CERTIFICATE PROGRAM IN ADVANCED FINANCIAL MODELLING USING MS EXCEL AND VBA PROGRAMMING

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1 INDIAN INSTITUTE OF QUANTITATIVE FINANCE Center of Excellence in Quantitative Finance and Financial Engineering CERTIFICATE PROGRAM IN ADVANCED FINANCIAL MODELLING USING MS EXCEL AND VBA PROGRAMMING

2 ABOUT THE COURSE Financial Modelling using spreadsheets like MS Excel are used in many fields like investment banking, M&A, equity research, risk analysis, valuations, investment management, credit analysis, scenario analysis, budgeting, sales forecast, financial projections, project evaluation, etc. This is a program where practicing Investment Bankers and Treasury Professionals teach the latest techniques and modeling skills that are used in the industry. Lot of financial professionals who do all kinds of financial modelling feel handicapped to quite a large extent in implementing certain models that requires them to do considerable amount of programming in VBA. Merely knowing how to record or even write some odd macros in VBA is not of any help to them. There is no specialized course in IT domain that teaches VBA Programming for Finance, a course that teaches VBA programming with exclusive focus on Financial Applications. This is why we have designed this course tailor-made for imparting these skills. This course, apart from teaching financial modeling, has an extensive module on VBA Programming for Finance and Advanced Financial Modelling using VBA. The course starts with learning how to use advanced tools of Excel, then goes on to learn to write VBA programs to help in financial modelling, value derivative instruments of various asset classes using the advanced models being used by the industry and ends with learning how to carry out porfolio risk analysis. COURSE OBJECTIVE This is a "hands-on" course, with extensive use of computers and spreadsheets. The objective is to develop VBA programming, spreadsheet and modelling skills for creating computer-based models for analyzing a variety of decision problems facing today s financial managers and investment banking professionals. The assignments are designed to be similar to assignments delegates will encounter in their jobs. COURSE DETAILS Course duration 150 Hours Course schedule Saturdays and Sundays Course fee INR 45,000/- (Group discount available) COURSE PREREQUISITES Basic knowledge of MS Excel Exposure to undergraduate level mathematics Basic knowledge of finance

3 PEDAGOGY The basic approach is to learn by doing. The training will be imparted through interactive sessions with extensive use of real world Excel models. Course delivery will be through: Live Excel Models Whiteboard Course materials will be made available and would include: Course notes Excel Spreadsheets with models LEARNING OUTCOME Delegates will learn to : Create MS Excel based financial models Use the advanced tools of Excel Write VBA programs for implementing advanced functionalities in Excel Carry out financial analysis, forecasting, etc. Valuation of company Bond Valuation Valuation of Mergers and Acquisitions Carry out Monte Carlo Simulations in Excel Price Derivatives Estimate Value-at-Risk forecasts WHO SHOULD ATTEND Financial Analysts Research Analysts Risk Analysts Credit Analysts Investment Managers M&A Professionals Finance Controllers Subject Matter Experts Managers from corporates Management students IT Professionals COURSE HIGHLIGHTS The course faculty are investment bankers and treasury professionals Comprehensive training in VBA Programming for Finance along with Advanced Excel Modelling 150 hours of intensive training Hands on modeling and VBA programming Exposure to real-world models actually being used in the industry

4 INDIAN INSTITUTE OF QUANTITATIVE FINANCE Indian Institute of Quantitative Finance (IIQF) is established as a center of learning in the field of Quantitative Finance and Financial Engineering. IIQF is founded by leading finance professionals and entrepreneurs with extensive global experience and expertise in specialized Quantitative Finance and Risk Management domains and educational background from the best of global institutions. It is the first institute of its kind in India that exclusively focuses on this extremely specialized field. IIQF conducts specialized courses and corporate training programs in the fields of Quantitative Finance, Financial Risk Management, Financial Modelling, Simulations and Econometrics and Advanced Quantitative Techniques. There are specialized courses tailored to the specific needs of investment banking and other finance verticals. These courses aim to equip professionals for careers that require sophisticated technical skills in quantitative analysis, financial research, investment banking, risk management, quantitative asset management and financial derivatives structuring. There are specialized courses tailored to the specific needs of finance professionals, engineers, mathematics/statistics graduates, management graduates, qualified accountants, and others. BOARD OF GOVERNORS Dr. M.P. Rajan, School of Mathematics, Indian Institute of Science Education & Research. Previously he has been an Associate Professor with the Dept. of Mathematics, IIT-Guwahati. He had worked with Goldman Sachs as Quant Analyst. Dr. Binay Kumar Ray, AVP Quantitative Risk Team, Nomura (formerly Lehman Brothers). Abhijit Biswas, Director and Head of Product Development at Risk Infotech Solutions. Anisa Maljee, Ph. D candidate in Financial Risk Management, University of Durham, UK.

