Financial Modeling with Crystal Ball and Excel (Paperback)

Description

Praise for
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

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.

描述

《使用Crystal Ball和Excel進行財務建模》的讚譽和評價

“Charnes教授的書通過與現實世界金融相關的例子和工具，為應用蒙特卡羅分析帶來了清晰度。這本書對各級分析師和多個學科的學術課程都有用。”-Mark Odermann，微軟高級財務分析師

“你以為你真的了解財務建模嗎？這是專為Excel高級用戶而設的必備之物。Charnes教授展示了如何製作更現實的模型，從而減少驚喜。每個分析師都需要這種可信度提升。”-James Franklin，Decisioneering公司首席執行官

“這本書將一年級MBA的財務和商業建模教育壓縮成幾十個易於理解的例子。Crystal Ball軟件負責維護，讀者可以專注於業務決策。仔細閱讀並在計算機上操作例子的讀者將掌握最佳的通用技術，以應對不確定性。”-Aaron Brown，摩根士丹利執行董事，The Poker Face of Wall Street的作者

“使用Crystal Ball和Excel，John Charnes逐步引導您，演示一個將靜態Excel數據和財務模型轉化為真實風險模型的概念框架。我對文本的清晰度和使用Crystal Ball和Excel的實際操作步驟的例子感到驚訝；Charnes教授是一位出色的教師，這本書對新一代分析師來說是一本絕對珍寶。”-Brian Watt，GECC公司首席運營官

《使用Crystal Ball和Excel進行財務建模》是一本全面而寫得很好的指南，對於專業風險管理人員和量化分析師來說，這是一個非常有用的分析工具。這是任何使用Crystal Ball的人必須擁有的書籍，也是任何想要瞭解基本風險管理概念的人的概述。”-Paul Dietz，Westar Energy的量化分析經理

“John Charnes對業務案例中風險和不確定性的分析和理解技術進行了深入探索。通過應用實物期權理論和蒙特卡羅模擬進行規劃，我們可以分析以前不可能的事情，例如對未來項目選擇的價值進行建模。”-Bruce Wallace，諾特爾

目錄

前言
致謝
關於作者
第1章：介紹
財務建模
風險分析
蒙特卡羅模擬
風險管理
使用Crystal Ball的好處和限制