Beruflich Dokumente
Kultur Dokumente
FX risk arises because of uncertainty about the future spot exchange rate
FX risk refers to the variability of the domestic currency value of certain items resulting from the variability of the
Purpose:
Currency Expected CF in £ High estimate
Activity Determine Euros (1 EUR= ?GBP) 6,800,000 7,100,000
Cashflow Swiss Francs (1CHF = ?GBP) 4,400,000 4,800,000
Exposure Japanese Yen (1 JPY= ?GBP -3,500,000 -4,200,000
US dollars 1,650,000 1,740,000
Yen US dollar
0.29 0.22
0.27 0.04
1 0.32
0.32 1
Yen US dollar
15,852,769,679 1,546,230,737 σUSD * r * σEUR
19,679,300,292 374,843,815
127,551,020,408 5,247,813,411
5,247,813,411 2,108,496,460
6,800,000.00
4,400,000.00
(3,500,000.00)
1,650,000.00
9,350,000.00
Purpose: READ : 1 CAD= ?USD
Currency Total inflow Total outflow
Activity Canada 35,193 14,698
Determine APPL's
Cashflow Exposure Europe 21,054 16,647
China 17,956 17,308
Japan 7,237 18,723
depreciate
Currency Expected CF in $ High estimate
Canada 16,191 17,810
Europe 5,421 5,963
China 104 114
Japan -107 -118
Expected CF 21,609
Total variance 426,905 426,905
Standard deviation 653
SD/Expected CF 3.02%
1.96 σ up 22,889 $22,889,144,426.69
1.96 σ down 20,328 $20,327,895,973.31
Current
Net flow Expected rate USD$ Expected flow in $
20,495 0.79000 16,191
4,407 1.23000 5,421
648 0.16000 104
-11,486 0.00930 -107
21,609
5% appreciation
Net flow Expected rate USD$ Expected flow in $Expected rate USD$
20,495 0.75050 15,381 G3-5%*G3
4,407 1.16850 5,150
648 0.15200 98
-11,486 0.00884 -101
20,528
10% depreciation
Net flow Expected rate USD$ Expected flow in $
20,495 0.869 17,810 G3+0.1*G3
4,407 1.353 5,963 0.869
648 0.176 114 1.353
-11,486 0.01023 -118 0.176
23,769 0.01023
Standard deviation
620
207
4
-4
HK/China Japan
Cov (CAD/HK) Cov (CAD/JPY)
Cov (Euro/hk) Cov (EURO/JPY)
Var (HK) Cov (JPY/$)
Var (JPY)
apreciate USD
Low estimate Standard deviation Variance
15,381 620 383,849
5,150 207 43,024
98 4 16
-101 -4 17
USDHKD USDJPY
-713 -557
-222 -34
16 5
5 17
Purpose: Measure Exposure
USDCAD 1CAD=USD?
Activity Assume you have 2 mill CAD Revenue Average
Assume you have 1 mil EUR Revenue USD bid
2011 1.01145
Determine your USD Revenue 2012 1.00021
Determine standard deviation in the % change 2013 0.97106
2014 0.90581
Determine total USD revenue to be received 2015 0.78368
2016 0.75503
2017 0.77096
*2018 0.79003
Average
ask CAD Revenue USD Revenue % Change
1.01196 $2,000,000.00 $2,022,900.00
1.00058 $2,000,000.00 $2,000,420.00 -1.11%
0.97143 $2,000,000.00 $1,942,120.00 -2.91%
0.90614 $2,000,000.00 $1,811,620.00 -6.72%
0.78398 $2,000,000.00 $1,567,360.00 -13.48%
0.75527 $2,000,000.00 $1,510,060.00 -3.66%
0.77119 $2,000,000.00 $1,541,920.00 2.11%
0.79034 $2,000,000.00 $1,580,060.00 2.47%
σ 0.06 high
Average -3.33% low
Average
ask EUR Revenue USD Revenue % Change
1.39284 $1,000,000.00 $1,392,430.00
1.28609 $1,000,000.00 $1,285,770.00 -7.66%
1.32825 $1,000,000.00 $1,327,970.00 3.28%
1.32925 $1,000,000.00 $1,328,980.00 0.08%
1.11078 $1,000,000.00 $1,110,400.00 -16.45%
1.1071 $1,000,000.00 $1,106,750.00 -0.33%
1.12976 $1,000,000.00 $1,129,490.00 2.05%
1.22884 $1,000,000.00 $1,228,580.00 8.77%
σ 0.08 high
Average -1.46% low
0.15
-0.18
0.10
-0.15
VaR IF you make this an investment, over next month , I'm 99% confident your maxim
VaR = A*σ*α*sqrt(T)
eg. σ: volatility of asset position
α: confidence limit in terms of no. of standard
A: amount of exposure
eg.
