAMPLE: MILITARY PORTFOLIO AND EFFICIENT FRONTIER
- OPTIMIZATION APPLICATION EXAMPLE: OPTIMAL PRICING WITH ELASTICITY
- COMPUTING ANNUALIZED RETURNS AND RISK FOR PORTFOLIO OPTIMIZATION
- EXERCISE: OPTIMIZATION
PROJECT ECONOMICS EVALUATION AND PORTFOLIO SELECTION WITH PEAT
- NET PRESENT VALUE
- INTERNAL RATE OF RETURN
- MODIFIED INTERNAL RATE OF RETURN
- PROFITABILITY INDEX
- PAYBACK PERIOD
- DISCOUNTED PAYBACK PERIOD
- EXAMPLE COMPUTATIONS
- PEAT SOFTWARE
  - Navigating Inside the PEAT Software
- PROJECT ECONOMICS USING PEAT
- APPLIED ANALYTICS IN PEAT
  - Applied Analytics | Static Tornado
  - Applied Analytics | Scenario Analysis
- RISK SIMULATION IN PEAT
- STRATEGIC REAL OPTIONS
- FORECAST PREDICTION IN PEAT
- PORTFOLIO OPTIMIZATION & PROJECT SELECTION IN PEAT
- PEAT DASHBOARD, KNOWLEDGE MANAGEMENT, AND OPTIONS
- FORMULAE SUMMARY
DYNAMIC RISK-BASED PROJECT MANAGEMENT WITH PEAT
- PROJECT MANAGEMENT WITH PEAT
  - Traditional Schedule Management
  - Probabilistic Schedule Management
- HANDS-ON PROJECT MANAGEMENT IN PEAT
- SCHEDULE & COST RISK COMPUTATIONS
- SCHEDULE SIMULATION
  - Creating and Simulating
  - Monte Carlo Simulation on Schedule Risk
- CPM & GANTT ANALYSIS
  - Manually Solving a Critical Path Model
  - Comparing with PEAT Calculations & GANTT Charts
- OVERRUN BUFFERS & LINKED TASKS WITH PROBABILITY OF SUCCESS
  - Basic Model, Cost Overruns, Probability of Success for Each Task
- PRICING MODELS USING COST, RISK, & OPPORTUNITY
  - Work Breakout Structure Cost Models
  - PEAT Cost Pricing Module
- BUILDING A NEW HOUSE
  - Steps in Building a New Home
  - Complex Schedule and Cost Model
ENTERPRISE RISK MANAGEMENT WITH PEAT
- ENTERPRISE RISK MANAGEMENT
- TRADITIONAL APPROACHES
- RISK REGISTERS AND BASIC ENTERPRISE RISK MANAGEMENT
- CASE EXAMPLE: HOSPITAL RISK MANAGEMENT
- RISK MATRIXES
- BUSINESS CONTINUITY PLANNING
- COMPREHENSIVE ERM WITH QUANTITATIVE RISK MANAGEMENT
- HANDS-ON PROJECT MANAGEMENT IN PEAT
- COMPLIANCE WITH GLOBAL STANDARDS: BASEL, COSO, ISO, NIST, AND SARBOX
- COMPLIANCE WITH INTERNATIONAL STANDARDS ORGANIZATION ISO 31000:2009
- COMPLIANCE WITH BASEL III AND BASEL IV FRAMEWORK
- COMPLIANCE WITH COSO INTEGRATED RISK FRAMEWORK
- DYNAMIC EVALUATION OF ENTERPRISE RISK MANAGEMENT AT ELETROBRAS FURNAS IN BRAZIL
- BANKING OPERATIONAL AND ENTERPRISE RISK
  - OPERATIONAL RISK AT BANKS
CREDIT, MARKET, OPERATIONAL, AND LIQUIDITY RISK WITH CMOL SOFTWARE
- CMOL Software on Modeling Banking Risk
- Credit Economic and Regulatory Capital
- Basel Credit Risk Models and Economic Capital
- Retail Loans: Residential Mortgage Exposures
- Retail Loans: Qualifying Revolving Retail Exposures
- Retail Loans: Other Retail Exposures
- Corporate Loans: Corporate, Sovereign, Bank, and Corporate Loans
- Market Risk
- Central Bank Market Risk
- Asset Liability Management
- ALM: Net Interest Margin and Economic Value of Equity
- Scenario Analysis and Stress Testing
- Credit and Market Risk Analytical Models
- Operational Risk
- ANALYTICAL MODELS
  - Probability of Default
  - Structural Models of Probability of Default
  - Illustrative Example: Structural Probability of Default Models on Public Firms
  - Illustrative Example: Structural Probability of Default Models on Private Firms
  - Empirical Models of Probability of Default
  - Illustrative Example: Applying Empirical Models of Probability of Default
  - Loss Given Default and Expected Losses
  - Economic Capital and Value at Risk
