Tài chính doanh nghiệp - Topic 11A: Default - Adjusted bond returnIn the prior examples, the formulas calculated the returns for annual payment bonds To adjust for semi-annual payments, divide the coupon rate by 2 and multiply the term by 2. You must also adjust the transition matrix to six-month periods The resulting default adjusted return will be a 6-month return. Multiply this number by 2 to report the bon...
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Tài chính doanh nghiệp - Topic 11: Fixed income portfolio optimizationIn the prior slide, I replaced the durations and convexities with values to reflect the prepayment options of consumer loans Durations and negative convexity values would come from other models (not addressed in this class) that compute the duration and convexity of loans based on borrowers prepayment behaviors (prepayment models) The bond value,...
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Tài chính doanh nghiệp - Topic 10: Bond valuation, ytm, duration, convexity, and bond varNegative convexity (interest rate risk) of mortgages is not attractive to investors (or banks) if rates fall or rise As rates fall non-callable bond price will appreciate according to its duration (and even more due to convexity) Mortgage do not appreciate much because the mortgage can always be prepaid at par (limited upside!) Worse yet, as ra...
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Tài chính doanh nghiệp - Topic 8: Dynamic portfolio simulation, monte carlo, personal financial planning models, @riskSimulate portfolios with multiple periods, changing asset allocation, and contributions Create a personal financial planning model Use @Risk and Macros to run Monte Carlo Simulations Use @Risk Goal Seek
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Tài chính doanh nghiệp - Topic 7: Advanced excel awesomeness: macros, web queries, and other cool stuffParametric web queries allow users to enter parameters (such as stock symbol) which then directs the web query to that stock’s information. If the parameter is changed, the web data will automatically be refreshed Only works for web addresses which have a recognizable variable
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Tài chính doanh nghiệp - Topic 6: Computing portfolio value - At - risk (var), random walk simulations, macros and @ risk simulationsA Function is used to make calculations and return a value to a cell or range of cells A macro is used to automate tasks, for example: Copy value or formula from one cell to another cell Change formats Display messages Macros (also called Subroutines) are also written in modules and have a similar structure as functions Sub macroname () exec...
20 trang | Chia sẻ: huyhoang44 | Ngày: 27/03/2020 | Lượt xem: 954 | Lượt tải: 0
Tài chính doanh nghiệp - Topic 5: Advanced topics in vba/user - Defined functions for use in financial applicationsthe following function turns an array of “c” columns of n prices (in ascending chronological order) into an array of n-1 returns, Function prices2returns2(prices As Range) 'returns range contains returns for n-assets in n-columns Dim matrix() c = prices.Columns.Count r = prices.Rows.Count -1 ReDim matrix(r, c) For i = 1 To r For j = 1...
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Tài chính doanh nghiệp - Financial modeling - Topic 4: Portfolio risk - Return optimizationFind optimal complete portfolios for complete portfolio volatility of 9%, 18%, and 27% Complete (or combined) portfolios may combine risky assets with risk-free assets and borrowing 18%: Envelope Portfolio: Contains SPY, EFA, EEM 9:%: ORP + Rf: Contains SPY, EFA, EEM, and Rf 27%: OBP + Rb: Contains SPY, EFA, EEM, and -Rb
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Financial modeling - Topic 3: Computing portfolio risk and returnMultiplication of Matrices Matrix A can be multiplied by Matrix B (written AxB or AB), if the number of columns of A equals the number of rows in Matrix B. (inside dimensions (rC*Rc) The resulting matrix has the same number of rows as the first matrix and the number of columns as the second matrix (outside dimensions Rc*rC) If the outer dimensio...
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Tài chính doanh nghiệp - Financial modeling - Topic 2: Estimating asset riskThis course will always use population variance (VARP) and population standard deviation (STDEVP) statistics for all lectures, assignments and exams. Sample statistics should be used when dealing with small samples in the real world. The only difference is that the sample statistics compute the average squared deviation by dividing the sum of squar...
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