Allman / Laurito / Loh Financial Simulation Modeling in Excel

A Step-by-Step Guide
1. Auflage 2011
ISBN: 978-1-118-13722-2
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 216 Seiten, E-Book

Reihe: Wiley Finance Editions

"I've worked with simulation in business for over 20 years, andAllman really nails it with this book. I admit that I own hisprevious book on structured finance cash flows, but I was surprisedby what I found in here. He addresses the fundamental questions ofhow decision makers react to simulations and his read was very muchin accordance with what I've experienced myself. When it came tothe nuts and bolts of describing the different types of simulationanalysis the book becomes incredibly detailed. There is workingcode and models for a fantastic array of the most common simulationproblems. If you're so inclined, the book very carefully stepsthrough the tricky math needed to really understand the theorybehind stochastic modeling in finance. If you're preparing modelsthat include any kind of randomization or stochastic modelingcomponent, this book is a must-read, a tremendous value andtime-saver." -- David Brode of The Brode Group
A practical guide to understanding and implementing financialsimulation modeling
As simulation techniques become more popular among the financialcommunity and a variety of sub-industries, a thorough understandingof theory and implementation is critical for practitioners involvedin portfolio management, risk management, pricing, and capitalbudgeting. Financial Simulation Modeling in Excel containsthe information you need to make the most informed decisionspossible in your professional endeavors.
Financial Simulation Modeling in Excel contains apractical, hands-on approach to learning complex financialsimulation methodologies using Excel and VBA as a medium. Craftedin an easy to understand format, this book is suitable for anyonewith a basic understanding of finance and Excel. Filled within-depth insights and expert advice, each chapter takes you throughthe theory behind a simulation topic and the implementation of thatsame topic in Excel/VBA in a step-by-step manner.
* Organized in an easy-to-follow fashion, this guide effectivelywalks you through the process of creating and implementing riskmodels in Excel
* A companion website contains all the Excel models risk expertsand quantitative analysts need to practice and confirm theirresults as they progress
* Keith Allman is the author of other successful modeling books,including Corporate Valuation Modeling and ModelingStructured Finance Cash Flows with Microsoft Excel
Created for those with some background in finance and experiencein Excel, this reliable resource shows you how to effectivelyperform sound financial simulation modeling, even if you've yet todo extensive modeling up to this point in your professional oracademic career.

Autoren/Hrsg.

Allman, Keith A.

Laurito, Josh

Loh, Michael

Inhaltsverzeichnis

Preface vii
Acknowledgments xi
About the Authors xiii
CHAPTER 1 Introduction 1
CHAPTER 2 Random Numbers, Distributions, and Basic SimulationSetup 13
CHAPTER 3 Correlation 47
CHAPTER 4 Option Pricing 65
CHAPTER 5 Corporate Default Simulation 95
CHAPTER 6 Simulating Pools of Assets 127
CHAPTER 7 Dealing with Data Deficiencies and Other Issues153
CHAPTER 8 Advanced Topics and Further Reading 169
APPENDIX A Partial Differential Equations 175
APPENDIX B Newton-Raphson Method 183
References 187
Index 189

Über Autor(innen)

Keith A. Allman is an investment manager at Bamboo Finance,a private equity fund that invests in for-profit, commerciallyviable companies that provide a good or service that beneficiallyimpacts the lives of low-income individuals. Previously, he was thedirector of analytics and modeling at Pearl Street Capital Group.Allman also founded Enstruct, which services clients worldwide incapital markets and equity valuation, distressed valuation, andquantitative-based training. He is the author of the Wiley titlesCorporate Valuation Modeling, Modeling Structured Finance CashFlows with Microsoft® Excel®, and ReverseEngineering Deals on Wall Street with Microsoft®Excel®. Allman holds bachelor degrees from UCLA and amaster's degree from Columbia University.
Josh Laurito, CFA, is a co-founder and Principal ofLumesis, a leading provider of credit analysis software andsolutions to the municipal finance market. In addition, he directscorporate modeling for Hexagon Securities, a boutique merchant bankthat advises and invests in banks and specialty financecompanies.
MichaelL Loh currently works for Tech-X Corporation wherehe is actively engaged in complex data management andhigh-performance computing using accelerated hardware. Prior toTech-X, Loh developed and implemented financial models at RangeMarkFinancial Services