% confident your maximum loss would not be exceed this …..
Activity
PORTFOLIO GOOGL YHOO
Value 1,000.00 1,000.00
Confidence Level
Portfolio Value
Min Return with 99% prob
Value of Portfolio
Value at Risk
VAR Formula =PERCENTILE(K8:K11,5%)
$1,000,000.00
AR) @ 95% -0.30% -1.77%
MFST PORTFOLIO
1.50% 1.35%
1.53% 0.71%
-1.46% -2.02%
-0.44% -0.34%
ly return
-0.076% Mean
1.473% Std Dev
99.00%
$3,000,000.00 VaR -105062.992 Loss amount
-3.50% Loss -$315,188,975,399
$2,894,937.01
$105,062.99
Infosys Exchange Rate -
close Price INR:US$ (1USD= ? Infosys Price
Purpose: Date - INR INR) - US$
1993-06-14 20 31.21 0.6408
VaR
Calculatio
Activity n 1993-06-15 19.06 31.31 0.6088
1993-06-16 19.06 31.21 0.6107
1993-06-17 18.75 31.21 0.6008
1993-06-18 18.91 31.21 0.6059
1993-06-21 18.59 31.2 0.5958
1993-06-22 18.91 31.2 0.6061
1993-06-23 19.22 31.2 0.6160
1993-06-24 20 31.2 0.6410
1993-06-25 19.84 31.2 0.6359
1993-06-28 19.53 31.14 0.6272
1993-06-29 19.69 31.14 0.6323
1993-06-30 19.63 31.14 0.6304
1993-07-01 19.63 31.14 0.6304
1993-07-02 19.69 31.14 0.6323
1993-07-05 20 31.14 0.6423
1993-07-06 20.25 31.14 0.6503
1993-07-07 20.16 31.14 0.6474
1993-07-08 20.16 31.14 0.6474
1993-07-09 20.19 31.14 0.6484
1993-07-12 20.16 31.14 0.6474
1993-07-13 20.31 31.14 0.6522
1993-07-14 20.31 31.14 0.6522
1993-07-15 20.94 31.14 0.6724
1993-07-16 21.09 31.14 0.6773
1993-07-19 20.94 31.14 0.6724
1993-07-20 21.25 31.13 0.6826
1993-07-21 21.38 31.13 0.6868
1993-07-22 22.03 31.13 0.7077
1993-07-23 22.03 31.13 0.7077
1993-07-26 23.13 31.13 0.7430
1993-07-27 23.44 31.13 0.7530
1993-07-28 24.38 31.13 0.7832
1993-07-29 26.25 31.13 0.8432
1993-07-30 26.56 31.13 0.8532
1993-08-02 26.56 31.13 0.8532
1993-08-03 26.56 31.13 0.8532
1993-08-04 26.25 31.13 0.8432
1993-08-05 26.25 31.13 0.8432
1993-08-06 27.5 31.13 0.8834
1993-08-09 27.5 31.13 0.8834
1993-08-10 28.75 31.13 0.9235
1999-02-12 2466 42.45 58.0919
1999-02-15 2468 42.45 58.1390
1999-02-16 2495 42.49 58.7197
1999-02-17 2588 42.47 60.9371
1999-02-18 2600 42.44 61.2630
1999-02-19 2614 42.42 61.6219
1999-02-22 2552 42.41 60.1745
1999-02-23 2557.5 42.4 60.3184
1999-02-24 2575 42.4 60.7311
% Daily Change 10-day rate of Change in value
(LN) change (LN) of position
-0.051
0.003
-0.016
10 days
0.008
-0.017
0.017
0.016
0.040
-0.008
-0.014 -0.022 -1164484.353
0.008 0.038 2114892.450
-0.003 0.032 1761119.581
0.000 0.048 2693916.003
0.003 0.043 2382469.337
0.016 0.075 4258961.196
0.012 0.070 3985952.186
-0.004 0.050 2783645.683
0.000 0.010 543420.766
0.001 0.019 1071401.125
-0.001 0.032 1763161.899
