Modeling risk: applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2006
|
| Series: | Wiley finance series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes index. |
| Physical Description: | XVI, 605 S. Ill., graph. Darst. CD-ROM (12 cm) |
| ISBN: | 0471789003 9780471789000 |
Staff View
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| 245 | 1 | 0 | |a Modeling risk |b applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques |c Johnathan Mun |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2006 | |
| 300 | |a XVI, 605 S. |b Ill., graph. Darst. |e CD-ROM (12 cm) | ||
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| 490 | 0 | |a Wiley finance series | |
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| 650 | 4 | |a Gestion du risque - Cas, Études de | |
| 650 | 4 | |a Évaluation du risque | |
| 650 | 4 | |a Évaluation du risque - Cas, Études de | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Risk assessment | |
| 650 | 4 | |a Risk assessment |x Mathematical models | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Finance |x Decision making | |
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| adam_text | Introduction j
PART ONE
Risk Identification
CHAPTER 1
Moving Beyond Uncertainty 11
A Brief History of Risk: What Exactly Is Risk? 11
Uncertainty versus Risk 12
Why Is Risk Important in Making Decisions? 14
Dealing with Risk the Old Fashioned Way 16
The Look and Feel of Risk and Uncertainty 20
Integrated Risk Analysis Framework 22
Questions 27
PART TWO
Bisk Evaluation
CHAPTER 2
From Risk to Riches 31
Taming the Beast 31
The Basics of Risk 32
The Nature of Risk and Return 33
The Statistics of Risk 34
The Measurements of Risk 39
Appendix—Computing Risk 41
Questions 48
CHAPTER 3
A Guide to Model Building Etiquette 48
Document the Model 49
Separate Inputs, Calculations, and Results 53
Xii CONTENTS
Protect the Models 54
Make the Model User Friendly: Data Validation and Alerts 55
Track the Model 57
Automate the Model with VBA 57
Model Aesthetics and Conditional Formatting 58
Appendix—A Primer on VBA Modeling and Writing Macros 59
Exercises 68
PART THREE
Risk Quantification
CHAPTER 4
On the Shores of Monaco 73
What Is Monte Carlo Simulation? 74
Why Are Simulations Important? 74
Comparing Simulation with Traditional Analyses 77
Using Risk Simulator and Excel to Perform Simulations 82
Questions 85
CHAPTER 5
Test Driving Risk Simulator 86
Getting Started with Risk Simulator 87
Running a Monte Carlo Simulation 88
Using Forecast Charts and Confidence Intervals 97
Correlations and Precision Control 100
Appendix—Understanding Probability Distributions 107
Questions 129
CHAPTER 6
Pandora s Toolbox 142
Tornado and Sensitivity Tools in Simulation 142
Sensitivity Analysis 150
Distributional Fitting: Single Variable and Multiple Variables 154
Bootstrap Simulation 159
Hypothesis Testing 163
Data Extraction, Saving Simulation Results, and
Generating Reports 164
Custom Macros 167
Appendix—Goodness of Fit Tests 167
Questions 169
Contents Xlg
PART FOUR
Industry Applications
CHAPTER 7
Extended Business Cases I.¬
Pharmaceutical and Riotech Negotiations, Oil and Gas Exploration,
Financial Planning with Simulation, Hospital Risk Management, and
Risk Rased Executive Compensation Valuation 187
Case Study: Pharmaceutical and Biotech Deal Structuring 188
Case Study: Oil and Gas Exploration and Production 207
Case Study: Financial Planning with Simulation 219
Case Study: Hospital Risk Management 229
Case Study: Risk Based Executive Compensation Valuation 249
PART FIVE
Risk Prediction
CHAPTER 8
Tomorrow s Forecast Today 261
Different Types of Forecasting Techniques 261
Running the Forecasting Tool in Risk Simulator 262
Time Series Analysis 263
Multivariate Regression 267
Stochastic Forecasting 271
Nonlinear Extrapolation 276
Box Jenkins ARIMA Advanced Time Series 279
