Financial Modeling with Crystal Ball and Excel Excel中金融建模

kwz163

Financial Modeling with Crystal Ball and Excel
CHAPTER 1
Introduction 1
Financial Modeling 2
Risk Analysis 2
Monte Carlo Simulation 4
Risk Management 8
Benefits and Limitations of Using Crystal Ball 8
CHAPTER 2
Analyzing Crystal Ball Forecasts 11
Simulating A 50–50 Portfolio 11
Varying the Allocations 21
Presenting the Results 27
CHAPTER 3
Building a Crystal Ball Model 28
Simulation Modeling Process 28
Defining Crystal Ball Assumptions 29
Running Crystal Ball 32
Sources of Error 33
Controlling Model Error 35
CHAPTER 4
Selecting Crystal Ball Assumptions 36
Crystal Ball’s Basic Distributions 36
Using Historical Data to Choose Distributions 54
Specifying Correlations 63

CHAPTER 5
Using Decision Variables 71
Defining Decision Variables 71
Decision Table with One Decision Variable 73
Decision Table with Two Decision Variables 79
Using OptQuest 89
CHAPTER 6
Selecting Run Preferences 95
Trials 95
Sampling 98
Speed 101
Options 103
Statistics 104
CHAPTER 7
Net Present Value and Internal Rate of Return 105
Deterministic NPV and IRR 105
Simulating NPV and IRR 107
Capital Budgeting 111
Customer Net Present Value 121
CHAPTER 8
Modeling Financial Statements 125
Deterministic Model 125
Tornado Chart and Sensitivity Analysis 126
Crystal Ball Sensitivity Chart 129
Conclusion 129
CHAPTER 9
Portfolio Models 132
Single-Period Crystal Ball Model 132
Single-Period Analytical Solution 134
Multiperiod Crystal Ball Model 135
CHAPTER 10
Value at Risk 140
VaR 140
Shortcomings of VaR 142
CVaR 142

CHAPTER 11
Simulating Financial Time Series 147
White Noise 147
Random Walk 149
Autocorrelation 150
Additive Random Walk with Drift 154
Multiplicative Random Walk Model 157
Geometric Brownian Motion Model 160
Mean-Reverting Model 164
CHAPTER 12
Financial Options 170
Types of Options 170
Risk-Neutral Pricing and the Black-Scholes Model 171
Portfolio Insurance 174
American Option Pricing 177
Exotic Option Pricing 179
Bull Spread 183
Principal-Protected Instrument 184
CHAPTER 13
Real Options 187
Financial Options and Real Options 187
Applications of ROA 188
Black-Scholes Real Options Insights 191
ROV Tool 193
Summary 200
Appendix A Crystal Ball’s Probability Distributions 202
Appendix B Generating Assumption Values 235
Appendix C Variance Reduction Techniques 243
Appendix D About the Download 249
Glossary 251
References 255
Index 263