0.007 0.031 1721075.251
0.000 0.034 1893400.552
0.031 0.065 3647580.475
0.007 0.069 3886298.955
-0.007 0.046 2568926.887
0.015 0.049 2717586.475
0.006 0.059 3326298.255
0.030 0.089 5089151.675
0.000 0.088 5000374.305
0.049 0.138 8072442.079
0.013 0.144 8443680.862
0.039 0.183 10974209.776
0.074 0.226 13882281.633
0.012 0.231 14198468.629
0.000 0.238 14691709.944
0.000 0.223 13658074.362
-0.012 0.205 12450166.131
0.000 0.175 10470124.359
0.047 0.222 13571464.512
0.000 0.173 10326655.532
0.044 0.204 12382000.008
0.005 0.049 2765570.010
0.001 0.083 4713287.279
0.010 0.107 6168671.032
0.037 0.113 6550224.283
0.005 0.121 7031023.022
0.006 0.051 2847294.823
-0.024 0.075 4252877.706
0.002 0.029 1604384.130
0.007 0.057 3185206.884
Market Capitalization Information
Under Historical Distribution, with 95% confidence , we expect that our worst(daily) loss will not exceed $9,050,691
Daily Change
10 - day change
μ 3.08%
σ 8.60%
Under Normal Distribution, with 95% confidence , we expect that the loss will not exceed $9,254,596 in the next 10 t
Category Probability Distribution
0.00%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
Purpose:
To be brief, this
approach allows Value-At-Risk
Activity you to find the
maximum loss on
your portfolio of The aim of this program is to measure portfolio risk using Value-At-Risk (VaR) approach
stocks with a given If you need more theory on that issue you can look at wikipedia:
probability http://en.wikipedia.org/wiki/Value_at_risk
To be brief, this approach allows you to find the maximum loss on your portfolio of stocks with a given probability
This file calculates maximum loss for portfolio for 1 week and for 10 weeks periods with a given probability
1. Portfolio creation
Next, I found price performance for each stock for the last 24 periods (although it is better to use larger arrays) and calculated prices change for each
I took weekly data (the prices at the end of the week)
Thus price changes look more interesting. You can choose any interval: minute, hour, day, quarter etc
In the blue cell you can enter a confidence interval: from 0.90 to 0.99
I chosed 0.95
This figure is the probability that the potential losses for portfolio will not be higher than VaR, which we will determine in the end
3. Calculation of K-coefficient
K-coefficient = 1.64485363
AAPL C GE XOM AA T
Average weekly change 0.687% 0.233% 0.086% 0.481% 0.914% 0.455%
Standart deviation 4.165% 3.693% 4.313% 2.750% 5.098% 1.725%
