Tài chính doanh nghiệp - Topic 12: Measuring and managing interest rate risk with financial forwards, futures and swaps l. gattisSuppose the convexity of the kmart and hedge bond are 30 and 20 respectively. If rates rise 50 basis points (both bond prices fall) Kmart Value Change =-260.05+½x30x.0052x9,461.1 =-256.50 Hedge Bonds Change=260.05+½x20x.0052x-7,662.09 = 258.13 Total Portfolio Value Change = $1.63 In this case, you are not completely hedged because you are long...
41 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 924 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 11: Monte carlo simulations using excel and @risk: hoffman mines1. 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...
12 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1029 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 10: Hedging commodity risk and car l. gattisExchange-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 ...
32 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1066 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 9: Competitive exposure and real currency appreciation; managing country riskMeasuring 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)
23 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 816 | Lượt tải: 0
Tài chính doanh nghiệp - Multinat corp monte carlo simulations using excel and @risk1. 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...
21 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 898 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 7: Measuring and managing translation and transaction exposureCaR 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...
28 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1061 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 6: Currency forwards, futures, and optionsSuppose 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...
35 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 936 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 5: Exchange rates, spot quotes, transactions, forwards, and appreciationsSuppose 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: 933 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 4: Modeling portfolio risk, return, and varInputs (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...
6 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 856 | Lượt tải: 0
Tài chính doanh nghiệp - A course in financial risk managementOptions can be: used to insure long positions (floors) used to insure short positions (caps) Covered positions (selling insurance)
30 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 959 | Lượt tải: 0
