Tài chính doanh nghiệp - Topic 2: Measuring portfolio risk and returnIf 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: 915 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 1: Introduction: risk managementFind 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...
10 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 876 | Lượt tải: 0
Tài chính doanh nghiệp - Global financial modelingForward: 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: 960 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 15: Building stochastic free cash flow and dcf models using excel and @riskFCFF (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 ...
17 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 1175 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 14: Selecting distributions, distribution fitting and the normal curve using @risk l. gattisDistribution 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
23 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 903 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 13B: Bsm option greeks and dynamic delta hedgingDynamic 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.
30 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 827 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 13A: Black - Scholes - merton option pricing model, implied vols, and volatility estimationEmpirical 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...
25 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 914 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 13: Option contracts and hedging, monte carlo valuation, and black - ScholesFunction stocksim_cont(s, r, d, v, h, z) stocksim_cont = s * Exp((r - d - 0.5 * v ^ 2) * h + v * z * h ^ 0.5) End Function ---------------------------------------------------------------------------------- S: Current Stock Price; d: annualized dividend yield; z: random ~N(0,1); h: time (in years) between stock price changes; if you model stoc...
26 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 787 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 12: Forward contracts and hedges, simulated correlated random variables5 years of monthly jet fuel, Gas, and Heating Oil Prices. Monthly price returns and correlation matrix Compute monthly returns and correlation matrix Jet Fuel and Heating Oil have highest correlation (.97) Compute Jet Fuel / Heating Oil beta, =Slope(Jet Returns, Oil) Cross Hedging Strategy: Enter into contract to buy 93,750 gallons of heating o...
25 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 843 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 11B: Accrued interest, clean and dirty prices, yield curve models, and forward ratesSpot rates are interest rates on instruments that start today and mature at a future date (t). Written r(0,t) Forward rates are interest rates on instruments that start at a future date (t1) and mature at a later future date (t2). Written r(t1,t2) Forward interest rates are used to “lock into” future investment or borrowing interest rates You ...
25 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 838 | Lượt tải: 0
