tailieunhanh - Lecture Financial risks management - Topic 8: Multinat corp monte carlo simulations using excel and @risk

Topic 8 - Multinat corp monte carlo simulations using excel and @risk. In this chapter, students will be able to understand: Apply Interest Rate Parity (IRP) and Unbiased Forward Rate (UFR) to forecast exchange rates; use Bloomberg forex quotes, forwards, volatilities and interest rates;. | #8 MultiNat Corp Monte Carlo Simulations using Excel and @Risk L. Gattis Learning Objectives Apply Interest Rate Parity (IRP) and Unbiased Forward Rate (UFR) to forecast exchange rates Use Bloomberg forex quotes, forwards, volatilities and interest rates Compute Cashflow at Risk using the CaR Formula and simulation Use simulation software (@Risk) to estimate the effects of forex hedging on cashflows Preparation Download Excel File Launch Excel – open lab file Launch @Risk Software MultiNat Corp. Financial Statement Simulation MultiNat Corp Produces Microprocessor Chips in Australia and sells them in Europe MNCs only source of revenues come from the sale of chips in Europe which generates euros A major source of production costs are Australia labor costs which are paid in Australian dollars MNC has issued euro-denominated debt to hedge their euro revenues and is considering the use of options or forwards to hedge against an appreciation of Australian dollar. MNC Financials Forex Forecasts EURUSD Use the spot price and forward points to obtain the outright forward price Assume the forward price is an unbiased predictor of future spot rates (UFR: Unbiased Forward Rate) EUR revenue is partially hedged by the issuance of euro-denominated debt AUDUSD Use Interest Rate Parity (IRP) to forecast exchange rate AUD is hedged with forwards and/or options AUD IRP Forecast What is the IRP expected appreciation of the AUD if . and Australian 1-year interest rates are .21% and , respectively? EUR: Market-Based Forecast (Unbiased Forward Rate) Spot = + Fwd Pts () = Base Case FCF Forecast MNC’s AUD CaR What is MNC’s 1-year, 95% CaR? σ = Black-Scholes 1-yr Implied Vol; T = 1 year; V = ?????; Z = ????? CaR = Monte Carlo Simulation We will now run a cashflow simulation to see the distribution of possible CFs. We will then evalulate alternative AUD hedging strategies using the simulation. Financial Simulation Process 1. Create a model that estimates a | #8 MultiNat Corp Monte Carlo Simulations using Excel and @Risk L. Gattis Learning Objectives Apply Interest Rate Parity (IRP) and Unbiased Forward Rate (UFR) to forecast exchange rates Use Bloomberg forex quotes, forwards, volatilities and interest rates Compute Cashflow at Risk using the CaR Formula and simulation Use simulation software (@Risk) to estimate the effects of forex hedging on cashflows Preparation Download Excel File Launch Excel – open lab file Launch @Risk Software MultiNat Corp. Financial Statement Simulation MultiNat Corp Produces Microprocessor Chips in Australia and sells them in Europe MNCs only source of revenues come from the sale of chips in Europe which generates euros A major source of production costs are Australia labor costs which are paid in Australian dollars MNC has issued euro-denominated debt to hedge their euro revenues and is considering the use of options or forwards to hedge against an appreciation of Australian dollar. MNC Financials Forex .

• Tài chính doanh nghiệp
• Risk management
• Financial risks management
• Lecture Financial risks management
• Quản trị rủi ro
• Quản trị rủi ro tài chính
• Multinat corp monte carlo
• Lecture Risk management
• Financial institutions
• Classification of risk
• Benefits of risk management
• Risk management process
• Valuation and Risk Models book 4
• Financial Risk Management
• Risk Management Lecture
• Foundations of Risk Management
• Risk defining risk
• Financial Markets and Products
• Valuation and Risk Models
• Financial Risk Management FRM book 1
• Enterprise risk management
• Insurance market dynamics
• Financial risk manager
• Financial risk
• Financial manager
• Market risk management
• Credit risk management
• Integrated risk management
• Investment risk management
• Probability distribution
• Application in risk management
• financial and regulatory contexts
• asset and risk management
• underlying theories of asset management
• asset management and risk management
• quản lý tài sản và quản lý rủi ro
• Project management
• Lecture Project management in practice
• Project risk management
• Risk identification
• Risk analysis
• Risk on society
• Techniques for managing risk
• Finance management
• Fundamentals of finance management
• Derivatives and risk management
• Derivative securities
• Fundamentals of risk management
• Using derivatives
• Thesis abstract Banking – Finance
• Improving credit risk management capacity
• Credit risk management capacity
• Risk management capacity at Techcombank
• Risk management capability
• Information technology project management
• Information technology project
• Risk management planning
• Qualitative risk analysis
• Quantitative Analysis book 2
• Financial Markets and Products book 3
• Managing spot risk
• Managing forward risk
• Managing vanilla options risk
• Managing exotic options risk
• Credit risk
• Ideally insurable risk