Financial Modeling With Crystal Ball and Excel, + Website - 2nd Edition

Informationen zum Autor John Charnes, PhD, MBA, is President of the Risk Analytics and Predictive Intelligence Division (RAPID) of Syntelli Solutions Inc. Prior to this, he was finance department chair at the University of Kansas and senior vice president of global portfolio strategies at Bank of America. Charnes created the Crystal Ball Training CD, a multimedia course on the basic elements of stochastic modeling with Crystal Ball, acquired by Oracle. His specialty is the application of computer simulation and statistical methods for identifying and solving business problems, including the use of simulation for option pricing and hedging with derivatives to comply with Financial Accounting Standard (FAS) 133. Klappentext Updated look at financial modeling and Monte Carlo simulation with software by Oracle Crystal BallThis revised and updated edition of the bestselling book on financial modeling provides the tools and techniques needed to perform spreadsheet simulation. It answers the essential question of why risk analysis is vital to the decision-making process, for any problem posed in finance and investment. This reliable resource reviews the basics and covers how to define and refine probability distributions in financial modeling, and explores the concepts driving the simulation modeling process. It also discusses simulation controls and analysis of simulation results.The second edition of Financial Modeling with Crystal Ball and Excel contains instructions, theory, and practical example models to help apply risk analysis to such areas as derivative pricing, cost estimation, portfolio allocation and optimization, credit risk, and cash flow analysis. It includes the resources needed to develop essential skills in the areas of valuation, pricing, hedging, trading, risk management, project evaluation, credit risk, and portfolio management.* Offers an updated edition of the bestselling book covering the newest version of Oracle Crystal Ball* Contains valuable insights on Monte Carlo simulation--an essential skill applied by many corporate finance and investment professionals* Written by John Charnes, the former finance department chair at the University of Kansas and senior vice president of global portfolio strategies at Bank of America, who is currently President and Chief Data Scientist at Syntelli Solutions, Inc. Risk Analytics and Predictive Intelligence Division (Syntelli RAPID)Engaging and informative, this book is a vital resource designed to help you become more adept at financial modeling and simulation. Zusammenfassung Updated look at financial modeling and Monte Carlo simulation with software by Oracle Crystal Ball This revised and updated edition of the bestselling book on financial modeling provides the tools and techniques needed to perform spreadsheet simulation. Inhaltsverzeichnis Preface xi Acknowledgments xvii About the Author xix Chapter 1 Introduction 1 1.1 Financial Modeling 2 1.2 Risk Analysis 2 1.3 Monte Carlo Simulation 4 1.4 Risk Management 8 1.5 Benefits and Limitations of Using Crystal Ball 9 Chapter 2 Analyzing Crystal Ball Forecasts 11 2.1 Simulating a 50-50 Portfolio 11 2.2 Varying the Allocations 22 2.3 Presenting the Results 27 Chapter 3 Building A Crystal Ball Model 29 3.1 Simulation Modeling Process 29 3.2 Defining Crystal Ball Assumptions and Forecasts 30 3.3 Running Crystal Ball 33 3.4 Sources of Error 34 3.5 Controlling Model Error 36 Chapter 4 Selecting Crystal Ball Assumptions 37 4.1 Crystal Ball's Basic Distributions 37 4.2 Using Historical Data to Choose Distributions 55 4.3 Specifying Correlations 64 Chapter 5 Using Decision Variables 79 5.1 Defining Decision Variables 79 5.2 Decision Table with One Decision ...

