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Metin Kilic's Resume

METIN KILIC'S MODELS

Term Structure Modelling & Balance Sheet Simulation

Credit Risk Modeling & Default Probability Calculation

Monte Carlo Simulation on T-Bill Index (Normal Conditions)

Monte Carlo Simulation on T-Bill Index (Crisis Conditions)

Greek Neutral Trading Results (Portfolio Insurance with Synthetic Options)

Feel free to e-mail your comments or suggestions...

Simulation Output of a Jump Diffusion Process

Risk & Return Optimization in Project Selection under a Budget Constraint

Portfolio Risk & Return Optimization / Safe Leverage Ratio Calculation

Currency Option Pricing in Stochastic Interest Rate Environment

* Please note that these files contain macros. Therefore, make sure that you choose to "ENABLE MACROS" at the opening prompt of Excel in order to be able to run the models in your computer. * Some of the above models require Excel Add-Ins. In order to run the models, users would need to install Excel Add-Ins in their computer. This can be done by choosing "Tools" and then "Add-Ins" from Excel's menu bar. Checking to install all of the available add-ins is recommended. * Files, listed here, are, from their VBA coding to their theoretical know-how, personal works of Metin Kilic in his profession. Please, do not use them without proper citation.

This section consists of more than a dozen of my models. Please download those, which may be of interest or use to you in your research. The files are developed in Excel and zipped. Your suggestions to improve these models will be appreciated.

Metin Kilic's Resume

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Currency Option Pricing under Mean Reverting Volatility

Option Pricing via Monte Carlo Simulation

Risk & Return Optimization on a Hypothetical Bank's Assets & Liabilities

Risk Budgeting through RAROC Maximization

Valuation of Default Risk on Bonds

Credit Linked Note (CLN) Valuation (Unleveraged, X2 & X3 Leveraged)

Credit Default Swap (CDS) Valuation

Total Rate of Return Swap Valuation

Interest Rate Swap Valuation

Cross Currency Interest Rate Swap Valuation

Amortizing Interest Rate Swap Valuation