Excel

BEintrend.ru ( )

2011
1


1. CAPM
Excel..3
2. Excel.. 8
3. (
Excel)..11
4. (VAR) Excel?................................ 15
5. Excel
.. 24
6. . Excel
..28
7. .
NPV IRR Excel34

 1. CAPM

Excel
:

CAPM (Capital Assets Price Model) 70-
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.
: , . CAPM

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CAPM .
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CAPM, , ,
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CAPM
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http://cbr.ru/hd_base/OpenMarket.asp . , ,
5.04%.
,
(RTSI).
S&P500.
.

, GAZP.
(RTSI)
(MICEX) 27 2009 27 2010
( Excel finam.ru).

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=(A3-A2)/A2
=(B3-B2)/B2
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F2 :
=((C3:C13;D3:D13);1)
1,043.

Excel .
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. 0,67.
R- ( ),
0,63.
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0,79,
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. -0,81%,
1,21%.

CAPM.

. Rf=5.04%, =0.67, Rd=-0.81%.
RGAZP=5,04%+0,67*(-0,81%-5,04%)=1,12%

 1,12% .
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( ).
(CAPM) ,
.

2. Excel
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principal.
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10000 . 20 ,

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r2=7%;
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Excel.
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20- 280%,
466%.
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10

50000
45000

(.)

40000
35000
30000
25000
20000
15000
10000
5000
0
1

9 10 11 12 13 14 15 16 17 18 19 20

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MICEX LC, MICEX MC, MICEX SC ,
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MICEX LC, 15 . (
www.micex.ru)

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 4 : (GAZP),
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2009 2 2010 .

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 :
=B2*$K$2+C2*$K$3+$K$4*D2
:
=(E2-G2)*(E2-G2)
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Excel
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1 .
.

14

 78.5%, 19%
2.5%.
.
MICEX LC
2500
2400

2300
2200
2100
2000
1900
1800

1
9
17
25
33
41
49
57
65
73
81
89
97
105
113
121
129
137
145
153
161
169
177
185
193
201
209
217
225
233
241
249

1700

MICEX LC

.
.

4. (VAR)
Excel?
:
15


, .
,
.
,
.

,
. VaR (Value-at-Risk)
:
95% VaR = 1.65 * * * SQRT(),
(SQRT )
95% 95%- ;
(
/);
;
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:

95% . , 5%- ,
95% VaR.
99% VaR, :
2.33 1.65. , 99% VaR ,
99% ,
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16

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= ln ( / )
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01--03 41.3
3

4.082

437.6

6425

02--03 41.8 1.30% 4.181 2.40% 445.7 1.82% 6469 0.68

7
%

9.250 0.56%

03--03 41.4 -1.13% 4.135 434.4 -2.58% 6550 1.24

0
1.11%
%

9.070 -1.97%

04--03 42.2 1.91% 4.286 3.59% 440.0 1.29% 6643 1.41

0
%

9.247 1.93%

20

28--03 44.9 0.62% 4.720 5.24% 542.0 4.53% 7160 0.43

9
%

16.38 9.00%

21

29--03 44.4 -1.32% 4.680 540.0 -0.37% 7154 -0.08%

0
0.85%
13.60

9.198

...

-18.6%

1. ,

17


, ( .).
, Excel
=average(), =stdev(),
.
, 2 21 .
( . . 2).

1 2 3

0.36%

0.68%

1.05%

0.54%

1.96%

1.06%

()

2.20%

2.21%

1.02%

6.58%

2.
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.

.
, , J.P. Morgan
RiskMetrics, 0.98, ,
.
2.
VaR ,
, . VaR
:
VaR = * ,

;
,
, Excel =NORMSINV(),
.
18

 ,
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= SQRT (
* *
).
(SQRT )
, :
= * .
VaR
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. Excel
=correl(),
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VaR. 3.
3. VaR
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Excel,
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3. , VaR

Long

Long

Short

Long

Long

1
2
3
4
5
1

200

1200

-20

700

44.40

4.68

540

7154

13.60

1 .
19

5 8.880

5.616

-10.800 7.154 9520

=3*4

6
1.06% 2.20% 2.21% 1.02% 6.58% 2 .
(),
%
7

,
.

94.07

123.41 -238.57 73.01 626.7

=5*6

8 0.36% 0.68% 1.05% 0.54% 1.96% 2 (), %

.
9 31.81
(), .

38.39

-113.48 38.44 186.16 =8*5

1 95% 1-
0 VaR

-123.41 -507.13 -82.03 -847.9 =C9-1.65*ABS(C7)

165.24

1 101
.
.