Questions 283
CHAPTER 8
Using the Past to Predict the Future 287
Time Series Forecasting Methodology 297
No Trend and No Seasonality 298
With Trend but No Seasonality 304
No Trend but with Seasonality 308
With Seasonality and with Trend 312
Regression Analysis 314
The Pitfalls of Forecasting: Outliers, Nonlinearity,
Multicollinearity, Heteroskedasticity, Autocorrelation,
and Structural Breaks 329
Other Technical Issues in Regression Analysis 336
Appendix A—Forecast Intervals 338
Appendix B—Ordinary Least Squares 339
Contents xv
CHAPTER 13
The Black Box Made Transparent: Real Options Super Lattice
Solver Software 395
Introduction to the Real Options Super Lattice
Solver Software ^96
Single Asset Super Lattice Solver 398
Multiple Super Lattice Solver 405
Multinomial Lattice Solver 408
SLS Excel Solution 420
SLS Functions 423
Lattice Maker 425
PART EIGHT
More Industry Applications
CHAPTER 14
Extended Business Cases II:
Real Estate, Banking, Military Strategy, Automotive
Aftermarkets, Global Earth Observation Systems, and
Employee Stock Options 419
Case Study: Understanding Risk and Optimal Timing in a
Real Estate Development Using Real Options Analysis 420
Case Study: Using Stochastic Optimization and Valuation Models
to Evaluate the Credit Risk of Corporate Restructuring 435
Case Study: Real Options and KVA in Military Strategy at the
United States Navy 442
Case Study: Manufacturing and Sales in the
Automotive Aftermarket 452
Case Study: The Boeing Company s Strategic Analysis of the
Global Earth Observation System of Systems 462
Case Study: Valuing Employee Stock Options Under the
2004 FAS 123R 472
PART NINE
Bisk Management
CHAPTER 15
The Warning Signs 505
The Problem of Negligent Entrustment 505
Management s Due Diligence 506
XVj CONTENTS
Sins of an Analyst 506
Reading the Warning Signs in Monte Carlo Simulation 508
Reading the Warning Signs in Time Series
Forecasting and Regression 519
Reading the Warning Signs in Real Options Analysis 524
Reading the Warning Signs in Optimization Under Uncertainty 526
Questions 528
CHAPTER 16
Changing a Corporate Culture 529
How to Get Risk Analysis Accepted in an Organization 529
Change Management Issues and Paradigm Shifts 529
Making Tomorrow s Forecast Today 533
Notes 535
Tables You Really Need 545
Standard Normal Distribution (partial area) 546
Standard Normal Distribution (full area) 547
Student s t Distribution (one tail and two tails) 548
Durbin Watson Critical Values (alpha 0.05) 549
Normal Random Numbers 550
Random Numbers (multiple digits) 552
Uniform Random Numbers 554
Chi Square Critical Values 556
F Distribution Critical Statistics 558
Real Options Analysis Values 566
Answers to End of Chapter Questions and Exercises 580
About the CD ROM 588
Index 591
i
|
| adam_txt |
Introduction j
PART ONE
Risk Identification
CHAPTER 1
Moving Beyond Uncertainty 11
A Brief History of Risk: What Exactly Is Risk? 11
Uncertainty versus Risk 12
Why Is Risk Important in Making Decisions? 14
Dealing with Risk the Old Fashioned Way 16
The Look and Feel of Risk and Uncertainty 20
Integrated Risk Analysis Framework 22
Questions 27
PART TWO
Bisk Evaluation
CHAPTER 2
From Risk to Riches 31
Taming the Beast 31
The Basics of Risk 32
The Nature of Risk and Return 33
The Statistics of Risk 34
The Measurements of Risk 39
Appendix—Computing Risk 41
Questions 48
CHAPTER 3
A Guide to Model Building Etiquette 48
Document the Model 49
Separate Inputs, Calculations, and Results 53
Xii CONTENTS
Protect the Models 54
Make the Model User Friendly: Data Validation and Alerts 55
Track the Model 57
Automate the Model with VBA 57
Model Aesthetics and Conditional Formatting 58
Appendix—A Primer on VBA Modeling and Writing Macros 59
Exercises 68
PART THREE
Risk Quantification
CHAPTER 4
On the Shores of Monaco 73
What Is Monte Carlo Simulation? 74
