Charnes Financial Modeling with Crystal Ball and Excel

1. Auflage 2011
ISBN: 978-1-118-16113-5
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 288 Seiten, E-Book

Reihe: Wiley Finance Editions

Praise for
Financial Modeling with Crystal Ball(r) and Excel(r)
"Professor Charnes's book drives clarity into applied Monte Carloanalysis using examples and tools relevant to real-world finance.The book will prove useful for analysts of all levels and as asupplement to academic courses in multiple disciplines."
-Mark Odermann, Senior Financial Analyst, Microsoft
"Think you really know financial modeling? This is a must-have forpower Excel users. Professor Charnes shows how to make morerealistic models that result in fewer surprises. Every analystneeds this credibility booster."
-James Franklin, CEO, Decisioneering, Inc.
"This book packs a first-year MBA's worth of financial and businessmodeling education into a few dozen easy-to-understand examples.Crystal Ball software does the housekeeping, so readers canconcentrate on the business decision. A careful reader who worksthe examples on a computer will master the best general-purposetechnology available for working with uncertainty."
-Aaron Brown, Executive Director, Morgan Stanley, author of ThePoker Face of Wall Street
"Using Crystal Ball and Excel, John Charnes takes you step by step,demonstrating a conceptual framework that turns static Excel dataand financial models into true risk models. I am astonished by theclarity of the text and the hands-on, step-by-step examples usingCrystal Ball and Excel; Professor Charnes is a masterful teacher,and this is an absolute gem of a book for the new generation ofanalyst."
-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 toolsavailable to professional risk managers and quantitative analysts.This is a must-have book for anyone using Crystal Ball, and anyonewanting an overview of basic risk management concepts."
-Paul Dietz, Manager, Quantitative Analysis, Westar Energy
"John Charnes presents an insightful exploration of techniques foranalysis and understanding of risk and uncertainty in businesscases. By application of real options theory and Monte Carlosimulation to planning, doors are opened to analysis of what usedto be impossible, such as modeling the value today of futureproject choices."
-Bruce Wallace, Nortel

Autoren/Hrsg.

Charnes, John

Inhaltsverzeichnis

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 ofReturn.
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.

Über Autor(innen)

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.