Financial Modeling with Crystal Ball and Excel (Paperback)
內容描述
Description
Praise forFinancial 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
Table of Contents
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.