Why Are Simulations Important? 74
Comparing Simulation with Traditional Analyses 77
Using Risk Simulator and Excel to Perform Simulations 82
Questions 85
CHAPTER 5
Test Driving Risk Simulator 86
Getting Started with Risk Simulator 87
Running a Monte Carlo Simulation 88
Using Forecast Charts and Confidence Intervals 97
Correlations and Precision Control 100
Appendix—Understanding Probability Distributions 107
Questions 129
CHAPTER 6
Pandora's Toolbox 142
Tornado and Sensitivity Tools in Simulation 142
Sensitivity Analysis 150
Distributional Fitting: Single Variable and Multiple Variables 154
Bootstrap Simulation 159
Hypothesis Testing 163
Data Extraction, Saving Simulation Results, and
Generating Reports 164
Custom Macros 167
Appendix—Goodness of Fit Tests 167
Questions 169
Contents Xlg
PART FOUR
Industry Applications
CHAPTER 7
Extended Business Cases I.¬
Pharmaceutical and Riotech Negotiations, Oil and Gas Exploration,
Financial Planning with Simulation, Hospital Risk Management, and
Risk Rased Executive Compensation Valuation 187
Case Study: Pharmaceutical and Biotech Deal Structuring 188
Case Study: Oil and Gas Exploration and Production 207
Case Study: Financial Planning with Simulation 219
Case Study: Hospital Risk Management 229
Case Study: Risk Based Executive Compensation Valuation 249
PART FIVE
Risk Prediction
CHAPTER 8
Tomorrow's Forecast Today 261
Different Types of Forecasting Techniques 261
Running the Forecasting Tool in Risk Simulator 262
Time Series Analysis 263
Multivariate Regression 267
Stochastic Forecasting 271
Nonlinear Extrapolation 276
Box Jenkins ARIMA Advanced Time Series 279
Questions 283
CHAPTER 8
Using the Past to Predict the Future 287
Time Series Forecasting Methodology 297
No Trend and No Seasonality 298
With Trend but No Seasonality 304
No Trend but with Seasonality 308
With Seasonality and with Trend 312
Regression Analysis 314
The Pitfalls of Forecasting: Outliers, Nonlinearity,
Multicollinearity, Heteroskedasticity, Autocorrelation,
and Structural Breaks 329
Other Technical Issues in Regression Analysis 336
Appendix A—Forecast Intervals 338
Appendix B—Ordinary Least Squares 339
Contents xv
CHAPTER 13
The Black Box Made Transparent: Real Options Super Lattice
Solver Software 395
Introduction to the Real Options Super Lattice
Solver Software ^96
Single Asset Super Lattice Solver 398
Multiple Super Lattice Solver 405
Multinomial Lattice Solver 408
SLS Excel Solution 420
SLS Functions 423
Lattice Maker 425
PART EIGHT
More Industry Applications
CHAPTER 14
Extended Business Cases II:
Real Estate, Banking, Military Strategy, Automotive
Aftermarkets, Global Earth Observation Systems, and
Employee Stock Options 419
Case Study: Understanding Risk and Optimal Timing in a
Real Estate Development Using Real Options Analysis 420
Case Study: Using Stochastic Optimization and Valuation Models
to Evaluate the Credit Risk of Corporate Restructuring 435
Case Study: Real Options and KVA in Military Strategy at the
United States Navy 442
Case Study: Manufacturing and Sales in the
Automotive Aftermarket 452
Case Study: The Boeing Company's Strategic Analysis of the
Global Earth Observation System of Systems 462
Case Study: Valuing Employee Stock Options Under the
2004 FAS 123R 472
PART NINE
Bisk Management
CHAPTER 15
The Warning Signs 505
The Problem of Negligent Entrustment 505
Management's Due Diligence 506
\
XVj CONTENTS
Sins of an Analyst 506
Reading the Warning Signs in Monte Carlo Simulation 508
Reading the Warning Signs in Time Series
Forecasting and Regression 519
Reading the Warning Signs in Real Options Analysis 524
Reading the Warning Signs in Optimization Under Uncertainty 526
Questions 528
CHAPTER 16
Changing a Corporate Culture 529
How to Get Risk Analysis Accepted in an Organization 529
Change Management Issues and Paradigm Shifts 529
