Financial Modeling with Crystal Ball and Excel (eBook)
448 Seiten
John Wiley & Sons (Verlag)
978-0-470-12993-7 (ISBN)
Financial Modeling with Crystal Ball(r) and Excel(r)
"Professor Charnes's book drives clarity into applied Monte Carlo
analysis using examples and tools relevant to real-world finance.
The book will prove useful for analysts of all levels and as a
supplement to academic courses in multiple disciplines."
-Mark Odermann, Senior Financial Analyst, Microsoft
"Think you really know financial modeling? This is a must-have for
power Excel users. Professor Charnes shows how to make more
realistic models that result in fewer surprises. Every analyst
needs this credibility booster."
-James Franklin, CEO, Decisioneering, Inc.
"This book packs a first-year MBA's worth of financial and business
modeling education into a few dozen easy-to-understand examples.
Crystal Ball software does the housekeeping, so readers can
concentrate on the business decision. A careful reader who works
the examples on a computer will master the best general-purpose
technology available for working with uncertainty."
-Aaron Brown, Executive Director, Morgan Stanley, author of The
Poker Face of Wall Street
"Using Crystal Ball and Excel, John Charnes takes you step by step,
demonstrating a conceptual framework that turns static Excel data
and financial models into true risk models. I am astonished by the
clarity of the text and the hands-on, step-by-step examples using
Crystal Ball and Excel; Professor Charnes is a masterful teacher,
and this is an absolute gem of a book for the new generation of
analyst."
-Brian Watt, Chief Operating Officer, GECC, Inc.
"Financial Modeling with Crystal Ball and Excel is a comprehensive,
well-written guide to one of the most useful analysis tools
available to professional risk managers and quantitative analysts.
This is a must-have book for anyone using Crystal Ball, and anyone
wanting an overview of basic risk management concepts."
-Paul Dietz, Manager, Quantitative Analysis, Westar Energy
"John Charnes presents an insightful exploration of techniques for
analysis and understanding of risk and uncertainty in business
cases. By application of real options theory and Monte Carlo
simulation to planning, doors are opened to analysis of what used
to be impossible, such as modeling the value today of future
project choices."
-Bruce Wallace, Nortel
Dr. John Charnes, PhD, MBA, is Professor, Scupin Faculty Fellow, and former director of the finance, economics, and decision sciences area in the University of Kansas School of Business. His specialty is the application of computer simulation and statistical methods for identifying and solving business problems, and his most current research involves using simulation for option pricing and hedging with derivatives to comply with Financial Accounting Standard (FAS) 133. Charnes has also performed research, consulting, and executive education for more than fifty corporations and other organizations.
Preface.
Acknowledgments.
About the Author.
Chapter 1: Introduction.
Financial Modeling.
Risk Analysis.
Monte Carlo Simulation.
Risk Management.
Benefits and Limitations of Using Crystal Ball.
Chapter 2: Analyzing Crystal Ball Forecasts.
Simulating A 50-50 Portfolio.
Varying the Allocations.
Presenting the Results.
Chapter 3: Building a Crystal Ball Model.
Simulation Modeling Process.
Defining Crystal Ball Assumptions.
Running Crystal Ball.
Sources of Error.
Controlling Model Error.
Chapter 4: Selecting Crystal Ball Assumptions.
Crystal Ball's Basic Distributions.
Using Historical Data to Choose Distributions.
Specifying Correlations.
Chapter 5: Using Decision Variables.
Defining Decision Variables.
Decision Table with One Decision Variable.
Decision Table with Two Decision Variables.
Using OptQuest.
Chapter 6: Selecting Run Preferences.
Trials.
Sampling.
Speed.
Options.
Statistics.
Chapter 7: Net Present Value and Internal Rate of
Return.
Deterministic NPV and IRR.
Simulating NPV and IRR.
Capital Budgeting.
Customer Net Present Value.
Chapter 8: Modeling Financial Statements.
Deterministic Model.
Tornado Chart and Sensitivity Analysis.
Crystal Ball Sensitivity Chart.
Conclusion.
Chapter 9: Portfolio Models.
Single-Period Crystal Ball Model.
Single-Period Analytical Solution.
Multiperiod Crystal Ball Model.
Chapter 10: Value at Risk.
VaR.
Shortcomings of VaR.
CVaR.
Chapter 11: Simulating Financial Time Series.
White Noise.
Random Walk.
Autocorrelation.
Additive Random Walk with Drift.
Multiplicative Random Walk Model.
Geometric Brownian Motion Model.
Mean-Reverting Model.
Chapter 12: Financial Options.
Types of Options.
Risk-Neutral Pricing and the Black-Scholes Model.
Portfolio Insurance.
American Option Pricing.
Exotic Option Pricing.
Bull Spread.
Principal-Protected Instrument.
Chapter 13: Real Options.
Financial Options and Real Options.
Applications of ROA.
Black-Scholes Real Options Insights.
ROV Tool.
Summary.
Appendix A: Crystal Ball's Probability Distributions.
Appendix B: Generating Assumption Values.
Appendix C: Variance Reduction Techniques.
Appendix D: About the Download.
Glossary.
References.
Index.
| Erscheint lt. Verlag | 5.7.2007 |
|---|---|
| Reihe/Serie | Wiley Finance Editions | Wiley Finance Editions |
| Sprache | englisch |
| Themenwelt | Informatik ► Grafik / Design ► Digitale Bildverarbeitung |
| Recht / Steuern ► Wirtschaftsrecht | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Schlagworte | Finance & Investments • Finanz- u. Anlagewesen • Investments & Securities • Kapitalanlage • Kapitalanlagen u. Wertpapiere |
| ISBN-10 | 0-470-12993-X / 047012993X |
| ISBN-13 | 978-0-470-12993-7 / 9780470129937 |
| Haben Sie eine Frage zum Produkt? |
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