Napolean Options- Napolean options were introduced by Goldman Sachs in 2002 are exotic equity linked structures on the lines of Societe Generale's mountain range series. These options are typically based upon the performance of a stock index and the performance of the underlying stocks in the index. These options usually pay out a fixed coupon and the worst return of an index over specified time periods. Similar to other basket based products, Napolean's need to be priced using some sort of simulation methodology. This will involve solving a multi-dimensional problem, normally by simulating assets via monte carlo simulation and will be computationally intensive

 

Net Capital Expenditures- Estimated as the difference between capital expenditures and depreciation. For the sector, we use the cumulated values for both variables.

 

Net Income- Net income is the difference between total revenue and expenses.

 

Net Interest Income- Net interest income is the difference between interest income and interest expense.

 

Net Margin- Estimated by dividing the net income by the total revenues.

Net Margin = Net Income / Sales

To estimate the values for the sector, we use the cumulated values of net income and sales for the sector.

 

Netting- Netting is the settlement of mutual obligations by cancelling out mutual debts; settlement is at the net exposure and not at the gross exposure.

 

Non-cash ROE=  (Net Income - Interest income from cash) / (Book value of equity - Cash and Marketable securities)

 

Non-Cash Working Capital / Sales- Non-cash Working Capital = Inventory + Other Current Assets + Accounts Receivable -Accounts Payable - Other Current Liabilities

[Current assets excluding cash - Current liabilities excluding interest bearing debt)

For the sector, we use cumulated values for each of the variables.

 

Nonstatistical Risk Measure- Nonstatistical risk measure is a tool that quantifies market risk and includes measuring net open positions, basis point values, option sensitivities, market values, position concentrations, position turnover, and stress testing.duration is one of the approaches to quantify a bond's duration and approximates the percentage change in bond price for change in yield.

ר רועי פולניצר, MBA ,CRM , FRM הינו הבעלים של שווי פנימי - ייעוץ והדרכהשווי פנימי, רועי פולניצר, ניהול סיכונים, הערכות שווי, Intrinsic Value, Roi Polanitzer, Risk Management, Valuation, VaR, FRM. PRM, CRM. GARP, PRMIA, IARM