5 PROFILE OF OUR TRAINING PARTICIPANTS Our training programs have attracted participants from organizations like : Reserve Bank of India, JP Morgan Chase, NSE, BSE, Nomura, Lehman Brothers, KPMG, HSBC Bank, Deutsche Bank, Barclays Bank, Bank Of America, CITI Group, Merrill Lynch, Societe Generale, Ernst & Young, Morgan Stanley, CitiBank, Accenture, Thomson Reuters, Boston Analytics, Standard Chartered Bank, ING, State Bank of India, ICICI Bank, Axis Bank, HDFC Bank, S.I.D.B.I, Scotiabank, South Indian Bank, Union Bank of India, IndusInd Bank, Bank Of Baroda, Centurion Bank of Punjab, Development Credit Bank, ICICI Prudential Life Insurance, Birla Sun Life Insurance, Reliance Life Insurance, Stock Holding Corporation of India, Clearing Corporation of India, CRISIL, Genpact, Reliance Industries Ltd., TCS, Oracle Financials, 3i Infotech, Polaris Labs, GlobeOp Financial Services, Intelnet Global Services, UTI AMC, TATA Capital, Kotak Securities, Birla SunLife AMC, Edelweiss Securities, JM Financial Asset Management, Brics Securities, HDFC Mutual Fund and more. The professional designations of our delegates were : Executive Director, Vice President, Asst. Vice President, Financial Engineer, IT Head, DGM, AGM, Senior Manager, Manager, Credit Manager, Deputy Manager, Assistant Manager, Associate Manager, Treasury Analyst, Senior Analyst, Analyst (Risk Management), Analyst (Risk & Capital Management), Research Analyst, Financial Analyst, Credit Analyst, etc. Partcipants have diverse educational backgrounds like : Ph. D, Master of Financial Engineering, Post Graduate Diploma in Financial Engineering, M.Sc. (Statistics), MBA, Master of Management Science, Master of Financial Management, CFA, CA, CAIIB, PGDBA, BE, B. Tech, ICWA, CISA, CISSP, M.A (Economics), PGDM, M.Com, B.Sc., B.Com. etc.

6 CREDENTIALS IIQF regularly conducts training programs in financial modelling and risk analytics for MNC banks like Bank of New York Mellon, Societe Generale, ING and others. Conducted corporate training programs for stock exchanges like NSE and BSE. Conducts open house courses in financial modelling that attracts participants from banks and other financial institutions. IIQF is the authorised training provider for the Risk Management Software products of Risk Infotech Solutions Pvt. Ltd. which is a pioneer in India in developing sophisticated risk management software solutions for leading global and Indian financial institutions. IIQF has partnered with Thomson Reuters to launch the most comprehensive course in Financial Engineering in India. IIQF has partnered with HPC links, a company specializing in super-computing technologies, to launch unique financial engineering solutions and services for the BFSI domain. IIQF is a GARP Authorized FRM Training Course Provider. Four years of experience in providing FRM exam training. Faculty are industry practitioners working with some of the best global banks and financial institutions and educated from some of the top global institutions. Trained thousands of professionals in Financial Modelling and other programs over the last fours years.