  - Illustrative Example: Structural VaR Models
  - Illustrative Example: VaR Models using Monte Carlo Risk Simulation
  - Efficient Portfolio Allocation and Economic Capital VaR
  - Illustrative Example: Portfolio Optimization and the Effects on Portfolio VaR
  - Illustrative Example: Risk Analysis – Interest Rate Risk
  - Illustrative Example: Risk Hedging – Delta-Gamma Hedging
  - Illustrative Example: Risk Hedging – Delta Hedging
  - Illustrative Example: Risk Hedging – Effects of Fixed versus Floating Rates (Swaps)
  - Illustrative Example: Risk Hedging – Foreign Exchange Cash Flow Model
  - Illustrative Example: Risk Hedging – Hedging Foreign Exchange Exposure
  - Illustrative Example: Volatility – Implied Volatility
  - Illustrative Example: Volatility – Volatility Computations
  - Illustrative Example: Yield Curve – CIR Model
  - Illustrative Example: Yield Curve – Curve Interpolation BIM Model
  - Illustrative Example: Yield Curve – Curve Spline Interpolation and Extrapolation Model
  - Illustrative Example: Yield Curve – Forward Rates from Spot Rates
  - Illustrative Example: Yield Curve – Vasicek Model
  - Illustrative Example: Stochastic Forecasting of Interest Rates and Stock Prices
  - Stochastic Process Forecasting
- PROBABILITY OF DEFAULT AND VALUE AT RISK
  - Probability of Default – Bond Yields and Spreads (Market Comparable Approach)
  - Probability of Default – Empirical Model
  - Probability of Default – External Options Model (Public Company)
  - Probability of Default – Merton Internal Options Model (Private Company)
  - Probability of Default – Merton Market Options Model (Industry Comparable)
  - Value at Risk – Optimized and Simulated Portfolio VaR
  - Value at Risk – Options Delta Portfolio VaR
  - Value at Risk – Portfolio Operational and Credit Risk VaR Capital Adequacy
  - Value at Risk – Right-Tail Capital Requirements
  - Value at Risk – Static Covariance Method
  - Volatility – Implied Volatility
  - Volatility – Volatility Computations
- COMPLIANCE WITH GLOBAL STANDARDS: BASEL, COSO, ISO, NIST, AND SARBOX
- COMPLIANCE WITH INTERNATIONAL STANDARDS ORGANIZATION ISO 31000:2009
- COMPLIANCE WITH BASEL III/IV/IV AND BASEL IV FRAMEWORK
- COMPLIANCE WITH COSO INTEGRATED RISK FRAMEWORK
REAL OPTIONS SLS APPLICATIONS
- EMPLOYEE STOCK OPTIONS : SIMPLE AMERICAN CALL OPTION
- EMPLOYEE STOCK OPTIONS : SIMPLE BERMUDAN CALL OPTION WITH VESTING
- EMPLOYEE STOCK OPTIONS : SIMPLE EUROPEAN CALL OPTION
- EMPLOYEE STOCK OPTIONS : SUBOPTIMAL EXERCISE
- EMPLOYEE STOCK OPTIONS : VESTING, BLACKOUT, SUBOPTIMAL, FORFEITURE
- EXOTIC OPTIONS : AMERICAN AND EUROPEAN LOWER BARRIER OPTIONS
- Exotic Options – American and European Upper Barrier Option
- Exotic Options – American and European Double Barrier Options and Exotic Barriers
- Exotic Options – Basic American, European, and Bermudan Call Options
- Exotic Options – Basic American, European, and Bermudan Put Options
- Real Options – American, European, Bermudan, and Customized Abandonment Option
- Real Options – American, European, Bermudan, and Customized Contraction Option
- Real Options – American, European, Bermudan, and Customized Expansion Option
- Real Options – Contraction, Expansion, and Abandonment Option
- Real Options – Dual-Asset Rainbow Option Using Pentanomial Lattices
- Real Options – Exotic Chooser Options
- Real Options – Exotic Complex Floating American and European Chooser
- Real Options – Jump-Diffusion Option Using Quadranomial Lattices
