Financial Risk Modelling & Stress Testing in Excel Training Course

Course Overview

Learning Objectives

• Apply Excel modelling best practices, including structure, transparency, consistency, and error checking, to financial risk models on Day 1.
• Calculate and analyze returns, volatility, and correlation using historical, exponentially weighted, and introductory time series methods.
• Build value at risk models using historical simulation, parametric, and Monte Carlo methods and calculate expected shortfall.
• Apply backtesting techniques to evaluate the accuracy of value at risk models.
• Model interest rate risk using duration, convexity, repricing gap analysis, and earnings and economic value sensitivity.
• Model credit risk using probability of default, loss given default, exposure at default, expected loss, and rating migration.
• Simulate credit portfolio losses and assess concentration risk.
• Model liquidity risk using maturity ladders, cash flow projections, and liquidity metrics.
• Design and implement sensitivity, historical, hypothetical, and reverse stress tests.
• Translate macroeconomic scenarios into risk drivers using regression and scenario mapping.
• Use Excel analytical tools, including data tables, scenario manager, goal seek, and solver, to support sensitivity and scenario analysis.
• Present risk and stress testing results in clear dashboards and apply model documentation, validation, and governance practices by the end of Day 5.

Who Should Attend

Learning Outcomes

• By the end of the course, participants will be able to:
• Build well-structured, transparent, and error-checked risk models in Excel.
• Calculate volatility and correlation and understand their role in risk measurement.
• Build and compare historical, parametric, and Monte Carlo value at risk models.
• Calculate expected shortfall and backtest value at risk results.
• Measure the impact of interest rate changes on value, earnings, and capital.
• Calculate expected credit losses and model rating migration.
• Simulate portfolio credit losses and identify concentrations.
• Project liquidity gaps and assess liquidity positions under stress.
• Design meaningful stress scenarios, including reverse stress tests.
• Link macroeconomic scenarios to risk parameters.
• Use Excel tools to run sensitivity and scenario analysis efficiently.
• Present results clearly and document and review models to support sound governance.

Course Outline