297.5

390.3

-754.4 230.9 1981.8 =C7*SQRT(10)

1 318.1
2 10

383.9

-1134.8 384.4 1861.6 = 10*9

1 95% 10-
3 VaR

-172.7 -260.0 -2379.6 3.5

-1408.4 =C12-1.65*ABS(C11)

14
15

1 3 4 5
2

16 1

0.65

0.45

0.47

0.26

17 2

0.65

0.48

0.39

0.10

18 3

0.45

0.48

0.55

0.39

19 4

0.47

0.39

0.55

0.18

20 5

0.26

0.10

0.39

0.18

21
22
(.):

10-

20

23 1

94.07

297.5

=7

24 2

123.4

390.3

=D7

25 3

-238.6 -754.4

= 7

26 4

73.0

230.9

=F7

27 5

626.7

1981.8

=G7

28
29

1 ! 10

30

621.5 1,965.5

=SQRT(MMULT(MMULT(C7:G7;C16:G20);C
23:C27))

31

181

=SUM(C9:G9)

32 95% Value- atRisk

-844 -1.430

1,813.2

=C31-1.65*ABS(C30)

. -,
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-,
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21

 4.
, ,
. Excel Solver
Tools,
. , , 95%
VaR , -500, -844
, : 1
119 , 2 1193, 3 11, 4 2
5 227 . .
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VaR
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VaR . ,
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22

.
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5.
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Windows,
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Excel.
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VaR ,
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23

 ,
margin call ( ).
3- 10-
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5. Excel


:

2002 C.Keating W.F.Shadwick

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25


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=(F3:F251)
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(Int) =M2/100

100
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Shift+Ctrl+Enter.
=K6+$N$2
1 =(F3:F251;K6:K105)

26

 .

:
1 =L6/250
2 =M6/250
1 = N7+P6
2 = O7+Q6

1 100%.
,
.

100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%

1
2

-7,9%
-7,3%
-6,6%
-6,0%
-5,4%
-4,7%
-4,1%
-3,4%
-2,8%
-2,2%
-1,5%
-0,9%
-0,2%
0,4%
1,1%
1,7%
2,3%
3,0%
3,6%
4,3%
4,9%
5,5%
6,2%
6,8%
7,5%

, 1,7%.
G L
.

27

 G = 23.60%, L= 76,40% . G=
18.40%, L = 80.60%. 31,05% ,
22,89%.
1= R106/S106 , 2= T106/U106.

1
.

6. .
Excel
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2)
3)
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5)

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MS Excel.
finam.ru .

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29

, ,
(R2).

( )
25 .
.
R2
. R2 0,78.

30

R = 0,7875

1600
1500
1400
1300
1200
1100
1000
900
800

1
10
19
28
37
46
55
64
73
82
91
100
109
118
127
136
145
154
163
172
181
190
199
208
217

. R2

. R2
0,80.

R = 0,804

1600
1500

1400
1300
1200
1100
1000
900
1
10
19
28
37
46
55
64
73
82
91
100
109
118
127
136
145
154
163
172
181
190
199
208
217

800

. R2

. R2 , 0,61,
.

31


R = 0,6141

1600
1500

1400
1300
1200
1100
1000
900
1
10
19
28
37
46
55
64
73
82
91
100
109
118
127
136
145
154
163
172
181
190
199
208
217

800

.
R2
. R2 0,618.

R = 0,6189

1600
1500
1400
1300
1200
1100
1000
900
800

1
10
19
28
37
46
55
64
73
82
91
100
109
118
127
136
145
154
163
172
181
190
199
208
217

. R2
. R2
0,83.

32

R = 0,8387

1600
1500
1400
1300
1200
1100
1000
900
800

1
10
19
28
37
46
55
64
73
82
91
100
109
118
127
136
145
154
163
172
181
190
199
208
217

. R2
. R2
, 0,87.

R = 0,874

1600
1500
1400
1300
1200
1100
1000
900
800

1
10
19
28
37
46
55
64
73
82
91
100
109
118
127
136
145
154
163
172
181
190
199
208
217

. R2

. R2 0,935.
, ,
,
,

.
33

R = 0,9353

1600
1500
1400
1300
1200
1100
1000
900
800

1
10
19
28
37
46
55
64
73
82
91
100
109
118
127
136
145
154
163
172
181
190
199
208
217

,
.
,

. ( ),
,
R2 ,
.

7.
. NPV IRR Excel

.
, .

Excel.
Net Present Value (NPV, )
.
34


.
NPV:
1. ( )
2.
,

:
CF ;
r .
3. ( )
(Io) (PV).
NPV.
NPV=PV-Io

(1)

NPV
. NPV 0,
,
.
1
().

:
CF ;
I - t- ;
r - ;
n - .

35

Internal Rate of Return ( , IRR)

0 (NPV=0),
.
IRR = r, NPV = f(r) = 0, :

:
CF ;
I - t- ;
n - .

( ).
NPV Excel
MS Excel 2010 NPV =().
(NPV) ,
90 . .,
1. , 10%.

NPV excel:
=(D3;C3;C4:C11)

36

D3
C3 0 ( )
C4:C11 8

51,07 >0,
,

IRR Excel
IRR Excel
=().

=(C3:C11)

38%.
.

37

38