[02.07] Model Layer | Financial Risk Academy

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Building an ALM & Balance Sheet Optimization Model

Welcome Video

Welcome Video (3:36)
Introduce yourself

01 - Introduction

[01.01] Treasury Function (5:53)
[01.02] ALM History (30:52)
[01.03] Strategic ALM (10:33)
[01.04] Empowering ALM through Mathematical Optimization (13:14)

02 - Model Architecture

[02.01] ALM Model Architecture (3:06)
[02.02] Model Architecture Overview (6:32)
[02.03] Input Layer (13:12)
[02.04] ETLs (6:00)
[02.05] Contracts Modeling (9:51)
[02.06] Reconciliation (8:36)
[02.07] Model Layer (9:46)
[02.08] General Setup (10:00)
[02.09] Business Rules (11:44)
[02.10] - Optimization (9:21)
[02.11] Outputs Layer (3:27)
[02.12] Validation (4:52)
[02.13] Reporting (5:41)
[02.14] Integration (4:18)

03 - Mathematical Programming

[03.00] Programming Environment Setup
[03.01] Example: Stock Allocation with Risk Classes (18:58)
[03.02] Example: Bond Allocation with Return Target and Liquidity Constraint (11:51)
[03.03] Example: Short-term Financing (19:11)
[03.04] Example: Cash Flow Matching (11:24)
[03.05] Example: OTC Procurement (9:16)
[03.06] Dynamic Programming (8:14)
[03.07] SDDP Concepts (9:15)
[03.08] SDDP Theory (7:28)
[03.09] SDDP Example: Production Planning (24:49)
[03.10] SDDP Example: Production Planning with Stochastic Demand (12:02)
[03.11] SDDP Example: Production Planning with Stochastic Demand and Markovian Regimes (11:50)
[03.12] [Extras] Additional Resources on Julia Programming Language

04 - Contract Modeling

[04.00] [Technical Side Note] Multiple Dispatch (16:57)
[04.01] Defining a Scenario (26:38)
[04.02] Defining a Contract (13:01)
[04.03] Projecting Cash Flows (16:33)
[04.04] Pricing (20:58)
[04.05] Amortized Cost (54:04)
[04.06] IR Risk & Credit Risk: DV01 and CR01 (38:44)
[04.07] Reinvestment Risk: Repricing Gap (34:18)
[04.08] Duration Gap (Equity Gap) (11:57)
[04.09] IRRBB: Delta EVE (32:21)
[04.10] IRRBB: Delta NII (23:44)
[04.11] Liquidity Risk: Maturity Ladders and Preliminary Insights on LCR (18:00)
[04.12] [Walkthrough] Contracts.jl (14:46)

05 - ETLs

[05.01] Loading Contracts from a CSV File (47:34)
[05.02] Loading Positions from JSON File (28:06)
[05.03] Loading Scenarios from a Spreadsheet (33:48)
[05.04] Loading Balance Sheet from a TXT File (23:15)
[05.05] Loading Assumptions (11:35)
[05.06] [Walkthrough] ETL.jl (2:58)

06 - Model Building :: Foundations

[06.01] Reconciling (23:54)
[06.02] Starting Up a Model (28:48)
[06.03] Creating Model Variables (29:18)
[06.04] Setting Up Model Dynamics (50:42)
[06.05] Adding Basic Constraints (33:07)
[06.06] Setting Up Income Statement (20:50)
[06.07] Creating New Positions (22:47)
[06.08] First Run (10:50)
[06.09] Exploring Model Solutions (22:20)
[06.10] Creating Basic Reports (20:41)
[06.11] Technical Sidenote] Creating a Balance Sheet Report with DataFrames.jl (13:17)

07 - Model Building :: Business Rules

[07.01] Introduction to Business Rules (13:03)
[07.02] No Short Selling (13:54)
[07.03] No Goodwill Trades (10:39)
[07.04] Short-term Contracts & Stock Returns (20:36)
[07.05] HTM Selling (10:00)
[07.06] Derivatives Trading Conventions (10:44)
[07.07] Capital Transfers (14:36)
[07.08] Loans Growth Targets (9:32)
[07.09] Assets Profiling (23:43)
[07.09] Assets Profiling - Part 2 (9:00)
[07.10] Market Volume Limits (12:39)
[07.11] Allowance for Credit Loss (ACL) (9:58)
[07.12] Transaction Costs (14:23)
[07.13] - FX and Stocks Exposure Limits (21:43)
[07.14] - DV01 Limits (15:38)
[07.15] - Loans Default (18:27)
[07.16] - Loans Prepayments (8:25)
[07.17] - IRRBB Limits (37:14)
[07.18] - Liquidity Risk - Leverage Ratio (13:10)
[07.19] - Liquidity Risk - Liquidity Floor (7:53)
[07.20] - Liquidity Risk - LCR (27:57)
[07.21] - Non-Maturity Deposits Models (14:57)
[07.22] - Capital Ratios (22:52)

08 - Reporting and Troubleshooting

[08.01] - Reporting - Creating Tables and Graphs (27:57)
[08.02] - Common Modelling Mistakes (40:18)
[08.03] - Solver Statuses (15:10)
[08.04] - Source of Infeasilibities (8:41)
[08.05] - Debugging Infeasibilities (30:46)
[08.06] - SDDP Assumptions (27:14)
[08.07] - Numerical Stability (14:04)
[08.08] - SDDP Training Parameters (15:50)
[08.09] - SDDP Simulating Parameters (8:09)
[08.10] - Solver Parameters (13:08)

09 - Balance Sheet Optimization

[09.01] - Balance Sheet Optimization Intro (48:36)
[09.02] - Code Walkthrough - Maximize NIM (44:04)
[09.03] - Solution Walkthrough - Pricing (14:36)
[09.04] - Insights on Key Use Cases (23:04)

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[02.07] Model Layer

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