- Real Options – Mean-Reverting Calls and Puts Using Trinomial Lattices
- Real Options – Multiple Assets Competing Options
- Real Options – Path-Dependent, Path-Independent, Mutually Exclusive, Nonmutually Exclusive, and Complex Combinatorial Nested Options
- Real Options – Sequential Compound Options
- Real Options – Simultaneous Compound Options
- Real Options – Simple Calls and Puts Using Trinomial Lattices
REAL OPTIONS STRATEGIC CASE STUDIES – FRAMING THE OPTIONS
- Real Options Strategic Cases – High-Tech Manufacturing: Build or Buy Decision with Real Options
- Real Options Strategic Cases – Oil and Gas: Farmouts, Options to Defer, and Value of Information
- Real Options Strategic Cases – Pharmaceutical Development: Value of Perfect Information and Optimal Trigger Values
- Real Options Strategic Cases – Option to Switch Inputs
- Valuation – Convertible Warrants with a Vesting Period and Put Protection
TECHNICAL NOTES
- TECHNICAL NOTE 1: THE BASICS OF INTERPRETING PDF, CDF, AND ICDF
- TECHNICAL NOTE 2: CONVOLUTION AND COPULAS—THEORY VERSUS PRACTICE
- TECHNICAL NOTE 3: CONVOLUTION OF MULTIPLICATION OF FREQUENCY AND SEVERITY DISTRIBUTIONS IN OPERATIONAL RISK CAPITAL MODEL IN BASEL III/IV
- TECHNICAL NOTE 4: PARETO CHARTS AND SENSITIVITY CHARTS
- TECHNICAL NOTE 5: DISTRIBUTION CHARTS AND TABLES USING THE PROBABILITY DISTRIBUTION TOOL
- TECHNICAL NOTE 6: PERCENTILE DISTRIBUTIONAL FITTING TOOL
- TECHNICAL NOTE 7: DYNAMIC PROJECT MANAGEMENT WITH COST AND SCHEDULE RISK
VISUAL GUIDES, SUMMARIES, TABLES, MODELS LIST, AND USEFUL ADDENDA
- DISTRIBUTIONAL MOMENTS
- CORRELATIONS
- PROBABILITY DISTRIBUTIONS
- ANALYTICAL TOOLS
- DISTRIBUTIONAL FITTING
- RELATIONSHIP AMONG PROBABILITY DISTRIBUTIONS
- RELATIONSHIP AMONG STATIC, DYNAMIC, AND STOCHASTIC METHODS
- FORECASTING METHODS
- DATA DIAGNOSTICS
- OPTIMIZATION METHODS
- STRATEGIC REAL OPTIONS
- QUICK FACTS
- OPTIONS THEORY
MODELING TOOLKIT APPLICATIONS
- Analytics – Central Limit Theorem
- Analytics – Central Limit Theorem – Winning Lottery Numbers
- Analytics – Flaw of Averages
- Analytics – Mathematical Integration Approximation Model
- Analytics – Projectile Motion
- Analytics – Regression Diagnostics
- Analytics – Ships in the Night
- Analytics – Statistical Analysis
- Analytics – Weighting of Ratios
- Credit Analysis – Credit Premium
- Credit Analysis – Credit Default Swaps and Credit Spread Options
- Credit Analysis – Credit Risk Analysis and Effects on Prices
- Credit Analysis – External Debt Ratings and Spread
- Credit Analysis – Internal Credit Risk Rating Model
- Credit Analysis – Profit-Cost Analysis of New Credit
- Debt Analysis – Asset-Equity Parity Model
- Debt Analysis – Cox Model on Price and Yield of Risky Debt with Mean-Reverting Rates
- Debt Analysis – Debt Repayment and Amortization
- Debt Analysis – Debt Sensitivity Models
- Debt Analysis – Merton Price of Risky Debt with Stochastic Asset and Interest
- Debt Analysis – Vasicek Debt Option Valuation
- Debt Analysis – Vasicek Price and Yield of Risky Debt
- Decision Analysis – Decision Tree Basics
- Decision Analysis – Decision Tree with EVPI, Minimax, and Bayes’ Theorem
- Decision Analysis – Economic Order Quantity and Inventory Reorder Point
- Decision Analysis – Economic Order Quantity and Optimal Manufacturing
- Decision Analysis – Expected Utility Analysis
- Decision Analysis – Inventory Control
- Decision Analysis – Queuing Models