7 COURSE SYLLABUS Module 201 Advanced Excel I (10 Hours) (A) Excel Features and Techniques 1. Excel Shortcuts 2. Excel formulae 3. Usage of names to make formulas easier 4. Data Sorting 5. Excel formatting 6. Data Formats 7. Lines and Borders 8. Colours and Patterns 9. Excel functions 10. Excel charts 11. Dynamic Graphs 12. Conditional Formatting 13. Linking worksheets 14. Data Validation 15. Controls Macros, Combo Boxes and buttons 16. User Forms and controls 17. Data Tables 18. Splitting screens to facilitate working between several worksheets 19. Excel protection option (B) Advanced Excel Features and Techniques 1. Use of Pivot Tables 2. Use of HLOOKUP, VLOOKUP, COUNTIF, SUMIF, SUMPRODUCT 3. Excel Database Functions DCOUNT, DSUM, DPODUCT, DMAX, DMIN, DAVERAGE, DSTDEV, DSTDEVP, DVAR, DVARP, DGET 4. Scenario Analysis in Excel 5. Use of Goal Seek 6. Recording Excel Macro 7. Creating Macro and Running from a Button Module 202 Advanced Excel II (10 Hours) (A) Analysis ToolPak 1. Descriptive Statistics 2. Histograms 3. Correlation and Covariance 4. Regression Analysis 5. Hypothesis Testing (B) Matrix Algebra and Related Functions in Excel 1. Array Handling 2. Adding Matrices 3. Multiplying Matrices 4. Transposing a Matrix 5. Matrix Inversion 6. Array Functions in Excel MMULT, TRANSPOSE, MINVERSE, FREQUENCY, LINEST (C) Optimization Using Solver 1. Linear Programming using Solver 2. Portfolio Optimization 3. Generating Efficient Frontier (D) More About Excel 1. Internet features 2. Excel Add-ins 3. Excel file handling 4. Database Access

8 COURSE SYLLABUS Module 310 Financial Modelling in Excel (40 Hours) (A) Overview 1. Introduction to Modelling 2. Excel as tool for Modelling (B) Designing Spreadsheet models 1. Set aims and Objectives 2. Examine User needs and User interface 3. Set out Key variables and rules 4. Breakdown calculations into manageable groups 5. Produce individual modules 6. Testing and auditing 7. Protection as an application 8. Documentation (C) Corporate Financial Statements 1. Profit and Loss Account 2. Balance Sheet 3. Financial Ratios 4. Cash flow statement 5. Identify the information contained in the three main financial statements 6. Basic concepts - NPV, IRR, Amortization, Debt repayment, etc. 7. Ratios used in long and short term risk return analysis - DSCR etc. 8. Making and analyzing projected financial statements in case of infrastructure companies a. Sensitivity Analysis b. Long term projections and Scenario Analysis c. Case Study of an Infrastructure Company 9. Making and analyzing projected financial statements in case of power companies a. Sensitivity Analysis b. Long term projections and Scenario Analysis c. Case Study of a Power Company 10. Project Financing (D) Cost of Capital 1. CAPM 2. Growth Models 3. WACC (E) Stock Valuation Models 1. Free Cash Flow to Firm (FCFF) Model 2. Discounted Cash Flow (DCF) Model 3. Dividend Discount Model 4. Earnings Growth Model 5. FCFF vs. FCFE (F) Mergers, Acquisitions and Corporate Restructuring Analysis 1. General M & A dynamics 2. Types of Mergers 3. Acquirer and acquired 4. Forms of Acquisition 5. Motives for M&A 6. Friendly/Hostile M&A 7. Defense tactics 8. Regulations 9. Valuation methods 10. Deal making 11. Methods of payment 12. Types of corporate restructuring 13. Reasons for restructuring 14. Examples and case study (G) Loan Amortization 1. Loan Sheet with prepayment option Reduce tenor 2. Loan Sheet with prepayment option Reduce EMI

