Thư viện tài liệu, ebook tham khảo dành cho học sinh, sinh viên

Suppose the Spot Euro is $1.50 and 1-Yr Forward is $1.60 Remember that an exchange rate is the price of one currency in terms of another ($1.50 is the price of a euro for immediate delivery, $1.60 is the price for 1-year delivery) The euro is selling at forward premium, since it is more expensive to buy in the forward market The premium is (1.6...

27 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 833 | Lượt tải: 0

Inputs (Expected Return) Define Distribution (Normal) Distribution Parameters (Mean and Std dev) Add Output (Portfolio Value) Simulation Settings 10,000 iterations, 1 simulation Run Simulation Evaluate Results Mean, Standard deviation VaR, Confidence Interval Click on output sell, browse results Right click on graph, Copy Distribution gr...

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Options can be: used to insure long positions (floors) used to insure short positions (caps) Covered positions (selling insurance)

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If portfolio returns are normally distributed with expected return, µ, and standard deviation, σ, then the X% Confidence Interval VaR for a portfolio value of V$ is: VC VaR Assuming stock returns are normally distributed with μ=7.96% and σ=10.3% Assume 252 trading days in a year VaR(90%,1-year)=-100,000(.0796-1.28*.103)=$5,224 VaR(95%,1-year)=-...

44 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 850 | Lượt tải: 0

Find Value Creating Financial Investments E.g., Equities, Bonds, Derivatives Ensure cash flow estimates and/or discount rate reflects investment risk Finance Investments Equity, Debt Manage leverage and interest rate risk Implement, Manage, Report on Investments Identify, measure, and mitigate exposure to market and credit risk to protect ea...

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Forward: Enter into long forward contract to buy 100,000 euros at the forward price No upfront costs IRP can be used to price forwards Option: Buy call option to purchase 100,000 euros at the strike price Must pay premium BS can be used to price option premium: Set-Foreign interest rate as dividend yield and enter spot and strike in direct ter...

30 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 896 | Lượt tải: 0

FCFF (Free Cash Flows to the Firm) Cash flows available to distribute to both debt and equity holders before interest and dividend payments, but after taxes Non-cash “accounting costs” are added back (Depr + Amort) capital expenditures (which are depreciated) are subtracted Appropriate to value total firm (LBO/PE/IB)-- must subtract the value ...

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Distribution fitting is the process of fitting a curve (or geometric shape) to a histogram to use in simulations The Normal distribution is the most used in finance and other fields We will now compare and use other distributions

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Dynamic hedging is an active hedging strategy where the delta positions are adjusted continuously (or at least daily) Since option gamma’s are nonzero, the deltas will change as the underlying stock price changes.

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Empirical studies have found autocorrelation in volatility which means high vol is likely to be followed by high vol (“Volatility Clustering”). Sample and population volatility measures equally weight historical data when computing volatility Exponential Weighted Moving Average Volatility (EWMA) is a volatility estimate that weighs recent data mo...

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