- Exotic Options – Accruals on Basket of Assets
- Exotic Options – American, Bermudan, and European Options with Sensitivities
- Exotic Options – American Call Option on Foreign Exchange
- Exotic Options – American Call Option on Index Futures
- Exotic Options – European Call Option with Dividends
- Exotic Options – Asian Lookback Options Using Arithmetic Averages
- Exotic Options – Asian Lookback Options Using Geometric Averages
- Exotic Options – Asset or Nothing Options
- Exotic Options – Barrier Options
- Exotic Options – Binary Digital Options
- Exotic Options – Cash or Nothing Options
- Exotic Options – Chooser Option (Simple Chooser)
- Exotic Options – Chooser Option (Complex Chooser)
- Exotic Options – Commodity Options
- Exotic Options – Currency (Foreign Exchange) Options
- Exotic Options – Double Barrier Options
- Exotic Options – European Call Option with Dividends
- Exotic Options – Exchange Assets Option
- Exotic Options – Extreme Spreads Option
- Exotic Options – Foreign Equity-Linked Foreign Exchange Options in Domestic Currency
- Exotic Options – Foreign Equity Struck in Domestic Currency
- Exotic Options – Foreign Equity with Fixed Exchange Rate
- Exotic Options – Foreign Takeover Options
- Exotic Options – Forward Start Options
- Exotic Options – Futures and Forward Options
- Exotic Options – Gap Options
- Exotic Options – Graduated Barrier Options
- Exotic Options – Index Options
- Exotic Options – Inverse Gamma Out-of-the-Money Options
- Exotic Options – Jump-Diffusion Options
- Exotic Options – Leptokurtic and Skewed Options
- Exotic Options – Lookback with Fixed Strike (Partial Time)
- Exotic Options – Lookback with Fixed Strike
- Exotic Options – Lookback with Floating Strike (Partial Time)
- Exotic Options – Lookback with Floating Strike
- Exotic Options – Min and Max of Two Assets
- Exotic Options – Options on Options
- Exotic Options – Option Collar
- Exotic Options – Perpetual Options
- Exotic Options – Range Accruals (Fairway Options)
- Exotic Options – Simple Chooser
- Exotic Options – Spread on Futures
- Exotic Options – Supershare Options
- Exotic Options – Time Switch Options
- Exotic Options – Trading-Day Corrections
- Exotic Options – Two-Asset Barrier Options
- Exotic Options – Two-Asset Cash or Nothing
- Exotic Options – Two Correlated Assets Option
- Exotic Options – Uneven Dividend Payments Option
- Exotic Options – Writer Extendible Option
- Forecasting – Data Diagnostics
- Forecasting – Econometric, Correlations, and Multiple Regression Modeling
- Forecasting – Exponential J-Growth Curves
- Forecasting – Forecasting Manual Computations
- Forecasting – Linear Interpolation and Nonlinear Spline Extrapolation
- Forecasting – Logistic S-Growth Curves
- Forecasting – Markov Chains and Market Share
- Forecasting – Multiple Regression
- Forecasting – Nonlinear Extrapolation and Forecasting
- Forecasting – Stochastic Processes, Brownian Motion, Forecast Distribution at Horizon, Jump-Diffusion, and Mean-Reversion
- Forecasting – Time-Series ARIMA
- Forecasting – Time-Series Analysis
- Industry Application – Banking – Integrated Risk Management, Probability of Default, Economic Capital, Value at Risk, and Optimal Bank Portfolios
- Operational Risk – Queuing Models at Bank Branches
- Optimization – Continuous Portfolio Allocation
- Optimization – Discrete Project Selection
- Optimization – Inventory Optimization
- Optimization – Investment Portfolio Allocation
