- Introduction to Excel as an Analysis Tool
- Working with Cash Flows
- Basic Statistical and Financial Functions
- Random Number Generation and Monte Carlo Simulation
- Using Goal Seek/Solver for Optimization Problems
- Recording and Using Visual Basic Macros
We start with a general overview of the Excel environment and its standard and add-in analysis features.
We then show how to create and analyze cash flows of basic financial instruments such as bonds and swaps, and we calculate important key ratios such as yield, duration, convexity etc.
Further, we explain and demonstrate how built-in statistical and analytical tools can be used to calculate variance, covariance, correlation etc., and how they can be used for option pricing and other interesting applications. We also explain and demonstrate how random numbers are generated and how to build up a Monte Carlo simulation. We show how risk measures such as “Value-at-Risk” can be calculated for simple positions and correlated portfolios. The “Solver” will be used to find solutions for optimizing problems (such as the mean/variance optimization), and regression analysis will be used to establish the relationship between series of financial data, e.g. in calculating “Beta” for stocks.
Finally, we give a quick introduction to Visual Basic for Applications (VBA) and show how macros can be recorded and/or individually programmed and tested to enhance the flexibility of Excel.
During the workshop, you will be programming a number of small, practical applications that you can use later. You will also design a small “program” in the Excel/VBA environment.
You should bring your own laptop equipped with Microsoft Excel, preferably an English language version. If you can’t bring your own laptop, please make a clear note on the registration form.
(For simultaneous registration for this course and "Country and Sovereign Risk - Analysis, Rating and Risk Management", the total fee for both courses is EUR 2,500)