List of contents

Preface xi
 
Acknowledgments xvii
 
About the Author xix
 
CHAPTER 1 Introduction 1
 
1.1 Financial Modeling 2
 
1.2 Risk Analysis 2
 
1.3 Monte Carlo Simulation 4
 
1.4 Risk Management 8
 
1.5 Benefits and Limitations of Using Crystal Ball 9
 
CHAPTER 2 Analyzing Crystal Ball Forecasts 11
 
2.1 Simulating a 50-50 Portfolio 11
 
2.2 Varying the Allocations 22
 
2.3 Presenting the Results 27
 
CHAPTER 3 Building A Crystal Ball Model 29
 
3.1 Simulation Modeling Process 29
 
3.2 Defining Crystal Ball Assumptions and Forecasts 30
 
3.3 Running Crystal Ball 33
 
3.4 Sources of Error 34
 
3.5 Controlling Model Error 36
 
CHAPTER 4 Selecting Crystal Ball Assumptions 37
 
4.1 Crystal Ball's Basic Distributions 37
 
4.2 Using Historical Data to Choose Distributions 55
 
4.3 Specifying Correlations 64
 
CHAPTER 5 Using Decision Variables 79
 
5.1 Defining Decision Variables 79
 
5.2 Decision Table with One Decision Variable 81
 
5.3 Decision Table with Two Decision Variables 87
 
5.4 Using OptQuest 98
 
CHAPTER 6 Selecting Run Preferences 105
 
6.1 Trials 105
 
6.2 Sampling 109
 
6.3 Speed 111
 
6.4 Options 113
 
6.5 Statistics 115
 
CHAPTER 7 Net Present Value and Internal Rate of Return 117
 
7.1 Deterministic NPV and IRR 117
 
7.2 Simulating NPV and IRR 119
 
7.3 Capital Budgeting 123
 
7.4 Customer Net Present Value 133
 
CHAPTER 8 Modeling Financial Statements 137
 
8.1 Deterministic Model 137
 
8.2 Tornado Chart and Sensitivity Analysis 138
 
8.3 Crystal Ball Sensitivity Chart 139
 
8.4 Conclusion 143
 
CHAPTER 9 Portfolio Models 145
 
9.1 Single-period Crystal Ball Model 145
 
9.2 Single-period Analytical Solution 148
 
9.3 Multi-period Crystal Ball Model 149
 
CHAPTER 10 Value at Risk 155
 
10.1 VaR 155
 
10.2 Shortcomings of VaR 157
 
10.3 Conditional Value at Risk 157
 
CHAPTER 11 Simulating Financial Time Series 163
 
11.1 White Noise 163
 
11.2 Random Walk 165
 
11.3 Autocorrelation 166
 
11.4 Additive Random Walk with Drift 170
 
11.5 Multiplicative Random Walk Model 173
 
11.6 Geometric Brownian Motion Model 176
 
11.7 Mean-reverting Model 180
 
CHAPTER 12 Financial Options 187
 
12.1 Types of Options 187
 
12.2 Risk-neutral Pricing and the Black-Scholes Model 188
 
12.3 Portfolio Insurance 192
 
12.4 American Option Pricing 194
 
12.5 Exotic Option Pricing 197
 
12.6 Bull Spread 201
 
12.7 Principal-protected Instrument 201
 
CHAPTER 13 Real Options 205
 
13.1 Financial Options and Real Options 205
 
13.2 Applications of Real Options Analysis 206
 
13.3 Black-Scholes Real Options Insights 209
 
13.4 Real Options Valuation Tool 211
 
CHAPTER 14 Credit Risk 221
 
14.1 Expected Loss 221
 
14.2 Credit Risk Simulation Model 223
 
14.3 Conditional Value at Risk 225
 
14.4 Using CVaR to Manage Credit Risk 227
 
CHAPTER 15 Construction Project Management 229
 
15.1 Project Description 229
 
15.2 Choosing Construction Methods 231
 
15.3 Risk Analysis 231
 
15.4 Stochastic Optimization 234
 
CHAPTER 16 Oil and Gas Exploration 235
 
16.1 Well Properties 235
 
16.2 Statistical Models 236
 
16.3 Conclusion

Product details

• Authors: John Charnes, Charnes John
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Paperback / Softback
• Released: 15.06.2012
• EAN: 9781118175446
• ISBN: 978-1-118-17544-6
• No. of pages: 314
• Dimensions: 192 mm x 237 mm x 20 mm
• Series: Wiley Finance; Wiley Finance Editions; The Wiley Finance Series; Wiley Finance; Wiley Finance Editions
• Subjects: Social sciences, law, business > Business > Business administration; Kapitalanlage, MATHEMATICS / Applied, Finance & Investments, Finanz- u. Anlagewesen, Kapitalanlagen u. Wertpapiere, Investments & Securities, Finance and the finance industry, Spreadsheet software