# Questions tagged [valuation]

The process of determining the price - the value - of an asset.

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### Floating side value of a swap [duplicate]

I have some trouble to understand on valuing the floating side of a swap. In my book, the value of floating side at the time t is; $$P(t,T_0) - P(t,T_n)$$ Where $$P(t,T_n)$$ denotes the value of ...
54 views

### Valuation via decomposition or via simulation of the underlying?

My question might be very straight forward but I have seen both approaches being followed in practice so I am curious to see if there are arguments in favor or against each one. I am explaining my ...
49 views

### Non-stationarity and repricing as a source of idiosyncratic and systematic "risk"?

1.Assuming a one period economy with two assets in which cash flows are assigned certain probabilities, using the CAPM, we can derive the P0 given the E(CF) at t1. Within this distribution, we have ...
1 vote
111 views

### Why do we need an ex-dividend date? [closed]

Why do we need an ex-dividend date? What is the problem with the ex-dividend date being the same as the payment date? Why are they separate? What problem does having a separate ex-dividend date solve? ...
1 vote
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### Pricing Convertible Bond's Equity Portion Workaround

We're working on the stress test of Convertible Bond which requires us to compute the loss when the price of CB changes. For a quick workaround, we retrieve bond floor and option value from Bloomberg ...
1 vote
216 views

### Calculate PE ratio of equal-weighted index

I need to calculate Price-to-Earnings Ratio (PE Ratio) of an Equal-weighted index. ...
79 views

### For derivatives pricing, does FEM actually ever outperform FDM?

Simple question that I was wondering about over during the weekend. I have done a little FEM during the last years and my university time and did not spend a lot of time with FDM. For a new job I have ...
1 vote
56 views

### How can I correctly assess the risk of real estate debt fund? [closed]

I'm trying to assess the attractiveness of real estate debt funds. I'm very surprised when I look at the investment performance of many of those funds. Many of them have no negative returns, and can ...
1k views

### Conceptual problem with risk neutrality-What is a 'risk-neutral world', exactly?

I have persistent, deep problems with the concept of 'risk-neutrality'. To make it more precise, let's look at the following explanation taken from a book: "In a world where investors are risk ...
51 views

### What is the meaning of Domestic Exchange Rate here?

So I have the following formula for the Pricing of a Quanto Option (see image below). While I understand this formula pretty well, I am not sure what is referred to as "domestic exchange rate&...
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### Monthly and annual arithmetic mean in valuations? [closed]

I know this is back to basics but I am perplexed by it!!! Assume that the future value (FV) of an investment at the end of year 1 is 112, the annual arithmetic expected return is 12%, hence the ...
1 vote
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### How xVA is applied to determine final price

Typically, the Actual price is derivative transaction (e.g. Swap) is sum of Base price and xVA e.g. cVA. Where Base price is analytical price with consideration of standard parameters e.g. risk free ...
158 views

### Expected vs required return in valuation

This is a rather simple question, so this is maybe not the right place, but... I have done quite a bit of reading on predicting asset returns, i.e. determining return expectations. I have now started ...
49 views

### Pricing of constant leverage certificates

I am trying to value the open-ended constant leverage certificates like Bull DAX 20x. As the certificates are reset daily with the movements of the underlying asset, how could they be modeled for ...
1 vote
70 views

### Market value of futures [closed]

What is the market value of an (index) futures? I guess the market value is either: quantity * contract size * price zero, if the daily unrealized PnL is ...
115 views

### Balance Sheet Value of a Repo

I am relatively new to repos and I am trying to find out whether there is a standard practice for calculating balance sheet value of a repo. Are there any regulations that prescribe how banks shall ...
1 vote
211 views

### Interest rate swap Profit and loss attribution

I am wondering how the IRS daily PnL will normally be attributed from trader's/market risk perspective. Will it be broken down into three parts daily carry (Daily interest accrual), daily roll-down (...
1 vote
42 views

### How to use coherent risk measure for evaluating price?

Coherent risk measures are defined by number of axioms (see e.g. Coherent Risk Measure) but a question that does not seem well studied is how to use them. Let's take a coherent risk measure $\rho$ and ...
555 views

### How to fundamentally value cryptocurrencies?

Investing in cryptocurrencies is a wild ride. There is obviously a lot of speculation involved but my question is another one: what are good models to evaluate the fundamental value of ...
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### How to reconcile CAPM with Discounted Cash Flows valuation?

According to CAPM (in its most basic form) our asset allocation will only depend on the expected returns and the covariance matrix of returns. If we also consider the risk-free asset and assume that ...
32 views

### Initial value of an investment project in a binomial real option valuation model

How do you measure the initial value of a project in a binomial tree ROV? I'm not specifically working in the valuation scene, but sort of had an interest in how the models work logically. It's not ...
239 views

### Are there any APIs to retrieve stock buybacks and dividends to calculate ERP?

I'm in the process of building a Python library to value stocks using a FCF model and one of the first steps is calculating an implied equity premium. I know there a few ways of doing this, but ...
230 views

### Global stock market valuations

I am looking for reasonably up to date resources on global stock market valuations by country, using e.g. CAPE and PE. In the past I have used this resource: starcapital.de, but the updates have been ...
267 views

### Tech companies valuation

Usually tech companies/stocks are valued using one of the two methods: DCF (discounted cash flows) method that is sensitive to interest rates raise (if rates up value down) EBITDA or revenues ...
332 views

### Do stock prices really tend towards a fair valuation?

I recently started working myself into the concepts of valuation. While I find the concept of fair value very interesting and intuitive, I wonder if prices are actually empirically driven by value in ...
1 vote
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### Valuation of the minimum guaranteed return that (some) pension funds provide - how would you do it?

Let's say a pension fund guarantees an annual return of at least 5% to their customers/investors, such that the investors face a payoff like the one of a call option (no downside). For this guarantee ...
1 vote
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### Historical data on valuations for internet companies during dot-com bubble

I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
When company $A$ spins off company $B$ (i.e. $A = A'+B$), how do we know exactly the adjustment factor of $A'$ and $B$ before trading Note I am not asking to value the new companies. That's a whole ...