1) Calculate volatility multipliers for 10 weeks: weekly volatility multiplier x square root of 10
2) Calculate average prices changes for 10 weeks: average weekly change x 10
Create correlation matrix in which you calculate correlations between all stocks
For correlations calculations we use CORREL function
Correlation matrix
AAPL C GE XOM AA T
AAPL 1.00 0.75 0.69 0.90 0.97 0.75
C 0.75 1.00 0.66 0.82 0.84 0.52
GE 0.69 0.66 1.00 0.64 0.74 0.77
XOM 0.90 0.82 0.64 1.00 0.93 0.74
AA 0.97 0.84 0.74 0.93 1.00 0.78
T 0.75 0.52 0.77 0.74 0.78 1.00
AXP -0.04 0.33 0.12 0.09 0.06 -0.11
CAT 0.91 0.72 0.81 0.89 0.94 0.90
KO 0.82 0.66 0.69 0.89 0.86 0.91
HD 0.83 0.62 0.72 0.75 0.79 0.72
Make links to weekly and 10-weeks volatility multipliers which we calculated in steps 5 and 6, respectively
We need this table for calculations with excel functions
3) Calculate VaR
The loss of your portfolio will be not more than -12,133 $ or -4.47% for 1 week; and not more than
Portfolio value (just to remind)= ###
Source: iamanalista@gmail.com
STEP 1
HD
lculated prices change for each period (the column next to the price)
XOM Change AA Change T Change AXP Change CAT Change KO Change HD Change
63.1 11.11 25.43 42.03 65.85 52.31 31.94
59.1 -6.3% 11.23 1.1% 24.79 -2.5% 42.67 1.5% 64.71 -1.7% 50.26 -3.9% 30.2 -5.4%
56.57 -4.3% 10 -11.0% 24.29 -2.0% 39.42 -7.6% 59.18 -8.5% 50.05 -0.4% 27.76 -8.1%
58.78 3.9% 10.94 9.4% 24.83 2.2% 42.58 8.0% 64.72 9.4% 52.4 4.7% 28.26 1.8%
57.96 -1.4% 10.41 -4.8% 24.69 -0.6% 41.38 -2.8% 63.94 -1.2% 52.37 -0.1% 27.11 -4.1%
59.72 3.0% 11.05 6.1% 25.54 3.4% 44.79 8.2% 69.31 8.4% 54.75 4.5% 28.25 4.2%
59.68 -0.1% 11.17 1.1% 25.94 1.6% 44.64 -0.3% 69.75 0.6% 55.11 0.7% 28.51 0.9%
61.97 3.8% 11.59 3.8% 26.54 2.3% 43.5 -2.6% 71.56 2.6% 56.75 3.0% 28.68 0.6%
59.91 -3.3% 10.64 -8.2% 26.72 0.7% 41.73 -4.1% 68.01 -5.0% 55.73 -1.8% 27.31 -4.8%
58.89 -1.7% 10.57 -0.7% 26.45 -1.0% 40.76 -2.3% 68.86 1.2% 55.3 -0.8% 28.17 3.1%
59.8 1.5% 10.32 -2.4% 26.94 1.9% 40.91 0.4% 65.9 -4.3% 56.16 1.6% 28.74 2.0%
61.32 2.5% 10.88 5.4% 27.44 1.9% 41.8 2.2% 70.08 6.3% 57.56 2.5% 29.85 3.9%
61.2 -0.2% 11.17 2.7% 27.83 1.4% 40.19 -3.9% 71.26 1.7% 58.52 1.7% 29.68 -0.6%
60.78 -0.7% 11.1715 0.0% 28.17 1.2% 41.37 2.9% 73.18 2.7% 57.56 -1.6% 29.89 0.7%
61.75 1.6% 12.2 9.2% 28.58 1.5% 43.13 4.3% 79.73 9.0% 58.62 1.8% 31.64 5.9%
62.54 1.3% 12.23 0.2% 28.81 0.8% 41.78 -3.1% 78.22 -1.9% 59.12 0.9% 31.82 0.6%
64.38 2.9% 12.89 5.4% 28.22 -2.0% 37.99 -9.1% 80.37 2.7% 59.41 0.5% 31.89 0.2%
65.19 1.3% 13.13 1.9% 28.33 0.4% 39.09 2.9% 79.75 -0.8% 59.94 0.9% 30.7 -3.7%