- Optimization – Investment Capital Allocation I (Basic Model)
- Optimization – Investment Capital Allocation II (Advanced Model)
- Optimization – Military Portfolio and Efficient Frontier
- Optimization – Optimal Pricing with Elasticity
- Optimization – Optimization of a Harvest Model
- Optimization – Optimizing Ordinary Least Squares
- Optimization – Stochastic Portfolio Allocation
- Options Analysis – Binary Digital Instruments
- Options Analysis – Options Trading Strategies
- Options Analysis – Options-Adjusted Spreads Lattice
- Options Analysis – Options on Debt
- Options Analysis – Five Plain Vanilla Options
- Personal Finance Models
- Probability of Default – Bond Yields and Spreads (Market Comparable Approach)
- Probability of Default – Empirical Model
- Probability of Default – External Options Model (Public Company)
- Probability of Default – Merton Internal Options Model (Private Company)
- Project Management – Cost Estimation Model
- Probability of Default – Merton Market Options Model (Industry Comparable)
- Project Management – Critical Path Analysis (CPM PERT GANTT)
- Project Management – Project Timing
- Real Estate – Commercial Real Estate ROI
- Risk Analysis – Integrated Risk Management
- Risk Analysis – Interest Rate Risk
- Risk Analysis – Portfolio Risk and Return Profiles
- Risk Hedging – Delta-Gamma Hedging
- Risk Hedging – Delta Hedging
- Risk Hedging – Effects of Fixed versus Floating Rates
- Risk Hedging – Foreign Exchange Cash Flow Model
- Risk Hedging – Hedging
- Sensitivity – Greeks
- Sensitivity – Tornado and Linear Sensitivity Charts
- Simulation – Basic Simulation Model
- Simulation – Best Surgical Team
- Simulation – Correlated Simulation
- Simulation – Correlation Effects on Risk
- Simulation – Custom Simulation Equations
- Simulation – Data Fitting
- Simulation – Debt Repayment and Amortization
- Simulation – Demand Curve and Elasticity Estimation
- Simulation – Discounted Cash Flow, Return on Investment, and Volatility Estimates
- Simulation – Infectious Diseases
- Simulation – Recruitment Budget (Negative Binomial and Multidimensional Simulation)
- Simulation – Retirement Funding with VBA Macros
- Simulation – Roulette Wheel
- Simulation – Time Value of Money
- Six Sigma – Obtaining Statistical Probabilities, Basic Hypothesis Tests, Confidence Intervals, and Bootstrapping Statistics
- Six Sigma – Sample Size Determination and Design of Experiments
- Six Sigma – Statistical and Unit Capability Measures, Specification Levels, and Control Charts
- Valuation – Buy versus Lease
- Valuation – Classified Loan Borrowing Base
- Valuation – Break-Even Inventory: Seasonal Lending Trial Balance Analysis
- Valuation – Firm in Financial Distress
- Valuation – Banking and Pricing Loan Fees Model
- Valuation – Simulation and Valuation
- Value at Risk – Optimized and Simulated Portfolio VaR
- Value at Risk – Options Delta Portfolio VaR
- Value at Risk – Portfolio Operational and Credit Risk VaR Capital Adequacy
- Value at Risk – Right-Tail Capital Requirements
- Value at Risk – Static Covariance Method
- Volatility – Implied Volatility
- Volatility – Volatility Computations
- Yield Curve – CIR Model
- Yield Curve – Curve Interpolation BIM Model
- Yield Curve – Curve Interpolation NS Model
- Yield Curve – Forward Rates from Spot Rates
- Yield Curve – Term Structure of Volatility
- Yield Curve – U.S. Treasury Risk-free Rates and Cubic Spline Curves
- Yield Curve – Vasicek Model