• Tài chính doanh nghiệp - Topic 11: Monte carlo simulations using excel and @risk: hoffman minesTài chính doanh nghiệp - Topic 11: Monte carlo simulations using excel and @risk: hoffman mines

    1. Create a model that estimates a future outcome which has a stochastic variable Estimate free cash flows Select stochastic variables 2. Specify the distribution of the stochastic variables (and their correlations) Distributions Correlations 3. Simulate many possible outcomes by randomly sampling from the specified distribution Sample 10,0...

    pptx12 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1042 | Lượt tải: 0

  • Tài chính doanh nghiệp - Topic 10: Hedging commodity risk and car l. gattisTài chính doanh nghiệp - Topic 10: Hedging commodity risk and car l. gattis

    Exchange-traded futures contracts call for delivery of the underlying commodity of specific quality at a specific location on specific dates. The short-party will delivery “the cheapest-to-deliver” asset What would you deliver if you were short a Beer Futures Wine Futures Car Futures A hedger may require different date, location, or quality ...

    pptx32 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1092 | Lượt tải: 0

  • Tài chính doanh nghiệp - Topic 9: Competitive exposure and real currency appreciation; managing country riskTài chính doanh nghiệp - Topic 9: Competitive exposure and real currency appreciation; managing country risk

    Measuring the Competitive exposure to an exchange rate change is very difficult. You must estimate: Nominal exchange rate changes Interest rates, inflation rates, government intervention, supply and demand shocks, geo-political-economic risk Relative Inflation Price Flexibility (Yours and competitors) Cost Flexibility (Yours and competitors)

    pptx23 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 827 | Lượt tải: 0

  • Tài chính doanh nghiệp - Multinat corp monte carlo simulations using excel and @riskTài chính doanh nghiệp - Multinat corp monte carlo simulations using excel and @risk

    1. Create a model that estimates a future outcome (e.g., CF) which has a stochastic variable such as asset return Stochastic variables are those in which the future value is uncertain (non-deterministic) – i.e., more than one possible outcome 2. Specifying the distribution of the stochastic variables E.g., The Appreciation of the AUDUSD Distrib...

    pptx21 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 913 | Lượt tải: 0

  • Tài chính doanh nghiệp - Topic 7: Measuring and managing translation and transaction exposureTài chính doanh nghiệp - Topic 7: Measuring and managing translation and transaction exposure

    CaR measures the risk that actual cashflows are different than what is expected (or planned) More technically, CaR is the level of cashflow loss that has a x% probability of being exceeded over the next n periods. Example: Manager may have a 1-year €80 receivable and asks how much can the cashflows be different from the expected value with 95% c...

    pptx28 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1074 | Lượt tải: 0

  • Tài chính doanh nghiệp - Topic 6: Currency forwards, futures, and optionsTài chính doanh nghiệp - Topic 6: Currency forwards, futures, and options

    Suppose Dell has a €500,000 December receivable. If unhedged, what is the US$ receivable value if the spot price is $1.3115 or $1.1225? $1.3115: $1.3115* €500,000=$655,750 $1.1225: $1.1225* €500,000=$561,250 If the position is hedged using a short $1.2228 forward, the hedged value of the receivable is: $1.3115: Sell using forward price: $1.2...

    pptx35 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 949 | Lượt tải: 0

  • Tài chính doanh nghiệp - Topic 5: Exchange rates, spot quotes, transactions, forwards, and appreciationsTài chính doanh nghiệp - Topic 5: Exchange rates, spot quotes, transactions, forwards, and appreciations

    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...

    pptx27 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 949 | Lượt tải: 0

  • Tài chính doanh nghiệp - Topic 4: Modeling portfolio risk, return, and varTài chính doanh nghiệp - Topic 4: Modeling portfolio risk, return, and var

    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...

    pptx6 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 868 | Lượt tải: 0

  • Tài chính doanh nghiệp - A course in financial risk managementTài chính doanh nghiệp - A course in financial risk management

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

    pptx30 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 976 | Lượt tải: 0

  • Tài chính doanh nghiệp - Topic 2: Measuring portfolio risk and returnTài chính doanh nghiệp - Topic 2: Measuring portfolio risk and return

    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)=-...

    pptx44 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 926 | Lượt tải: 0