66.34 1.8% 12.72 -3.1% 28.29 -0.1% 39.03 -0.2% 78.33 -1.8% 61.61 2.8% 31.48 2.5%
66.49 0.2% 13.14 3.3% 28.52 0.8% 41.46 6.2% 78.6 0.3% 61.32 -0.5% 30.9 -1.8%
70 5.3% 14 6.5% 29.27 2.6% 44.07 6.3% 83.54 6.3% 62.58 2.1% 31.92 3.3%
70.99 1.4% 13.49 -3.6% 28.46 -2.8% 42.7 -3.1% 81.04 -3.0% 62.92 0.5% 31.44 -1.5%
70.54 -0.6% 13.38 -0.8% 28.32 -0.5% 42.75 0.1% 83.97 3.6% 64.32 2.2% 31.22 -0.7%
69.88 -0.9% 13.31 -0.5% 28.14 -0.6% 43 0.6% 84.69 0.9% 64.61 0.5% 31.16 -0.2%
STEP 2
STEP 3
STEP 4
AXP CAT KO HD
0.200% 1.199% 0.941% -0.051%
4.590% 4.583% 1.999% 3.426%
STEP 5
AXP CAT KO HD
250 127 100 1500 1)
43.000 84.690 64.610 31.160 2)
10,750.00 10,755.63 6,461.00 46,740.00 3)
4.590% 4.583% 1.999% 3.426% 4)
493.4 492.9 129.1 1601.4 5)
0.200% 1.199% 0.941% -0.051% 6)
21.5 129.0 60.8 -23.6 7)
STEP 6
STEP 7
AXP CAT KO HD
-0.04 0.91 0.82 0.83
0.33 0.72 0.66 0.62
0.12 0.81 0.69 0.72
0.09 0.89 0.89 0.75
0.06 0.94 0.86 0.79
-0.11 0.90 0.91 0.72
1.00 0.05 0.00 -0.08
0.05 1.00 0.95 0.76
0.00 0.95 1.00 0.65
-0.08 0.76 0.65 1.00
STEP 8
STEP 9
r 1 week; and not more than -30,346 $ or -11.19% for 10 weeks with 0.95 probability
Purpose:
Expected rate
y 13 Jeans of San Antonio, Texas, is completing a new assembly plant near Guatemala City. A final
uction payment of Q8,400,000 is due in six months. (“Q” is the symbol for Guatemalan quetzals.)
y 13 uses 20% per annum as its weighted average cost of capital. Today’s foreign exchange and interest
uotations are as follows:
y 13's treasury manager, concerned about the Guatemalan economy, wonders if Lucky 13 should be hedging its foreign exchange risk.
manager’s own forecast is as follows:
realistic alternatives are available to Lucky 13 for making payments? Which method would you select and why?
Risky
Lucky 13 Jeans of San Antonio, Texas, is completing a new assembly plant near Guatemala
construction payment of Q8,400,000 is due in six months. (“Q” is the symbol for Guatemal
13 uses 20% per annum as its weighted average cost of capital. Today’s foreign exchange an
quotations are as follows:
Lucky 13's treasury manager, concerned about the Guatemalan economy, wonders if Lucky
The manager’s own forecast is as follows:
What realistic alternatives are available to Lucky 13 for making payments? Which method w
The second choice, the forward contract, results in the lowest cost alternative among certain
mbly plant near Guatemala City. A final
s the symbol for Guatemalan quetzals.) Lucky
Today’s foreign exchange and interest rate
Certainty
Risky
Risky
Risky
Certain
Certain