Welcome Video
01 - Introduction
02 - Model Architecture
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[02.01] ALM Model Architecture (3:06)
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[02.02] Model Architecture Overview (6:32)
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[02.03] Input Layer (13:12)
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[02.04] ETLs (6:00)
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[02.05] Contracts Modeling (9:51)
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[02.06] Reconciliation (8:36)
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[02.07] Model Layer (9:46)
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[02.08] General Setup (10:00)
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[02.09] Business Rules (11:44)
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[02.10] - Optimization (9:21)
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[02.11] Outputs Layer (3:27)
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[02.12] Validation (4:52)
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[02.13] Reporting (5:41)
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[02.14] Integration (4:18)
03 - Mathematical Programming
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[03.00] Programming Environment Setup
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[03.01] Example: Stock Allocation with Risk Classes (18:58)
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[03.02] Example: Bond Allocation with Return Target and Liquidity Constraint (11:51)
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[03.03] Example: Short-term Financing (19:11)
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[03.04] Example: Cash Flow Matching (11:24)
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[03.05] Example: OTC Procurement (9:16)
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[03.06] Dynamic Programming (8:14)
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[03.07] SDDP Concepts (9:15)
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[03.08] SDDP Theory (7:28)
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[03.09] SDDP Example: Production Planning (24:49)
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[03.10] SDDP Example: Production Planning with Stochastic Demand (12:02)
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[03.11] SDDP Example: Production Planning with Stochastic Demand and Markovian Regimes (11:50)
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[03.12] [Extras] Additional Resources on Julia Programming Language
04 - Contract Modeling
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[04.00] [Technical Side Note] Multiple Dispatch (16:57)
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[04.01] Defining a Scenario (26:38)
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[04.02] Defining a Contract (13:01)
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[04.03] Projecting Cash Flows (16:33)
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[04.04] Pricing (20:58)
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[04.05] Amortized Cost (54:04)
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[04.06] IR Risk & Credit Risk: DV01 and CR01 (38:44)
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[04.07] Reinvestment Risk: Repricing Gap (34:18)
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[04.08] Duration Gap (Equity Gap) (11:57)
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[04.09] IRRBB: Delta EVE (32:21)
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[04.10] IRRBB: Delta NII (23:44)
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[04.11] Liquidity Risk: Maturity Ladders and Preliminary Insights on LCR (18:00)
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[04.12] [Walkthrough] Contracts.jl (14:46)
05 - ETLs
06 - Model Building :: Foundations
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[06.01] Reconciling (23:54)
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[06.02] Starting Up a Model (28:48)
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[06.03] Creating Model Variables (29:18)
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[06.04] Setting Up Model Dynamics (50:42)
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[06.05] Adding Basic Constraints (33:07)
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[06.06] Setting Up Income Statement (20:50)
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[06.07] Creating New Positions (22:47)
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[06.08] First Run (10:50)
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[06.09] Exploring Model Solutions (22:20)
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[06.10] Creating Basic Reports (20:41)
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[06.11] Technical Sidenote] Creating a Balance Sheet Report with DataFrames.jl (13:17)
07 - Model Building :: Business Rules
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[07.01] Introduction to Business Rules (13:03)
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[07.02] No Short Selling (13:54)
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[07.03] No Goodwill Trades (10:39)
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[07.04] Short-term Contracts & Stock Returns (20:36)
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[07.05] HTM Selling (10:00)
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[07.06] Derivatives Trading Conventions (10:44)
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[07.07] Capital Transfers (14:36)
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[07.08] Loans Growth Targets (9:32)
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[07.09] Assets Profiling (23:43)
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[07.09] Assets Profiling - Part 2 (9:00)
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[07.10] Market Volume Limits (12:39)
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[07.11] Allowance for Credit Loss (ACL) (9:58)
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[07.12] Transaction Costs (14:23)
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[07.13] - FX and Stocks Exposure Limits (21:43)
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[07.14] - DV01 Limits (15:38)
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[07.15] - Loans Default (18:27)
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[07.16] - Loans Prepayments (8:25)
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[07.17] - IRRBB Limits (37:14)
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[07.18] - Liquidity Risk - Leverage Ratio (13:10)
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[07.19] - Liquidity Risk - Liquidity Floor (7:53)
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[07.20] - Liquidity Risk - LCR (27:57)
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[07.21] - Non-Maturity Deposits Models (14:57)
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[07.22] - Capital Ratios (22:52)
08 - Reporting and Troubleshooting
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[08.01] - Reporting - Creating Tables and Graphs (27:57)
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[08.02] - Common Modelling Mistakes (40:18)
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[08.03] - Solver Statuses (15:10)
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[08.04] - Source of Infeasilibities (8:41)
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[08.05] - Debugging Infeasibilities (30:46)
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[08.06] - SDDP Assumptions (27:14)
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[08.07] - Numerical Stability (14:04)
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[08.08] - SDDP Training Parameters (15:50)
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[08.09] - SDDP Simulating Parameters (8:09)
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[08.10] - Solver Parameters (13:08)
09 - Balance Sheet Optimization
