I agree with Nikhil.
You can use the H-model for such valuations.
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I agree with Nikhil.
You can use the H-model for such valuations.
Hi,
Can anyone let me know about the Monte Carlo Simulation Analysis for Finance..?
Sneha Gera
What exactly do you want to know?
There are software like @Risk and Crystal Ball that can help you in Monte Carlo Simulation.
- Sougata
Thanks Sougata.
Actually, I want to do a course for Financial Modeling with excel. How can I get the s/w.....??
-Sneha Gera
Hi Sneha & Sougata,
I am CFA-3 level candidate. Actually, most probabilistic financial modeling software are based on Monte Carlo analysis, a risk analysis tool used for managing uncertainty. In simple terms, Monte Carlo analysis combines distributions, and thereby propagating more than just summary statistics. Rather than analytic calculations, Monte Carlo analysis uses intensive random number generation.
A Monte Carlo analysis can be quite easily developed using a random number generator. However several excellent Excel based templates, Excel add-ins and enterprise-grade Monte Carlo simulation software exist that are able to perform random number generation iterations to about 10,000 iterations. Examples of Monte Carlo simulation software include Crystal Ball, @Risk and others, which are readily accessible to financial analysts.
While a Monte Carlo simulation analysis using several thousands of iterations may be perceived as being more analytically robust, invalid statistical assumptions and distributions can create invalid results, leading to inappropriate results. Financial analysts new to statistical and probabilistic approaches are therefore well advised to have a firm understanding of the concept of uncertainty and statistical analysis before attempting Monte Carlo simulation analysis for financial modeling and analysis.
Rakhi Sundriyal
How to decide weather to go for short hedge or long hedge on the basis of Beta (Systematic Risk) ?
Can you please elaborate your question a bit? I mean in what context you are asking this.
Are you asking about Long/Short Equity Hedge Funds?
I have been given Beta (systematic Risk) as 1.4. I have been asked to tell whether I am in long position or short. Also to suggest which hedging strategy would be better ? My Company's Portfolio is $20 million.
How can we decide our existing positions (long or short) on th basis of Beta ?
I have been given Beta (systematic Risk) as 1.4. I have been asked to tell whether I am in long position or short. Also to suggest which hedging strategy would be better ? My Company's Portfolio is $20 million.
How can we decide our existing positions (long or short) on th basis of Beta ?
Dear Vaibhav here my 50 cents
Beta is mathematicalmeasure of volatility of a asset compared to a index or group of assets.Beta value is obtained by analyzing the vast past data of movement of asset and index.So fo taking Long & short position U cant rely on
beta only as beta shows how the price of asset moved compratively to index.
For taking Long & short hedge On any asset class u have to analyze macro and micro economic conditions ,other economical trends ,Big news & lot of other aspects which can be effected by Poltical,demographical events.
Dear Satyam,
Let me just give you my complete problem statement.
Question: I am a portfolio manager with a $20 million growth portfolio that has beta of 1.4 relative to the S&P 500. The S&P 500 futures are trading at 1,150 and the multiplier is 250. I would like to hedge my exposure to market risk over next few months. I have to identify whether a long or short hedge is appropriate.
Now I am confused how to answer on the basis of given information.
Please help...