9 Module 301 Excel VBA Programming For Finance (45 Hours) (A) Introduction to Programming (C) Excel VBA Programming 1. Basics of Computer Architecture 2. Concept of Programming and Programming Languages 3. Algorithms, Pseudo-codes and Flow-charts (B) Introduction to VBA Programming Language 1. Introduction to Visual Basic for Applications (VBA) 2. VBA Data Types 3. Logic Structures a. IF ELSEIF ELSE END IF b. IIF c. SELECT CASE 4. Control Structures a. FOR - NEXT loop b. FOR - EACH loop c. DO WHILE loop d. DO UNTILL loop 5. Arrays in VBA a. Array data types b. Single dimensional Arrays c. Multi dimensional Arrays d. Dynamic Arrays e. How we can access arrays elements with control structures f. Fast Sorting of Data using Arrays 6. Program structures a. Sub-routines b. Functions c. Logical organization of Functions and Subroutines d. Physical organization of program files 1. MS Excel VBA 2. Excel VBA Program structure Modules and Forms 3. Logical and Physical organization of Excel VBA programs Excel File and Code Modules 4. Excel VBA Editor 5. VBA subroutines a. Logical algorithm of subroutine program b. Building your first subroutine in VBA Editor 6. What is User-Defined Function 7. How Excel s end-users can benefit from User-Defined Functions 8. VBA functions and Excel functions 9. Creating User-Defined Functions in VBA 10. Differences between Excel User-Defined Functions and Subroutines 11. Accessing Excel functions from VBA 12. How Macro generated codes help to write VBA programs 13. Error Handling 14. Debugging subroutine / user defined function in VBA a. Stepping b. Add watch c. Quick watch d. Setting, Toggling and Clearing Breakpoints

10 Module 301 Excel VBA Programming For Finance (contd.) (D) Introduction to Object Oriented Programming (E) VBA User Forms 1. Basic Concept of Object Oriented Programming 2. Objects 3. Methods 4. Properties 5. Events 6. Introduction to Excel Objects a. The Excel Application Object b. Workbook Object c. Worksheet Object d. Range Object in a Worksheet e. Cell Object in a Range/Worksheet f. Table Object in a Worksheet g. Chart Object in a Workbook 7. Working with Excel objects within sub-routines and UDFs (F) Advanced Excel VBA Programming 1. Arrays and matrix algebra 2. How efficiently Multidimensional Array can be used to manipulate matrices 3. Coding Correlation and Covariance Matrices 4. Importing Data into Excel from Text, CSV, etc. 5. Exporting Data from Excel into Text, CSV, etc. 6. Database Access using VBA (G) Object Oriented Programming in Excel VBA 1. Custom Dialog Boxes a. Input box b. Message box 2. User Forms creating, showing and uploading Userform 3. ActiveX Controls on Forms 4. What are the available controls for Userform 5. What tasks controls perform 6. Properties of each control for a Userform 7. Introduction to the events related to controls and forms 8. Adding controls and coding for particular task a. Text box b. Command button c. Check box d. Option button e. Spin button f. Scroll bar g. List box h. Combo box i. Tab strip 9. More about Methods and Event handling 10. Menus 11. Toolbars 12. Displaying a progress indicators 13. Displaying charts on Userform 14. Handling multiple controls 15. User Interaction 1. Class modules 2. User defined classes 3. Objects, methods, properties and events

11 Module 311 Advanced Financial Modelling Using Excel VBA (45 Hours) (A) Regression Analysis (D) Derivatives 1. Types of data a. Times-series data b. Cross-sectional data 2. Estimation of model parameters 3. Interpreting Test Statistics 4. Sales Forecasting using regression 5. Trend lines (B) Modern Portfolio Theory 1. Portfolio Means and Variances 2. Determining Risk and Return 3. Expected Portfolio return 4. Estimating CAPM Model 5. Variance-Covariance Matrix 6. Calculating Portfolio Risk 7. Efficient Portfolios 8. Portfolio Optimization 9. Generating Efficient Frontier 10. Employing CAPM for performance evaluation of Portfolios/ Funds (C) Monte Carlo Simulation in Excel 1. Overview 2. Generating Random Numbers of different distributions using Excel functions: a. RAND, RANDBETWEEN b. NORMINV, NORMSINV c. NORMDIST, NORMSDIST d. Other Distributions 3. Simulating single stock price movement using VBA 4. Simulating correlated stocks price movements using VBA 1. Forwards, Futures and Options 2. Forward Rate Agreement 3. Swaps 4. Option Greeks 5. Implied Volatility 6. Calculation of Implied Volatility using Goal Seek and Solver (E) Equity Derivatives 1. European Options a. Black-Scholes Pricing Model b. Binomial Pricing Model c. Computing BS Greeks 2. American Options a. b. Valuation with numerical methods c. Analytical solutions 3. Asian Options - Valuation with Monte Carlo Simulation using VBA 4. Barrier Options - Valuation with Monte Carlo Simulation using VBA (F) Fixed Income Analytics 1. Pricing 2. Yield Measures 3. Duration and Modified Duration 4. Convexity 5. Sensitivity Measures PV01 6. Portfolio Duration 7. Yield Curve Construction a. Bootstrap methods b. Linear Interpolation c. Cubic Spline Interpolation