Making Tomorrow's Forecast Today 533
Notes 535
Tables You Really Need 545
Standard Normal Distribution (partial area) 546
Standard Normal Distribution (full area) 547
Student's t Distribution (one tail and two tails) 548
Durbin Watson Critical Values (alpha 0.05) 549
Normal Random Numbers 550
Random Numbers (multiple digits) 552
Uniform Random Numbers 554
Chi Square Critical Values 556
F Distribution Critical Statistics 558
Real Options Analysis Values 566
Answers to End of Chapter Questions and Exercises 580
About the CD ROM 588
Index 591
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| series2 | Wiley finance series |
| spelling | Mun, Johnathan Verfasser aut Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques Johnathan Mun Hoboken, NJ Wiley 2006 XVI, 605 S. Ill., graph. Darst. CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes index. Gestion du risque Gestion du risque - Cas, Études de Évaluation du risque Évaluation du risque - Cas, Études de Mathematisches Modell Risk assessment Risk assessment Mathematical models Risk management Finance Decision making Entscheidungsfindung (DE-588)4113446-1 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 s Risikoanalyse (DE-588)4137042-9 s Entscheidungsfindung (DE-588)4113446-1 s DE-604 Risikomanagement (DE-588)4121590-4 s Mathematisches Modell (DE-588)4114528-8 s b DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014816412&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Mun, Johnathan Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques Gestion du risque Gestion du risque - Cas, Études de Évaluation du risque Évaluation du risque - Cas, Études de Mathematisches Modell Risk assessment Risk assessment Mathematical models Risk management Finance Decision making Entscheidungsfindung (DE-588)4113446-1 gnd Risikomanagement (DE-588)4121590-4 gnd Risikoanalyse (DE-588)4137042-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| subject_GND | (DE-588)4113446-1 (DE-588)4121590-4 (DE-588)4137042-9 (DE-588)4114528-8 (DE-588)4139075-1 |
| title | Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques |
| title_auth | Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques |
| title_exact_search | Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques |
| title_exact_search_txtP | Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques |
| title_full | Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques Johnathan Mun |
| title_fullStr | Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques Johnathan Mun |
| title_full_unstemmed | Modeling risk applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques Johnathan Mun |
| title_short | Modeling risk |
| title_sort | modeling risk applying monte carlo simulation real options analysis forecasting and optimization techniques |
| title_sub | applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques |
| topic | Gestion du risque Gestion du risque - Cas, Études de Évaluation du risque Évaluation du risque - Cas, Études de Mathematisches Modell Risk assessment Risk assessment Mathematical models Risk management Finance Decision making Entscheidungsfindung (DE-588)4113446-1 gnd Risikomanagement (DE-588)4121590-4 gnd Risikoanalyse (DE-588)4137042-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Finanzmanagement (DE-588)4139075-1 gnd |
| topic_facet | Gestion du risque Gestion du risque - Cas, Études de Évaluation du risque Évaluation du risque - Cas, Études de Mathematisches Modell Risk assessment Risk assessment Mathematical models Risk management Finance Decision making Entscheidungsfindung Risikomanagement Risikoanalyse Finanzmanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014816412&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT munjohnathan modelingriskapplyingmontecarlosimulationrealoptionsanalysisforecastingandoptimizationtechniques |