Altman Z-Score

Altman Z Score

The Altman Z-Score is an empirical model that predicts the probability of corporate bankruptcy. This article introduces this valuable predictor of financial distress, and offers a calculation spreadsheet.

Pricing Double Barrier Options

Double Barrier options are path-dependent options. They have two pre-defined barriers, one higher and one lower than the current asset …

The Omega Risk Measure

Traditional investment performance benchmarks quantify how much investors could potentially lose, given the variance (or downside-variance) of the portfolio. These include the Sharpe Ratio and the Sortino Ratio, which generally favor investments with a lower downside risk.

Maximum Drawdown in VBA

Maximum Drawdown VBA

This VBA function and the accompanying Excel spreadsheet calculate the maximum drawdown of a series of investment returns.

The maximum drawdown is the largest percentage drop in asset price over a specified time period.

Stutzer Index

This article introduces the Stutzer index and provides a calculation spreadsheet. The Stutzer index is an investment performance benchmark that penalizes underperformance against a benchmark.

Extreme Spread Options

Pricing Extreme Spread Option in Excel

This article introduces extreme spread and reverse extreme spread options, and offers an Excel pricing spreadsheet.