12 Module 311 Advanced Financial Modelling Using Excel VBA (contd.) (G) Interest Rate Derivatives 1. Interest Rate Term Structure Models a. Vasicek Model b. Cox-Ingersoll-Ross (CIR) Model c. Black-Derman-Toy (BDT) Model 2. Interest Rate Options valuation a. Valuation of Caps i. Caplet ii. Floorlet b. Valuation of Swaption i. Payer Swaption ii. Receiver Swaption (H) Currency Derivatives 1. Single-currency Options 2. Cross-currency Options (I) Risk Management 1. Variance and Standard deviation 2. Covariance and Correlation 3. Beta 4. Value-at-Risk d. Overview e. Defining Quantiles in Excel f. Value-at-Risk (VaR) Estimation Methods i. Variance Covariance method ii. Historical Simulation method iii. Monte Carlo Simulation method

13 COURSE FACULTY Vishal Singhi, is the Chief Manager Treasury in a top private bank, where his responsibilities include structuring of Forex and interest rate derivative products, designing hedging strategies, risk analysis, pricing of path dependent exotic options, etc. He has over five years of experience in industry and also in teaching in business schools. He has done MMS in Finance and Certificate Course in Financial Engineering. Rohit Pratap Singh is an Investment Banker working with the Mergers & Acquisitions and Corporate Advisory Group at RABO BANK. Previously he was Manager with the M&A and Corporate Advisory Group of SBI Capitals Markets, the Investment Bank arm of SBI. He has over five years of experience in investment banking. He holds an MBA Finance from IIT-Kharagpur, B.Tech., CFA (Level-III candidate), NCFM. Guruprasad Jambunathan has four years of experience in quantitative analysis & risk analysis with Irevna, CRISIL where he is responsible for undertaking advanced quantitative and risk-based analysis. He has been conducting training in relevant field for over three years. He holds a MBA Finance, Degree in Statistics, FRM, CFA. Anand Sabale, FRM. He is Partner at SPN Risk Solutions LLP. He has over six years of experience in risk management consulting, performance analytics and algorithmic trading. He has researched, traded and advised on statistical arbitrage trading. He is involved in risk management consulting and performance analytics for hedge funds and fund of hedge funds. Previously he had worked with Capital Metrics and Risk Solutions where he was involved in developing quantitative trading strategies and performance analytics for hedge funds. He is M.Tech. IIT Kanpur, BE Shivaji University and an FRM holder.

14 ADMISSION PROCESS Candidates may apply online for admission to the course. Admission will be based on the candidate s academic background and professional experience. REGISTRATION PROCESS Online Registration: Modes of Payment: Mode 1 - Cheque/Demand Draft Payments are accepted in the form of Cheque/DD In favour of "INDIAN INSTITUTE OF QUANTITATIVE FINANCE PVT. LTD." Payable at Mumbai or Delhi. Please mention your name, and telephone number along with the payment. Please mail your payment to our Mumbai or Delhi office. Mode 2 - Wire Tranfer (NEFT/RTGS) Payments can also be made through internet banking. Please contact us for details. Offline Registration: Visit our offices at Mumbai or Delhi CONTACT DETAILS Mumbai: Module No. 624, Mastermind IV, Royal Palms IT Park, Goregaon (E), Mumbai Contact Person: Nitish Mukherjee Phone: / Delhi (Information Centre): F-109 Vardhman Plaza Complex, LSC 2, Pocket B Mayur Vihar 2, Delhi Contact Person: Alok Bharti Office Hours : Weekdays : 10:00 AM - 7:30 PM Saturdays & Sundays :2:30 PM - 7:30 PM (Weekends with prior appointment)