Valuation and Risk Models By Shivgan Joshi

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Valuation and Risk Models By Shivgan Joshi http:// stockcreditfinancecfa.blo gspot.in /

Transcript of Valuation and Risk Models By Shivgan Joshi

Page 1: Valuation and Risk Models By Shivgan Joshi

Valuation and Risk Models

By Shivgan Joshihttp://

stockcreditfinancecfa.blogspot.in/

http://stockcreditfinancecfa.blogspot.in/
http://stockcreditfinancecfa.blogspot.in/
http://stockcreditfinancecfa.blogspot.in/
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Content

• Binomial trees• Delta Hedging• Coherent Risk• Black Scholes • Worst case distribution & Concept

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Risk Neutral Approach using binomial tree

• Binomial trees• Single step model• Esd*(t)^.5

http://en.wikipedia.org/wiki/Binomial_options_pricing_model

http://en.wikipedia.org/wiki/Binomial_options_pricing_model
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Delta Hedging and Ratios

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Coherent Risk

http://en.wikipedia.org/wiki/Coherent_risk_measure

http://en.wikipedia.org/wiki/Coherent_risk_measure
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Black Scholes (BSM Models)

• Lor normal distributed stock prices • D1• D2

• How these things comes from Stochastic Calculus

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Worst case distribution

• Intensity of distribution for losses

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Video Lesson 1

• One step Binomial Model• Risk neutral approach to option valuation• Aim 41, Recommended book Hull

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Video Lesson 2

• Story of Black Scholes• Log Normal distribution • Normal Distribution

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Video lesson 3

• Greek Letters• Partial Derivatives• Hedging risk using greeks

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Video 4

• Delta Hedging

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References


(Article) Stock Valuation Models (Prudential Financial 2003)

(Article) Stock Valuation Models (Prudential Financial 2003)

Residual Income Valuation Models and Inflation · Existing empirical evidence suggests that residual income valuation models based on historical cost accounting considerably underestimate

Residual Income Valuation Models and Inflation · Existing empirical evidence suggests that residual income valuation models based on historical cost accounting considerably underestimate

01 Valuation Models

01 Valuation Models

Valuation September 151 Cost of Capital in Valuation and Corporate Models.

Valuation September 151 Cost of Capital in Valuation and Corporate Models.

DCF Valuation Models

DCF Valuation Models

PORTFOLIO OPTIMIZATION MODELS FOR PROJECT VALUATION

PORTFOLIO OPTIMIZATION MODELS FOR PROJECT VALUATION

04_FRM 一级 Valuation and Risk Models

04_FRM 一级 Valuation and Risk Models

2 Economic Valuation Models for Insurance Companies

2 Economic Valuation Models for Insurance Companies

Chapter 18 Equity Valuation Models - Unisa Study Notesgimmenotes.co.za/.../12/INV3701-additionalquestions.docx · Web viewChapter 18 Equity Valuation Models Miroslav Mateev, Ph.D.Full-time

Chapter 18 Equity Valuation Models - Unisa Study Notesgimmenotes.co.za/.../12/INV3701-additionalquestions.docx · Web viewChapter 18 Equity Valuation Models Miroslav Mateev, Ph.D.Full-time

1 1 Chapter 13 Equity Valuation. 2 2 Fundamental Stock Analysis: Models of Equity Valuation Basic Types of Models Balance Sheet Models Dividend Discount.

1 1 Chapter 13 Equity Valuation. 2 2 Fundamental Stock Analysis: Models of Equity Valuation Basic Types of Models Balance Sheet Models Dividend Discount.

Company life cycle models and business valuation

Company life cycle models and business valuation

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EQUITY VALUATION MODELS FOR RESTAURANT INDUSTRY

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Valuation of IR Swap Models in India

02 Valuation Models i Cvl

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Models for Corporate Valuation-Smitha P-04106

Models for Corporate Valuation-Smitha P-04106

Multifactor Models and Valuation

Multifactor Models and Valuation

Deutsche Bank - Asset Valuation Allocation Models 2001

Deutsche Bank - Asset Valuation Allocation Models 2001

Valuation: Methods and Models in Applied Corporate Financeptgmedia.pearsoncmg.com/images/9780132905220/samplepages/... · Valuation Methods and Models in Applied Corporate Finance

Valuation: Methods and Models in Applied Corporate Financeptgmedia.pearsoncmg.com/images/9780132905220/samplepages/... · Valuation Methods and Models in Applied Corporate Finance

1 Valuation. 2 Valuation Overview Valuation Discounted cash flow models DDM FCFE Relative valuation over time across assets at a given time relative to.

1 Valuation. 2 Valuation Overview Valuation Discounted cash flow models DDM FCFE Relative valuation over time across assets at a given time relative to.

Page 1 FRM PART I BOOK 4: VALUATION AND RISK MoDELs VALUATION AND RISK MoDELs

Page 1 FRM PART I BOOK 4: VALUATION AND RISK MoDELs VALUATION AND RISK MoDELs